Finance

VTRS Move Probability $18.45 -0.20 (-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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Touch Probability (First Passage)
55.1%
Stock touched +5.0% ($19.37) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
33.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.64x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.1%
$16.96 — $19.94

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%.

-21.8% to -18.9%: 6 occurrences (1.2%) -20.3% -18.9% to -16.1%: 5 occurrences (1.0%) -16.1% to -13.2%: 9 occurrences (1.8%) -13.2% to -10.4%: 14 occurrences (2.8%) -11.8% -10.4% to -7.5%: 34 occurrences (6.7%) -7.5% to -4.7%: 43 occurrences (8.5%) -4.7% to -1.8%: 46 occurrences (9.1%) -3.3% -1.8% to +1.0%: 67 occurrences (13.2%) +1.0% to +3.8%: 92 occurrences (18.1%) +3.8% to +6.7%: 67 occurrences (13.2%) 5.3% +6.7% to +9.5%: 40 occurrences (7.9%) +9.5% to +12.4%: 35 occurrences (6.9%) +12.4% to +15.2%: 19 occurrences (3.7%) 13.8% +15.2% to +18.1%: 12 occurrences (2.4%) +18.1% to +20.9%: 11 occurrences (2.2%) +20.9% to +23.8%: 8 occurrences (1.6%) 22.3%
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) 55.1% 33.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.3% Adjusts normal bell curve for real-world skewness (-0.36) and kurtosis (9.92).
Standard Normal (Black-Scholes / GBM) 54.6% 27.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.2% 37.3% Filters for historical windows that started with volatility similar to current 20-day HV (335 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.3%
  • Recent 20-Day HV: 28.4%
  • Parkinson Intraday Volatility: 29.1%
  • Vol Trend: Compressed (-17% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.1%
  • Top 10% Move (90th percentile): +12.3%
  • Bottom 10% Move (10th percentile): -8.7%
  • Max Historical Gain (14d): +23.8%
  • Max Historical Loss (14d): -21.8%