Finance

VZ Move Probability $43.58 -0.97 (-2.2%)

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)
30.9%
Stock touched +5.0% ($45.75) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
15.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.6%
$41.12 — $46.03

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%.

-12.5% to -10.1%: 6 occurrences (1.2%) -11.3% -10.1% to -7.8%: 15 occurrences (3.0%) -7.8% to -5.4%: 36 occurrences (7.1%) -5.4% to -3.1%: 57 occurrences (11.2%) -4.3% -3.1% to -0.7%: 104 occurrences (20.5%) -0.7% to +1.6%: 112 occurrences (22.0%) +1.6% to +4.0%: 74 occurrences (14.6%) 2.8% +4.0% to +6.3%: 46 occurrences (9.1%) +6.3% to +8.7%: 28 occurrences (5.5%) +8.7% to +11.0%: 8 occurrences (1.6%) 9.8% +11.0% to +13.4%: 8 occurrences (1.6%) +13.4% to +15.7%: 2 occurrences (0.4%) +15.7% to +18.1%: 1 occurrences (0.2%) 16.9% +18.1% to +20.4%: 4 occurrences (0.8%) +20.4% to +22.8%: 3 occurrences (0.6%) +22.8% to +25.1%: 4 occurrences (0.8%) 23.9%
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) 30.9% 15.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.0% Adjusts normal bell curve for real-world skewness (-0.05) and kurtosis (9.58).
Standard Normal (Black-Scholes / GBM) 38.7% 19.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.4% 33.3% Filters for historical windows that started with volatility similar to current 20-day HV (129 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 23.9%
  • Recent 20-Day HV: 38.7%
  • Parkinson Intraday Volatility: 19.5%
  • Vol Trend: Expanded (+62% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +7.0%
  • Bottom 10% Move (10th percentile): -6.0%
  • Max Historical Gain (14d): +25.1%
  • Max Historical Loss (14d): -12.5%