Finance

ZLAB Move Probability $24.05 +2.01 (+9.1%)

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)
64.7%
Stock touched +5.0% ($25.25) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
34.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.85x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.0%
$20.69 — $27.41

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-30.7% to -25.8%: 4 occurrences (0.8%) -28.3% -25.8% to -21.0%: 12 occurrences (2.4%) -21.0% to -16.1%: 21 occurrences (4.1%) -16.1% to -11.3%: 51 occurrences (10.0%) -13.7% -11.3% to -6.5%: 78 occurrences (15.3%) -6.5% to -1.6%: 84 occurrences (16.5%) -1.6% to +3.2%: 56 occurrences (11.0%) 0.8% +3.2% to +8.1%: 69 occurrences (13.5%) +8.1% to +12.9%: 44 occurrences (8.6%) +12.9% to +17.8%: 34 occurrences (6.7%) 15.3% +17.8% to +22.6%: 14 occurrences (2.7%) +22.6% to +27.4%: 21 occurrences (4.1%) +27.4% to +32.3%: 9 occurrences (1.8%) 29.9% +32.3% to +37.1%: 4 occurrences (0.8%) +37.1% to +42.0%: 5 occurrences (1.0%) +42.0% to +46.8%: 4 occurrences (0.8%) 44.4%
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) 64.7% 34.9% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.3% Adjusts normal bell curve for real-world skewness (0.35) and kurtosis (2.85).
Standard Normal (Black-Scholes / GBM) 72.7% 36.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.2% 25.1% Filters for historical windows that started with volatility similar to current 20-day HV (338 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 59.2%
  • Recent 20-Day HV: 67.9%
  • Parkinson Intraday Volatility: 38.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.4%
  • Top 10% Move (90th percentile): +19.4%
  • Bottom 10% Move (10th percentile): -14.4%
  • Max Historical Gain (14d): +46.8%
  • Max Historical Loss (14d): -30.7%