Finance

LCLN Move Probability $24.03 -0.23 (-0.9%)

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)
65.6%
Stock touched +5.0% ($25.23) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.54x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.0%
$21.38 — $26.68

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 93 historical windows (2026-05-20 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-14.7% to -12.7%: 3 occurrences (3.2%) -13.7% -12.7% to -10.6%: 6 occurrences (6.5%) -10.6% to -8.5%: 3 occurrences (3.2%) -8.5% to -6.4%: 12 occurrences (12.9%) -7.5% -6.4% to -4.4%: 4 occurrences (4.3%) -4.4% to -2.3%: 6 occurrences (6.5%) -2.3% to -0.2%: 8 occurrences (8.6%) -1.3% -0.2% to +1.8%: 4 occurrences (4.3%) +1.8% to +3.9%: 15 occurrences (16.1%) +3.9% to +6.0%: 10 occurrences (10.8%) 4.9% +6.0% to +8.0%: 2 occurrences (2.2%) +8.0% to +10.1%: 6 occurrences (6.5%) +10.1% to +12.2%: 6 occurrences (6.5%) 11.1% +12.2% to +14.2%: 3 occurrences (3.2%) +14.2% to +16.3%: 3 occurrences (3.2%) +16.3% to +18.4%: 2 occurrences (2.2%) 17.3%
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) 65.6% 25.8% Model-free reality across 93 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.1% Adjusts normal bell curve for real-world skewness (0.5) and kurtosis (2.22).
Standard Normal (Black-Scholes / GBM) 65.8% 32.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.2% 23.1% Filters for historical windows that started with volatility similar to current 20-day HV (26 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 46.8%
  • Recent 20-Day HV: 31.7%
  • Parkinson Intraday Volatility: 38.4%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +11.8%
  • Bottom 10% Move (10th percentile): -10.0%
  • Max Historical Gain (14d): +18.4%
  • Max Historical Loss (14d): -14.7%