Finance

BLZE Move Probability $9.72 -2.79 (-22.3%)

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)
75.8%
Stock touched +5.0% ($10.21) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
43.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.76x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±42.4%
$5.60 — $13.85

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-37.7% to +14.7%: 364 occurrences (71.7%) -11.5% +14.7% to +67.1%: 94 occurrences (18.5%) +67.1% to +119.5%: 35 occurrences (6.9%) +119.5% to +171.8%: 1 occurrences (0.2%) 145.7% +171.8% to +224.2%: 0 occurrences (0.0%) +224.2% to +276.6%: 0 occurrences (0.0%) +276.6% to +329.0%: 0 occurrences (0.0%) 302.8% +329.0% to +381.3%: 0 occurrences (0.0%) +381.3% to +433.7%: 0 occurrences (0.0%) +433.7% to +486.1%: 0 occurrences (0.0%) 459.9% +486.1% to +538.5%: 0 occurrences (0.0%) +538.5% to +590.8%: 1 occurrences (0.2%) +590.8% to +643.2%: 5 occurrences (1.0%) 617.0% +643.2% to +695.6%: 1 occurrences (0.2%) +695.6% to +748.0%: 2 occurrences (0.4%) +748.0% to +800.3%: 5 occurrences (1.0%) 774.2%
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) 75.8% 43.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.2% Adjusts normal bell curve for real-world skewness (14.64) and kurtosis (268.75).
Standard Normal (Black-Scholes / GBM) 90.8% 45.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.0% 44.9% Filters for historical windows that started with volatility similar to current 20-day HV (127 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 180.0%
  • Recent 20-Day HV: 101.7%
  • Parkinson Intraday Volatility: 56.6%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.0%
  • Top 10% Move (90th percentile): +66.1%
  • Bottom 10% Move (10th percentile): -15.7%
  • Max Historical Gain (14d): +800.3%
  • Max Historical Loss (14d): -37.7%