Finance

LDI Move Probability $0.53 -0.01 (-2.0%)

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)
68.9%
Stock touched +5.0% ($0.55) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
27.2%
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%)
±18.8%
$0.43 — $0.63

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%.

-35.8% to -25.7%: 28 occurrences (5.5%) -30.7% -25.7% to -15.6%: 94 occurrences (18.5%) -15.6% to -5.4%: 151 occurrences (29.7%) -5.4% to +4.7%: 94 occurrences (18.5%) -0.4% +4.7% to +14.8%: 74 occurrences (14.6%) +14.8% to +24.9%: 31 occurrences (6.1%) +24.9% to +35.0%: 15 occurrences (3.0%) 30.0% +35.0% to +45.1%: 3 occurrences (0.6%) +45.1% to +55.3%: 6 occurrences (1.2%) +55.3% to +65.4%: 1 occurrences (0.2%) 60.3% +65.4% to +75.5%: 1 occurrences (0.2%) +75.5% to +85.6%: 3 occurrences (0.6%) +85.6% to +95.7%: 0 occurrences (0.0%) 90.7% +95.7% to +105.8%: 2 occurrences (0.4%) +105.8% to +115.9%: 2 occurrences (0.4%) +115.9% to +126.1%: 3 occurrences (0.6%) 121.0%
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) 68.9% 27.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.4% Adjusts normal bell curve for real-world skewness (0.94) and kurtosis (3.52).
Standard Normal (Black-Scholes / GBM) 79.5% 39.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.8% 33.1% Filters for historical windows that started with volatility similar to current 20-day HV (354 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 79.8%
  • Recent 20-Day HV: 84.2%
  • Parkinson Intraday Volatility: 66.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -7.0%
  • Top 10% Move (90th percentile): +20.0%
  • Bottom 10% Move (10th percentile): -22.1%
  • Max Historical Gain (14d): +126.1%
  • Max Historical Loss (14d): -35.8%