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)
23.6%
Stock touched +5.0% ($0.55) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
11.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$0.50 — $0.55

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-13.6% to -10.7%: 4 occurrences (0.8%) -12.1% -10.7% to -7.9%: 17 occurrences (3.3%) -7.9% to -5.1%: 46 occurrences (8.8%) -5.1% to -2.3%: 102 occurrences (19.6%) -3.7% -2.3% to +0.5%: 157 occurrences (30.1%) +0.5% to +3.3%: 99 occurrences (19.0%) +3.3% to +6.2%: 54 occurrences (10.4%) 4.7% +6.2% to +9.0%: 23 occurrences (4.4%) +9.0% to +11.8%: 7 occurrences (1.3%) +11.8% to +14.6%: 2 occurrences (0.4%) 13.2% +14.6% to +17.4%: 4 occurrences (0.8%) +17.4% to +20.2%: 3 occurrences (0.6%) +20.2% to +23.0%: 1 occurrences (0.2%) 21.6% +23.0% to +25.9%: 0 occurrences (0.0%) +25.9% to +28.7%: 1 occurrences (0.2%) +28.7% to +31.5%: 1 occurrences (0.2%) 30.1%
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) 23.6% 11.9% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.5% Adjusts normal bell curve for real-world skewness (0.94) and kurtosis (3.52).
Standard Normal (Black-Scholes / GBM) 33.2% 16.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.8% 13.9% Filters for historical windows that started with volatility similar to current 20-day HV (367 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

1-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +5.4%
  • Bottom 10% Move (10th percentile): -6.0%
  • Max Historical Gain (1d): +31.5%
  • Max Historical Loss (1d): -13.6%