Finance

SZZL Move Probability $10.50 +0.02 (+0.1%)

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)
0.0%
Stock touched +5.0% ($11.03) at least once during 14 trading days.
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±0.4%
$10.46 — $10.54

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 341 historical windows (2025-05-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-0.5% to -0.4%: 13 occurrences (3.8%) -0.4% -0.4% to -0.3%: 9 occurrences (2.6%) -0.3% to -0.2%: 16 occurrences (4.7%) -0.2% to -0.1%: 30 occurrences (8.8%) -0.1% -0.1% to +0.0%: 46 occurrences (13.5%) +0.0% to +0.1%: 46 occurrences (13.5%) +0.1% to +0.2%: 33 occurrences (9.7%) 0.2% +0.2% to +0.3%: 17 occurrences (5.0%) +0.3% to +0.4%: 30 occurrences (8.8%) +0.4% to +0.5%: 45 occurrences (13.2%) 0.5% +0.5% to +0.6%: 24 occurrences (7.0%) +0.6% to +0.7%: 6 occurrences (1.8%) +0.7% to +0.8%: 8 occurrences (2.3%) 0.8% +0.8% to +0.9%: 10 occurrences (2.9%) +0.9% to +1.0%: 6 occurrences (1.8%) +1.0% to +1.2%: 2 occurrences (0.6%) 1.1%
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) 0.0% 0.0% Model-free reality across 341 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (3.7) and kurtosis (26.15).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (105 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 1.6%
  • Recent 20-Day HV: 1.4%
  • Parkinson Intraday Volatility: 0.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +0.6%
  • Bottom 10% Move (10th percentile): -0.2%
  • Max Historical Gain (14d): +1.2%
  • Max Historical Loss (14d): -0.5%