Finance

ZSTK Move Probability $3.91 -0.25 (-6.0%)

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)
63.7%
Stock touched +5.0% ($4.11) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±46.6%
$2.09 — $5.73

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-91.9% to -80.5%: 14 occurrences (2.8%) -86.2% -80.5% to -69.0%: 0 occurrences (0.0%) -69.0% to -57.5%: 1 occurrences (0.2%) -57.5% to -46.0%: 22 occurrences (4.3%) -51.7% -46.0% to -34.5%: 42 occurrences (8.3%) -34.5% to -23.0%: 63 occurrences (12.4%) -23.0% to -11.5%: 100 occurrences (19.7%) -17.3% -11.5% to -0.1%: 83 occurrences (16.4%) -0.1% to +11.4%: 66 occurrences (13.0%) +11.4% to +22.9%: 62 occurrences (12.2%) 17.2% +22.9% to +34.4%: 25 occurrences (4.9%) +34.4% to +45.9%: 18 occurrences (3.6%) +45.9% to +57.4%: 9 occurrences (1.8%) 51.6% +57.4% to +68.9%: 0 occurrences (0.0%) +68.9% to +80.3%: 0 occurrences (0.0%) +80.3% to +91.8%: 2 occurrences (0.4%) 86.1%
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) 63.7% 29.2% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 78.0% Adjusts normal bell curve for real-world skewness (-10.24) and kurtosis (178.76).
Standard Normal (Black-Scholes / GBM) 91.7% 45.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.5% 23.5% Filters for historical windows that started with volatility similar to current 20-day HV (149 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 197.7%
  • Recent 20-Day HV: 70.3%
  • Parkinson Intraday Volatility: 108.8%
  • Vol Trend: Compressed (-64% vs baseline)

14-Day Return Quantiles

  • Median Return: -9.4%
  • Top 10% Move (90th percentile): +24.7%
  • Bottom 10% Move (10th percentile): -41.0%
  • Max Historical Gain (14d): +91.8%
  • Max Historical Loss (14d): -91.9%