Finance

VTOL Move Probability $38.48 -0.31 (-0.8%)

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 VTOL Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
46.1%
Stock touched +5.0% ($40.40) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
27.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.4%
$35.25 — $41.71

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%.

-19.7% to -17.3%: 1 occurrences (0.2%) -18.5% -17.3% to -14.9%: 4 occurrences (0.8%) -14.9% to -12.5%: 17 occurrences (3.3%) -12.5% to -10.1%: 19 occurrences (3.7%) -11.3% -10.1% to -7.7%: 23 occurrences (4.5%) -7.7% to -5.3%: 26 occurrences (5.1%) -5.3% to -2.9%: 58 occurrences (11.4%) -4.1% -2.9% to -0.6%: 78 occurrences (15.4%) -0.6% to +1.8%: 79 occurrences (15.6%) +1.8% to +4.2%: 46 occurrences (9.1%) 3.0% +4.2% to +6.6%: 49 occurrences (9.6%) +6.6% to +9.0%: 40 occurrences (7.9%) +9.0% to +11.4%: 28 occurrences (5.5%) 10.2% +11.4% to +13.8%: 25 occurrences (4.9%) +13.8% to +16.2%: 11 occurrences (2.2%) +16.2% to +18.6%: 4 occurrences (0.8%) 17.4%
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) 46.1% 27.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.1% Adjusts normal bell curve for real-world skewness (-0.49) and kurtosis (5.08).
Standard Normal (Black-Scholes / GBM) 56.1% 28.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.4% 36.2% Filters for historical windows that started with volatility similar to current 20-day HV (315 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.6%
  • Recent 20-Day HV: 26.4%
  • Parkinson Intraday Volatility: 21.9%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +10.1%
  • Bottom 10% Move (10th percentile): -9.0%
  • Max Historical Gain (14d): +18.6%
  • Max Historical Loss (14d): -19.7%