Finance

VTN Move Probability $9.73 -0.07 (-0.7%)

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)
8.8%
Stock touched +5.0% ($10.22) at least once during 14 trading days.
Median first touch: Day 10 of 14
Expiration Close Probability
6.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.41x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.2%
$9.42 — $10.04

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-24 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-12.3% to -11.0%: 2 occurrences (0.4%) -11.7% -11.0% to -9.7%: 3 occurrences (0.6%) -9.7% to -8.4%: 4 occurrences (0.8%) -8.4% to -7.0%: 15 occurrences (2.9%) -7.7% -7.0% to -5.7%: 16 occurrences (3.1%) -5.7% to -4.4%: 16 occurrences (3.1%) -4.4% to -3.1%: 34 occurrences (6.7%) -3.7% -3.1% to -1.8%: 58 occurrences (11.4%) -1.8% to -0.4%: 75 occurrences (14.7%) -0.4% to +0.9%: 64 occurrences (12.6%) 0.2% +0.9% to +2.2%: 78 occurrences (15.3%) +2.2% to +3.5%: 61 occurrences (12.0%) +3.5% to +4.8%: 49 occurrences (9.6%) 4.2% +4.8% to +6.2%: 19 occurrences (3.7%) +6.2% to +7.5%: 7 occurrences (1.4%) +7.5% to +8.8%: 8 occurrences (1.6%) 8.1%
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) 8.8% 6.3% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.9% Adjusts normal bell curve for real-world skewness (-0.12) and kurtosis (4.73).
Standard Normal (Black-Scholes / GBM) 12.2% 6.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.2% 23.1% Filters for historical windows that started with volatility similar to current 20-day HV (13 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 13.4%
  • Recent 20-Day HV: 31.2%
  • Parkinson Intraday Volatility: 6.6%
  • Vol Trend: Expanded (+133% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +4.2%
  • Bottom 10% Move (10th percentile): -4.6%
  • Max Historical Gain (14d): +8.8%
  • Max Historical Loss (14d): -12.3%