Finance

LAB Move Probability $0.64 -0.00 (-0.3%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
74.4%
Stock touched +5.0% ($0.67) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
30.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.42x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.1%
$0.53 — $0.75

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%.

-41.1% to -36.5%: 1 occurrences (0.2%) -38.8% -36.5% to -31.8%: 3 occurrences (0.6%) -31.8% to -27.1%: 7 occurrences (1.4%) -27.1% to -22.4%: 18 occurrences (3.5%) -24.8% -22.4% to -17.8%: 27 occurrences (5.3%) -17.8% to -13.1%: 47 occurrences (9.3%) -13.1% to -8.4%: 61 occurrences (12.0%) -10.8% -8.4% to -3.7%: 73 occurrences (14.4%) -3.7% to +0.9%: 63 occurrences (12.4%) +0.9% to +5.6%: 65 occurrences (12.8%) 3.3% +5.6% to +10.3%: 50 occurrences (9.8%) +10.3% to +15.0%: 41 occurrences (8.1%) +15.0% to +19.6%: 23 occurrences (4.5%) 17.3% +19.6% to +24.3%: 13 occurrences (2.6%) +24.3% to +29.0%: 10 occurrences (2.0%) +29.0% to +33.7%: 6 occurrences (1.2%) 31.3%
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) 74.4% 30.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.5% Adjusts normal bell curve for real-world skewness (-0.42) and kurtosis (7.74).
Standard Normal (Black-Scholes / GBM) 77.5% 38.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.0% 30.1% Filters for historical windows that started with volatility similar to current 20-day HV (229 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 72.5%
  • Recent 20-Day HV: 47.8%
  • Parkinson Intraday Volatility: 63.2%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.2%
  • Top 10% Move (90th percentile): +15.4%
  • Bottom 10% Move (10th percentile): -18.4%
  • Max Historical Gain (14d): +33.7%
  • Max Historical Loss (14d): -41.1%