Finance

ZYME Move Probability $28.13 +1.23 (+4.6%)

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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Touch Probability (First Passage)
70.3%
Stock touched +5.0% ($29.54) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
37.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.1%
$24.72 — $31.54

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%.

-25.7% to -20.2%: 5 occurrences (1.0%) -22.9% -20.2% to -14.7%: 16 occurrences (3.1%) -14.7% to -9.1%: 55 occurrences (10.8%) -9.1% to -3.6%: 77 occurrences (15.2%) -6.4% -3.6% to +1.9%: 106 occurrences (20.9%) +1.9% to +7.4%: 101 occurrences (19.9%) +7.4% to +12.9%: 70 occurrences (13.8%) 10.2% +12.9% to +18.5%: 37 occurrences (7.3%) +18.5% to +24.0%: 18 occurrences (3.5%) +24.0% to +29.5%: 9 occurrences (1.8%) 26.8% +29.5% to +35.0%: 5 occurrences (1.0%) +35.0% to +40.6%: 3 occurrences (0.6%) +40.6% to +46.1%: 4 occurrences (0.8%) 43.3% +46.1% to +51.6%: 0 occurrences (0.0%) +51.6% to +57.1%: 1 occurrences (0.2%) +57.1% to +62.7%: 1 occurrences (0.2%) 59.9%
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) 70.3% 37.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.5% Adjusts normal bell curve for real-world skewness (0.96) and kurtosis (7.05).
Standard Normal (Black-Scholes / GBM) 68.7% 34.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.5% 35.5% Filters for historical windows that started with volatility similar to current 20-day HV (428 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.4%
  • Recent 20-Day HV: 48.3%
  • Parkinson Intraday Volatility: 40.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +16.0%
  • Bottom 10% Move (10th percentile): -11.2%
  • Max Historical Gain (14d): +62.7%
  • Max Historical Loss (14d): -25.7%