Finance

ZD Move Probability $57.06 +0.23 (+0.4%)

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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Touch Probability (First Passage)
57.7%
Stock touched +5.0% ($59.91) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
29.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.3%
$50.03 — $64.09

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%.

-28.0% to -22.5%: 16 occurrences (3.1%) -25.3% -22.5% to -17.1%: 20 occurrences (3.9%) -17.1% to -11.7%: 25 occurrences (4.9%) -11.7% to -6.2%: 42 occurrences (8.3%) -9.0% -6.2% to -0.8%: 100 occurrences (19.7%) -0.8% to +4.6%: 149 occurrences (29.3%) +4.6% to +10.1%: 73 occurrences (14.4%) 7.3% +10.1% to +15.5%: 37 occurrences (7.3%) +15.5% to +20.9%: 15 occurrences (3.0%) +20.9% to +26.4%: 17 occurrences (3.3%) 23.6% +26.4% to +31.8%: 3 occurrences (0.6%) +31.8% to +37.2%: 4 occurrences (0.8%) +37.2% to +42.7%: 1 occurrences (0.2%) 39.9% +42.7% to +48.1%: 1 occurrences (0.2%) +48.1% to +53.5%: 2 occurrences (0.4%) +53.5% to +59.0%: 3 occurrences (0.6%) 56.2%
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) 57.7% 29.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.7% Adjusts normal bell curve for real-world skewness (3.63) and kurtosis (40.59).
Standard Normal (Black-Scholes / GBM) 69.2% 34.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.3% 21.1% Filters for historical windows that started with volatility similar to current 20-day HV (147 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 52.3%
  • Recent 20-Day HV: 25.5%
  • Parkinson Intraday Volatility: 35.8%
  • Vol Trend: Compressed (-51% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +14.5%
  • Bottom 10% Move (10th percentile): -13.2%
  • Max Historical Gain (14d): +59.0%
  • Max Historical Loss (14d): -28.0%