Finance

ZIP Move Probability $4.53 -0.03 (-0.8%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to ZIP Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
70.1%
Stock touched +5.0% ($4.75) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
33.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.11x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.6%
$3.68 — $5.37

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%.

-38.6% to -32.3%: 11 occurrences (2.2%) -35.4% -32.3% to -26.1%: 34 occurrences (6.7%) -26.1% to -19.8%: 27 occurrences (5.3%) -19.8% to -13.6%: 47 occurrences (9.3%) -16.7% -13.6% to -7.3%: 73 occurrences (14.4%) -7.3% to -1.1%: 68 occurrences (13.4%) -1.1% to +5.1%: 79 occurrences (15.6%) 2.0% +5.1% to +11.4%: 54 occurrences (10.6%) +11.4% to +17.6%: 38 occurrences (7.5%) +17.6% to +23.9%: 22 occurrences (4.3%) 20.7% +23.9% to +30.1%: 19 occurrences (3.7%) +30.1% to +36.4%: 17 occurrences (3.3%) +36.4% to +42.6%: 4 occurrences (0.8%) 39.5% +42.6% to +48.8%: 7 occurrences (1.4%) +48.8% to +55.1%: 1 occurrences (0.2%) +55.1% to +61.3%: 7 occurrences (1.4%) 58.2%
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) 70.1% 33.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.7% Adjusts normal bell curve for real-world skewness (-0.33) and kurtosis (4.97).
Standard Normal (Black-Scholes / GBM) 79.3% 39.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.4% 27.2% Filters for historical windows that started with volatility similar to current 20-day HV (298 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 79.0%
  • Recent 20-Day HV: 63.3%
  • Parkinson Intraday Volatility: 64.3%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.6%
  • Top 10% Move (90th percentile): +25.0%
  • Bottom 10% Move (10th percentile): -25.1%
  • Max Historical Gain (14d): +61.3%
  • Max Historical Loss (14d): -38.6%