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)
0.8%
Stock touched +5.0% ($45.75) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.5%
$42.92 — $44.23

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-8.8% to -7.5%: 1 occurrences (0.2%) -8.1% -7.5% to -6.2%: 1 occurrences (0.2%) -6.2% to -4.9%: 4 occurrences (0.8%) -4.9% to -3.6%: 2 occurrences (0.4%) -4.3% -3.6% to -2.3%: 14 occurrences (2.7%) -2.3% to -1.1%: 67 occurrences (12.9%) -1.1% to +0.2%: 212 occurrences (40.7%) -0.4% +0.2% to +1.5%: 166 occurrences (31.9%) +1.5% to +2.8%: 42 occurrences (8.1%) +2.8% to +4.1%: 8 occurrences (1.5%) 3.4% +4.1% to +5.4%: 2 occurrences (0.4%) +5.4% to +6.7%: 1 occurrences (0.2%) +6.7% to +7.9%: 0 occurrences (0.0%) 7.3% +7.9% to +9.2%: 0 occurrences (0.0%) +9.2% to +10.5%: 0 occurrences (0.0%) +10.5% to +11.8%: 1 occurrences (0.2%) 11.2%
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) 0.8% 0.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (-0.05) and kurtosis (9.58).
Standard Normal (Black-Scholes / GBM) 0.1% 0.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.5% 0.7% Filters for historical windows that started with volatility similar to current 20-day HV (137 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)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +1.5%
  • Bottom 10% Move (10th percentile): -1.5%
  • Max Historical Gain (1d): +11.8%
  • Max Historical Loss (1d): -8.8%