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.

← Back to BLZE Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
28.8%
Stock touched +5.0% ($10.21) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
16.5%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.0%
$8.17 — $11.28

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-23.2% to +27.6%: 510 occurrences (98.1%) 2.2% +27.6% to +78.4%: 6 occurrences (1.2%) +78.4% to +129.2%: 2 occurrences (0.4%) +129.2% to +180.1%: 0 occurrences (0.0%) 154.6% +180.1% to +230.9%: 0 occurrences (0.0%) +230.9% to +281.7%: 0 occurrences (0.0%) +281.7% to +332.5%: 0 occurrences (0.0%) 307.1% +332.5% to +383.4%: 0 occurrences (0.0%) +383.4% to +434.2%: 0 occurrences (0.0%) +434.2% to +485.0%: 0 occurrences (0.0%) 459.6% +485.0% to +535.8%: 0 occurrences (0.0%) +535.8% to +586.7%: 0 occurrences (0.0%) +586.7% to +637.5%: 0 occurrences (0.0%) 612.1% +637.5% to +688.3%: 0 occurrences (0.0%) +688.3% to +739.1%: 0 occurrences (0.0%) +739.1% to +790.0%: 2 occurrences (0.4%) 764.5%
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) 28.8% 16.5% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (14.64) and kurtosis (268.75).
Standard Normal (Black-Scholes / GBM) 76.1% 38.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 32.3% 16.5% 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)

2-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +7.4%
  • Bottom 10% Move (10th percentile): -6.2%
  • Max Historical Gain (2d): +790.0%
  • Max Historical Loss (2d): -23.2%