Finance

BZFD Move Probability $1.02 +0.01 (+1.5%)

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)
68.3%
Stock touched +5.0% ($1.08) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
28.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.36x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±43.3%
$0.58 — $1.47

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%.

-47.1% to +36.7%: 453 occurrences (89.2%) -5.2% +36.7% to +120.5%: 34 occurrences (6.7%) +120.5% to +204.3%: 7 occurrences (1.4%) +204.3% to +288.0%: 0 occurrences (0.0%) 246.2% +288.0% to +371.8%: 0 occurrences (0.0%) +371.8% to +455.6%: 0 occurrences (0.0%) +455.6% to +539.4%: 0 occurrences (0.0%) 497.5% +539.4% to +623.2%: 0 occurrences (0.0%) +623.2% to +707.0%: 0 occurrences (0.0%) +707.0% to +790.8%: 0 occurrences (0.0%) 748.9% +790.8% to +874.6%: 0 occurrences (0.0%) +874.6% to +958.4%: 4 occurrences (0.8%) +958.4% to +1042.2%: 3 occurrences (0.6%) 1000.3% +1042.2% to +1125.9%: 3 occurrences (0.6%) +1125.9% to +1209.7%: 3 occurrences (0.6%) +1209.7% to +1293.5%: 1 occurrences (0.2%) 1251.6%
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) 68.3% 28.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.2% Adjusts normal bell curve for real-world skewness (13.98) and kurtosis (250.1).
Standard Normal (Black-Scholes / GBM) 91.0% 45.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.8% 29.2% Filters for historical windows that started with volatility similar to current 20-day HV (319 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 183.6%
  • Recent 20-Day HV: 61.8%
  • Parkinson Intraday Volatility: 62.8%
  • Vol Trend: Compressed (-66% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.2%
  • Top 10% Move (90th percentile): +45.5%
  • Bottom 10% Move (10th percentile): -17.6%
  • Max Historical Gain (14d): +1293.5%
  • Max Historical Loss (14d): -47.1%