The Decay Projection Tool anchors its analysis to an asset's running all-time low (ATL) to model future 45-session price trajectories.
Leveraged and inverse volatility ETFs (e.g., UVXY) reset their exposure daily. On range-bound or mean-reverting underlying assets, this daily compounding creates severe volatility drag (decay), causing these instruments to drift toward new record lows over time.
1. The Running ATL Floor
The anchor used by the analyzer moves, but only ever downward: it steps down whenever a new record low is printed and stays flat until a lower low arrives. It never steps upward.
The running ATL floor steps down at each new record low and holds flat until the next one. The spike reading measures the current spot against whichever level the floor is holding today.
Why Measuring Against Running ATL Matters
Because decay continuously drives leveraged volatility products down, measuring price relative to a fixed historic dollar level (e.g., a low from two years ago) is non-informative.
Tracking percentage distance above the running ATL in force at that specific point in time keeps historical comparisons normalized across the entire life of the ETF.
2. Core Inputs & Formula
The tool converts raw market data into two primary variables:
Sessions Since Low = Trading days elapsed since the active ATL was printed
Analytical Reading Example
Metric
Sample Value
Description
Spot Price
$25.09
Current closing price of the security.
Running ATL
$22.66
Lowest price recorded in the asset's history up to today.
Spike % from ATL
+11%
Normalized distance above the active floor.
Age of Low
7 Sessions
Number of trading bars elapsed since the $22.66 low was set.
Note
These two figures form the complete input criteria for the historical path-matching engine. No manual lookback windows or arbitrary date filters are required.
Rather than evaluating absolute dollar levels, the engine matches the asset's current percentage distance above its running all-time low (ATL) against all historical instances where that exact distance was first reached.
1. Matching Rules & De-Duplication
To construct a statistically clean sample, candidate sessions must meet two primary criteria:
Dynamic ATL Adjustment: The baseline all-time low is evaluated using the floor in force at that exact point in history. A +11% move above a $60.00 historic ATL carries identical weight to a +11% move above a $22.66 current ATL.
One Match Per ATL Epoch: To prevent multi-week consolidation at a level from cluttering the dataset with collinear data points, only the first session to reach the target threshold under a given ATL is recorded.
Trigger Condition
Match Event when Bar High ≥ Running ATL × (1 + Target Spike % / 100)
Each new all-time low opens one window in which a single match can be recorded. The first session to reach the target is kept, and everything after it is excluded until a lower low resets the count.
2. Low-Volatility Baseline Exception (<5% from ATL)
When an asset trades within 5% of its all-time low, directional distance matching becomes non-informative. In this regime, the system automatically transitions to a VIX-Regime Sampling Engine:
The dataset switches from tracking ATL percentage spikes to analyzing all historical 45-session windows that began under equivalent cash VIX regimes: <20, 20-30, or >30.
Chapter 3
The Price Cone (Percentile Distribution)
The Price Cone aggregates all forward trajectories generated by the historical sample across a 45-trading-day window (roughly 9 calendar weeks) and converts them into distribution bands.
The bands open out from the current spot as the sessions pass. On this sample the median path drops below the ATL line inside the first three weeks, while the upper boundary still reaches $30.28.
Median vs. Mean Path
Unlike standard probability cones that display arithmetic averages, this model utilizes the median (50th percentile) path. Because volatility products experience asymmetric upward spikes, extreme outlier events skew the mean upward.
Sample Divergence Example Historical Mean (45-Day): −19% (Distorted by hyper-spikes) Historical Median (45-Day): −32% (Reflects typical path)
Probability Graph & Extended Multi-Year Projections
1. The Probability Graph: Touch vs. Close Logic
The Probability Graph evaluates how frequently matched paths hit or exceed a user-defined threshold (e.g., a 10% move) across weekly intervals.
One threshold, two ways of counting it. By Touch keeps a path from the moment it breaches the level, while By Close asks the question again at each weekly settlement.
Differences in Execution
Mode
Definition
Primary Analytical Use Case
By Touch
Cumulative count of paths whose intraday High or Low reached the target at any point up to that expiration date.
Assessing execution probability for stop-loss orders or take-profit limit orders.
By Close
Discrete count of paths whose Friday settlement price closed beyond the target level.
Assessing exposure for options expiration, weekly mark-to-market, or strategic holding periods.
2. Extended Path Table (Multi-Year Projections)
The distribution table extends the cone's statistical engine out across a 2-year time frame (one row per weekly expiration).
Time Frame
90% Probability Above
83% Probability Above
50/50 Median
83% Probability Below
90% Probability Below
Current (Spot)
$25.09
$25.09
$25.09
$25.09
$25.09
1 Year Out
Low Tail Boundary
Lower Inner Edge
$4.36
Upper Inner Edge
High Tail Boundary
2 Years Out
Low Tail Boundary
Lower Inner Edge
$1.09
Upper Inner Edge
High Tail Boundary
Analytical Note on Long-Time Frame Decay
Because leveraged volatility products are worn down by roll yield contango, long-time frame distributions trend relentlessly lower. Projections beyond 6 months indicate the overall decay vector of the sample rather than an absolute price target.