Finance

ZSQR Move Probability $3.58 -0.13 (-3.5%)

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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Touch Probability (First Passage)
72.2%
Stock touched +5.0% ($3.76) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
42.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±47.3%
$1.89 — $5.27

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%.

-62.0% to +5.5%: 293 occurrences (57.7%) -28.3% +5.5% to +73.0%: 163 occurrences (32.1%) +73.0% to +140.5%: 19 occurrences (3.7%) +140.5% to +208.0%: 15 occurrences (3.0%) 174.3% +208.0% to +275.5%: 4 occurrences (0.8%) +275.5% to +343.1%: 0 occurrences (0.0%) +343.1% to +410.6%: 0 occurrences (0.0%) 376.8% +410.6% to +478.1%: 0 occurrences (0.0%) +478.1% to +545.6%: 0 occurrences (0.0%) +545.6% to +613.1%: 0 occurrences (0.0%) 579.4% +613.1% to +680.7%: 0 occurrences (0.0%) +680.7% to +748.2%: 1 occurrences (0.2%) +748.2% to +815.7%: 4 occurrences (0.8%) 781.9% +815.7% to +883.2%: 5 occurrences (1.0%) +883.2% to +950.7%: 2 occurrences (0.4%) +950.7% to +1018.2%: 2 occurrences (0.4%) 984.5%
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) 72.2% 42.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.5% Adjusts normal bell curve for real-world skewness (10.83) and kurtosis (181.41).
Standard Normal (Black-Scholes / GBM) 91.8% 45.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.5% 43.8% Filters for historical windows that started with volatility similar to current 20-day HV (178 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 200.7%
  • Recent 20-Day HV: 148.8%
  • Parkinson Intraday Volatility: 92.7%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +74.0%
  • Bottom 10% Move (10th percentile): -23.6%
  • Max Historical Gain (14d): +1018.2%
  • Max Historical Loss (14d): -62.0%