Finance

ZENA Move Probability $0.97 -0.04 (-4.0%)

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)
76.7%
Stock touched +5.0% ($1.02) at least once during 14 trading days.
Median first touch: Day 2 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
2.73x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±37.4%
$0.61 — $1.33

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 502 historical windows (2024-10-01 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-73.2% to -42.4%: 12 occurrences (2.4%) -57.8% -42.4% to -11.6%: 187 occurrences (37.3%) -11.6% to +19.2%: 223 occurrences (44.4%) +19.2% to +50.0%: 39 occurrences (7.8%) 34.6% +50.0% to +80.8%: 20 occurrences (4.0%) +80.8% to +111.5%: 7 occurrences (1.4%) +111.5% to +142.3%: 0 occurrences (0.0%) 126.9% +142.3% to +173.1%: 0 occurrences (0.0%) +173.1% to +203.9%: 0 occurrences (0.0%) +203.9% to +234.7%: 1 occurrences (0.2%) 219.3% +234.7% to +265.5%: 4 occurrences (0.8%) +265.5% to +296.3%: 4 occurrences (0.8%) +296.3% to +327.0%: 1 occurrences (0.2%) 311.6% +327.0% to +357.8%: 3 occurrences (0.6%) +357.8% to +388.6%: 0 occurrences (0.0%) +388.6% to +419.4%: 1 occurrences (0.2%) 404.0%
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) 76.7% 28.1% Model-free reality across 502 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.1% Adjusts normal bell curve for real-world skewness (4.27) and kurtosis (55.34).
Standard Normal (Black-Scholes / GBM) 89.6% 44.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 77.8% 29.3% Filters for historical windows that started with volatility similar to current 20-day HV (297 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 158.6%
  • Recent 20-Day HV: 88.1%
  • Parkinson Intraday Volatility: 114.7%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: -6.6%
  • Top 10% Move (90th percentile): +35.3%
  • Bottom 10% Move (10th percentile): -28.9%
  • Max Historical Gain (14d): +419.4%
  • Max Historical Loss (14d): -73.2%