Finance

VTGN Move Probability $0.20 -0.00 (-1.0%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
78.0%
Stock touched +5.0% ($0.21) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
33.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.30x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±27.2%
$0.14 — $0.25

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%.

-70.1% to -62.8%: 4 occurrences (0.8%) -66.4% -62.8% to -55.6%: 9 occurrences (1.8%) -55.6% to -48.3%: 1 occurrences (0.2%) -48.3% to -41.1%: 0 occurrences (0.0%) -44.7% -41.1% to -33.8%: 2 occurrences (0.4%) -33.8% to -26.6%: 7 occurrences (1.4%) -26.6% to -19.3%: 17 occurrences (3.3%) -22.9% -19.3% to -12.1%: 58 occurrences (11.4%) -12.1% to -4.8%: 89 occurrences (17.5%) -4.8% to +2.4%: 116 occurrences (22.8%) -1.2% +2.4% to +9.7%: 81 occurrences (15.9%) +9.7% to +16.9%: 65 occurrences (12.8%) +16.9% to +24.2%: 32 occurrences (6.3%) 20.6% +24.2% to +31.4%: 15 occurrences (3.0%) +31.4% to +38.7%: 9 occurrences (1.8%) +38.7% to +45.9%: 3 occurrences (0.6%) 42.3%
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) 78.0% 33.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 42.6% Adjusts normal bell curve for real-world skewness (-8.96) and kurtosis (154.37).
Standard Normal (Black-Scholes / GBM) 85.8% 42.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.7% 40.8% Filters for historical windows that started with volatility similar to current 20-day HV (316 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 115.3%
  • Recent 20-Day HV: 91.9%
  • Parkinson Intraday Volatility: 64.2%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +17.9%
  • Bottom 10% Move (10th percentile): -17.3%
  • Max Historical Gain (14d): +45.9%
  • Max Historical Loss (14d): -70.1%