Finance

PZZA Move Probability $18.23 -0.50 (-2.7%)

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)
55.5%
Stock touched +5.0% ($19.14) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
26.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.09x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.2%
$16.00 — $20.46

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%.

-30.0% to -26.0%: 5 occurrences (1.0%) -28.0% -26.0% to -22.1%: 20 occurrences (3.9%) -22.1% to -18.1%: 22 occurrences (4.3%) -18.1% to -14.2%: 14 occurrences (2.8%) -16.2% -14.2% to -10.2%: 38 occurrences (7.5%) -10.2% to -6.3%: 85 occurrences (16.7%) -6.3% to -2.3%: 96 occurrences (18.9%) -4.3% -2.3% to +1.6%: 57 occurrences (11.2%) +1.6% to +5.6%: 47 occurrences (9.3%) +5.6% to +9.5%: 34 occurrences (6.7%) 7.5% +9.5% to +13.5%: 35 occurrences (6.9%) +13.5% to +17.4%: 13 occurrences (2.6%) +17.4% to +21.4%: 21 occurrences (4.1%) 19.4% +21.4% to +25.3%: 10 occurrences (2.0%) +25.3% to +29.3%: 6 occurrences (1.2%) +29.3% to +33.2%: 5 occurrences (1.0%) 31.2%
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) 55.5% 26.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.5% Adjusts normal bell curve for real-world skewness (0.45) and kurtosis (5.73).
Standard Normal (Black-Scholes / GBM) 69.0% 34.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 39.5% 21.0% Filters for historical windows that started with volatility similar to current 20-day HV (81 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.8%
  • Recent 20-Day HV: 26.5%
  • Parkinson Intraday Volatility: 44.4%
  • Vol Trend: Compressed (-49% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.2%
  • Top 10% Move (90th percentile): +14.4%
  • Bottom 10% Move (10th percentile): -16.6%
  • Max Historical Gain (14d): +33.2%
  • Max Historical Loss (14d): -30.0%