Finance

ZTS Move Probability $79.61 -0.42 (-0.5%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
30.9%
Stock touched +5.0% ($83.59) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
10.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.02x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.8%
$73.36 — $85.86

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%.

-37.0% to -33.7%: 5 occurrences (1.0%) -35.4% -33.7% to -30.5%: 4 occurrences (0.8%) -30.5% to -27.2%: 5 occurrences (1.0%) -27.2% to -23.9%: 0 occurrences (0.0%) -25.6% -23.9% to -20.7%: 0 occurrences (0.0%) -20.7% to -17.4%: 7 occurrences (1.4%) -17.4% to -14.2%: 6 occurrences (1.2%) -15.8% -14.2% to -10.9%: 5 occurrences (1.0%) -10.9% to -7.6%: 33 occurrences (6.5%) -7.6% to -4.4%: 84 occurrences (16.5%) -6.0% -4.4% to -1.1%: 109 occurrences (21.5%) -1.1% to +2.2%: 126 occurrences (24.8%) +2.2% to +5.4%: 80 occurrences (15.7%) 3.8% +5.4% to +8.7%: 33 occurrences (6.5%) +8.7% to +11.9%: 8 occurrences (1.6%) +11.9% to +15.2%: 3 occurrences (0.6%) 13.6%
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) 30.9% 10.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.0% Adjusts normal bell curve for real-world skewness (-3.63) and kurtosis (36.32).
Standard Normal (Black-Scholes / GBM) 53.4% 26.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 26.6% 8.8% Filters for historical windows that started with volatility similar to current 20-day HV (342 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.3%
  • Recent 20-Day HV: 24.7%
  • Parkinson Intraday Volatility: 25.0%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +5.0%
  • Bottom 10% Move (10th percentile): -8.4%
  • Max Historical Gain (14d): +15.2%
  • Max Historical Loss (14d): -37.0%