Finance

Z Move Probability $32.38 +1.44 (+4.7%)

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)
54.7%
Stock touched +5.0% ($34.00) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
28.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.94x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.2%
$28.77 — $36.00

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-37.6% to -32.5%: 4 occurrences (0.8%) -35.0% -32.5% to -27.3%: 4 occurrences (0.8%) -27.3% to -22.2%: 1 occurrences (0.2%) -22.2% to -17.0%: 24 occurrences (4.7%) -19.6% -17.0% to -11.9%: 40 occurrences (7.9%) -11.9% to -6.8%: 87 occurrences (17.1%) -6.8% to -1.6%: 87 occurrences (17.1%) -4.2% -1.6% to +3.5%: 103 occurrences (20.3%) +3.5% to +8.7%: 64 occurrences (12.6%) +8.7% to +13.8%: 59 occurrences (11.6%) 11.2% +13.8% to +19.0%: 21 occurrences (4.1%) +19.0% to +24.1%: 3 occurrences (0.6%) +24.1% to +29.2%: 6 occurrences (1.2%) 26.7% +29.2% to +34.4%: 2 occurrences (0.4%) +34.4% to +39.5%: 2 occurrences (0.4%) +39.5% to +44.7%: 1 occurrences (0.2%) 42.1%
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) 54.7% 28.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.6% Adjusts normal bell curve for real-world skewness (0.3) and kurtosis (7.51).
Standard Normal (Black-Scholes / GBM) 66.2% 33.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.7% 25.5% Filters for historical windows that started with volatility similar to current 20-day HV (263 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.4%
  • Recent 20-Day HV: 64.9%
  • Parkinson Intraday Volatility: 38.8%
  • Vol Trend: Expanded (+37% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.4%
  • Top 10% Move (90th percentile): +12.2%
  • Bottom 10% Move (10th percentile): -14.4%
  • Max Historical Gain (14d): +44.7%
  • Max Historical Loss (14d): -37.6%