Finance

VYGR Move Probability $2.02 -0.17 (-7.8%)

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 VYGR Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
67.3%
Stock touched +5.0% ($2.12) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
28.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.39x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.0%
$1.69 — $2.34

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%.

-30.2% to -25.2%: 9 occurrences (1.8%) -27.7% -25.2% to -20.2%: 30 occurrences (5.9%) -20.2% to -15.2%: 34 occurrences (6.7%) -15.2% to -10.2%: 61 occurrences (12.0%) -12.7% -10.2% to -5.2%: 76 occurrences (15.0%) -5.2% to -0.2%: 96 occurrences (18.9%) -0.2% to +4.8%: 59 occurrences (11.6%) 2.3% +4.8% to +9.8%: 55 occurrences (10.8%) +9.8% to +14.8%: 41 occurrences (8.1%) +14.8% to +19.8%: 24 occurrences (4.7%) 17.3% +19.8% to +24.8%: 9 occurrences (1.8%) +24.8% to +29.8%: 5 occurrences (1.0%) +29.8% to +34.8%: 4 occurrences (0.8%) 32.3% +34.8% to +39.8%: 3 occurrences (0.6%) +39.8% to +44.8%: 1 occurrences (0.2%) +44.8% to +49.8%: 1 occurrences (0.2%) 47.3%
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) 67.3% 28.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.8% Adjusts normal bell curve for real-world skewness (-0.0) and kurtosis (4.56).
Standard Normal (Black-Scholes / GBM) 76.0% 38.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.2% 33.3% Filters for historical windows that started with volatility similar to current 20-day HV (318 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 67.7%
  • Recent 20-Day HV: 80.4%
  • Parkinson Intraday Volatility: 55.4%
  • Vol Trend: Expanded (+19% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.2%
  • Top 10% Move (90th percentile): +14.3%
  • Bottom 10% Move (10th percentile): -18.3%
  • Max Historical Gain (14d): +49.8%
  • Max Historical Loss (14d): -30.2%