Finance

VYM Move Probability $161.43 -0.02 (-0.0%)

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)
5.9%
Stock touched +5.0% ($169.50) at least once during 14 trading days.
Median first touch: Day 11 of 14
Expiration Close Probability
2.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.14x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.1%
$156.48 — $166.38

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%.

-11.1% to -9.9%: 1 occurrences (0.2%) -10.5% -9.9% to -8.7%: 2 occurrences (0.4%) -8.7% to -7.5%: 1 occurrences (0.2%) -7.5% to -6.3%: 3 occurrences (0.6%) -6.9% -6.3% to -5.1%: 11 occurrences (2.2%) -5.1% to -3.9%: 8 occurrences (1.6%) -3.9% to -2.7%: 25 occurrences (4.9%) -3.3% -2.7% to -1.5%: 39 occurrences (7.7%) -1.5% to -0.3%: 46 occurrences (9.0%) -0.3% to +0.9%: 98 occurrences (19.3%) 0.3% +0.9% to +2.1%: 125 occurrences (24.6%) +2.1% to +3.3%: 70 occurrences (13.8%) +3.3% to +4.5%: 52 occurrences (10.2%) 3.9% +4.5% to +5.7%: 20 occurrences (3.9%) +5.7% to +6.9%: 7 occurrences (1.4%) +6.9% to +8.1%: 1 occurrences (0.2%) 7.5%
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) 5.9% 2.8% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.0% Adjusts normal bell curve for real-world skewness (-0.15) and kurtosis (13.84).
Standard Normal (Black-Scholes / GBM) 11.2% 5.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.3% 1.6% Filters for historical windows that started with volatility similar to current 20-day HV (258 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 13.0%
  • Recent 20-Day HV: 8.0%
  • Parkinson Intraday Volatility: 10.2%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +3.8%
  • Bottom 10% Move (10th percentile): -2.6%
  • Max Historical Gain (14d): +8.1%
  • Max Historical Loss (14d): -11.1%