Finance

ZSL Move Probability $32.24 +3.60 (+12.6%)

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)
58.3%
Stock touched +5.0% ($33.85) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
25.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.26x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.3%
$25.05 — $39.43

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-63.6% to -55.5%: 5 occurrences (1.0%) -59.5% -55.5% to -47.4%: 5 occurrences (1.0%) -47.4% to -39.3%: 12 occurrences (2.4%) -39.3% to -31.2%: 15 occurrences (3.0%) -35.3% -31.2% to -23.2%: 32 occurrences (6.3%) -23.2% to -15.1%: 72 occurrences (14.2%) -15.1% to -7.0%: 99 occurrences (19.5%) -11.0% -7.0% to +1.1%: 97 occurrences (19.1%) +1.1% to +9.1%: 70 occurrences (13.8%) +9.1% to +17.2%: 39 occurrences (7.7%) 13.2% +17.2% to +25.3%: 29 occurrences (5.7%) +25.3% to +33.4%: 16 occurrences (3.1%) +33.4% to +41.5%: 7 occurrences (1.4%) 37.4% +41.5% to +49.5%: 2 occurrences (0.4%) +49.5% to +57.6%: 5 occurrences (1.0%) +57.6% to +65.7%: 3 occurrences (0.6%) 61.7%
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) 58.3% 25.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.1% Adjusts normal bell curve for real-world skewness (0.83) and kurtosis (6.03).
Standard Normal (Black-Scholes / GBM) 82.7% 41.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.6% 24.5% Filters for historical windows that started with volatility similar to current 20-day HV (257 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 94.7%
  • Recent 20-Day HV: 80.1%
  • Parkinson Intraday Volatility: 51.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -6.2%
  • Top 10% Move (90th percentile): +19.1%
  • Bottom 10% Move (10th percentile): -26.8%
  • Max Historical Gain (14d): +65.7%
  • Max Historical Loss (14d): -63.6%