Finance

VTEX Move Probability $4.12 -0.10 (-2.4%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to VTEX Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
56.3%
Stock touched +5.0% ($4.33) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.1%
$3.62 — $4.62

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-37.1% to -32.6%: 6 occurrences (1.2%) -34.9% -32.6% to -28.1%: 16 occurrences (3.1%) -28.1% to -23.6%: 4 occurrences (0.8%) -23.6% to -19.1%: 4 occurrences (0.8%) -21.4% -19.1% to -14.6%: 10 occurrences (2.0%) -14.6% to -10.2%: 35 occurrences (6.9%) -10.2% to -5.7%: 68 occurrences (13.4%) -7.9% -5.7% to -1.2%: 106 occurrences (20.9%) -1.2% to +3.3%: 104 occurrences (20.5%) +3.3% to +7.8%: 51 occurrences (10.0%) 5.6% +7.8% to +12.3%: 43 occurrences (8.5%) +12.3% to +16.8%: 33 occurrences (6.5%) +16.8% to +21.3%: 15 occurrences (3.0%) 19.1% +21.3% to +25.8%: 5 occurrences (1.0%) +25.8% to +30.3%: 3 occurrences (0.6%) +30.3% to +34.8%: 5 occurrences (1.0%) 32.5%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 56.3% 25.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.6% Adjusts normal bell curve for real-world skewness (-2.48) and kurtosis (23.46).
Standard Normal (Black-Scholes / GBM) 68.6% 34.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 45.2% 15.1% Filters for historical windows that started with volatility similar to current 20-day HV (199 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.2%
  • Recent 20-Day HV: 30.1%
  • Parkinson Intraday Volatility: 36.7%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +13.4%
  • Bottom 10% Move (10th percentile): -12.8%
  • Max Historical Gain (14d): +34.8%
  • Max Historical Loss (14d): -37.1%