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)
29.0%
Stock touched +5.0% ($33.85) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
17.3%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.4%
$29.52 — $34.96

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-28.1% to -22.5%: 5 occurrences (1.0%) -25.3% -22.5% to -16.9%: 9 occurrences (1.7%) -16.9% to -11.2%: 22 occurrences (4.2%) -11.2% to -5.6%: 78 occurrences (15.0%) -8.4% -5.6% to +0.0%: 182 occurrences (35.0%) +0.0% to +5.7%: 145 occurrences (27.9%) +5.7% to +11.3%: 51 occurrences (9.8%) 8.5% +11.3% to +16.9%: 18 occurrences (3.5%) +16.9% to +22.6%: 2 occurrences (0.4%) +22.6% to +28.2%: 3 occurrences (0.6%) 25.4% +28.2% to +33.9%: 3 occurrences (0.6%) +33.9% to +39.5%: 0 occurrences (0.0%) +39.5% to +45.1%: 0 occurrences (0.0%) 42.3% +45.1% to +50.8%: 1 occurrences (0.2%) +50.8% to +56.4%: 0 occurrences (0.0%) +56.4% to +62.0%: 1 occurrences (0.2%) 59.2%
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) 29.0% 17.3% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.6% Adjusts normal bell curve for real-world skewness (0.83) and kurtosis (6.03).
Standard Normal (Black-Scholes / GBM) 56.3% 28.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 26.4% 16.4% Filters for historical windows that started with volatility similar to current 20-day HV (269 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

2-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +8.1%
  • Bottom 10% Move (10th percentile): -9.4%
  • Max Historical Gain (2d): +62.0%
  • Max Historical Loss (2d): -28.1%