Finance

ZETA Move Probability $34.11 +0.55 (+1.7%)

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)
22.1%
Stock touched +5.0% ($35.82) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
10.0%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.21x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.9%
$32.43 — $35.79

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-37.2% to -33.2%: 1 occurrences (0.2%) -35.2% -33.2% to -29.2%: 0 occurrences (0.0%) -29.2% to -25.2%: 0 occurrences (0.0%) -25.2% to -21.1%: 1 occurrences (0.2%) -23.1% -21.1% to -17.1%: 0 occurrences (0.0%) -17.1% to -13.1%: 1 occurrences (0.2%) -13.1% to -9.1%: 6 occurrences (1.2%) -11.1% -9.1% to -5.0%: 43 occurrences (8.3%) -5.0% to -1.0%: 145 occurrences (27.8%) -1.0% to +3.0%: 211 occurrences (40.5%) 1.0% +3.0% to +7.0%: 81 occurrences (15.5%) +7.0% to +11.1%: 20 occurrences (3.8%) +11.1% to +15.1%: 9 occurrences (1.7%) 13.1% +15.1% to +19.1%: 1 occurrences (0.2%) +19.1% to +23.1%: 1 occurrences (0.2%) +23.1% to +27.2%: 1 occurrences (0.2%) 25.2%
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) 22.1% 10.0% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.2% Adjusts normal bell curve for real-world skewness (-1.46) and kurtosis (17.34).
Standard Normal (Black-Scholes / GBM) 32.3% 16.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 21.5% 11.6% Filters for historical windows that started with volatility similar to current 20-day HV (251 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 78.3%
  • Recent 20-Day HV: 47.9%
  • Parkinson Intraday Volatility: 62.6%
  • Vol Trend: Compressed (-39% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +4.9%
  • Bottom 10% Move (10th percentile): -5.0%
  • Max Historical Gain (1d): +27.2%
  • Max Historical Loss (1d): -37.2%