Finance

ZVIA Move Probability $1.26 +0.04 (+3.3%)

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)
69.1%
Stock touched +5.0% ($1.32) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
35.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.4%
$1.00 — $1.52

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%.

-40.7% to -31.1%: 14 occurrences (2.8%) -35.9% -31.1% to -21.4%: 20 occurrences (3.9%) -21.4% to -11.7%: 96 occurrences (18.9%) -11.7% to -2.0%: 115 occurrences (22.6%) -6.8% -2.0% to +7.7%: 114 occurrences (22.4%) +7.7% to +17.4%: 66 occurrences (13.0%) +17.4% to +27.1%: 21 occurrences (4.1%) 22.3% +27.1% to +36.8%: 22 occurrences (4.3%) +36.8% to +46.5%: 15 occurrences (3.0%) +46.5% to +56.2%: 12 occurrences (2.4%) 51.3% +56.2% to +65.9%: 1 occurrences (0.2%) +65.9% to +75.6%: 4 occurrences (0.8%) +75.6% to +85.3%: 3 occurrences (0.6%) 80.4% +85.3% to +95.0%: 2 occurrences (0.4%) +95.0% to +104.7%: 2 occurrences (0.4%) +104.7% to +114.4%: 1 occurrences (0.2%) 109.5%
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) 69.1% 35.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.5% Adjusts normal bell curve for real-world skewness (0.97) and kurtosis (12.25).
Standard Normal (Black-Scholes / GBM) 81.1% 40.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.5% 32.6% Filters for historical windows that started with volatility similar to current 20-day HV (89 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 86.4%
  • Recent 20-Day HV: 36.4%
  • Parkinson Intraday Volatility: 66.0%
  • Vol Trend: Compressed (-58% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.6%
  • Top 10% Move (90th percentile): +30.9%
  • Bottom 10% Move (10th percentile): -18.5%
  • Max Historical Gain (14d): +114.4%
  • Max Historical Loss (14d): -40.7%