Finance

VTI Move Probability $375.34 -3.93 (-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)
11.8%
Stock touched +5.0% ($394.11) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
6.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.76x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.8%
$361.08 — $389.60

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-12.6% to -11.1%: 1 occurrences (0.2%) -11.8% -11.1% to -9.5%: 3 occurrences (0.6%) -9.5% to -7.9%: 4 occurrences (0.8%) -7.9% to -6.4%: 5 occurrences (1.0%) -7.2% -6.4% to -4.8%: 12 occurrences (2.4%) -4.8% to -3.3%: 20 occurrences (3.9%) -3.3% to -1.7%: 36 occurrences (7.1%) -2.5% -1.7% to -0.1%: 83 occurrences (16.3%) -0.1% to +1.4%: 116 occurrences (22.8%) +1.4% to +3.0%: 122 occurrences (24.0%) 2.2% +3.0% to +4.5%: 62 occurrences (12.2%) +4.5% to +6.1%: 20 occurrences (3.9%) +6.1% to +7.7%: 10 occurrences (2.0%) 6.9% +7.7% to +9.2%: 8 occurrences (1.6%) +9.2% to +10.8%: 3 occurrences (0.6%) +10.8% to +12.3%: 4 occurrences (0.8%) 11.6%
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) 11.8% 6.7% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.0% Adjusts normal bell curve for real-world skewness (0.51) and kurtosis (15.37).
Standard Normal (Black-Scholes / GBM) 19.9% 10.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 5.6% 1.9% Filters for historical windows that started with volatility similar to current 20-day HV (266 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 16.1%
  • Recent 20-Day HV: 10.0%
  • Parkinson Intraday Volatility: 12.2%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +4.4%
  • Bottom 10% Move (10th percentile): -2.9%
  • Max Historical Gain (14d): +12.3%
  • Max Historical Loss (14d): -12.6%