Finance

LEAT Move Probability $10.90 -0.10 (-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)
42.5%
Stock touched +5.0% ($11.45) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
26.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.6%
$9.63 — $12.17

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-21.6% to -16.7%: 6 occurrences (1.2%) -19.1% -16.7% to -11.9%: 10 occurrences (2.1%) -11.9% to -7.0%: 61 occurrences (12.5%) -7.0% to -2.2%: 130 occurrences (26.7%) -4.6% -2.2% to +2.7%: 118 occurrences (24.2%) +2.7% to +7.5%: 59 occurrences (12.1%) +7.5% to +12.4%: 50 occurrences (10.3%) 10.0% +12.4% to +17.2%: 15 occurrences (3.1%) +17.2% to +22.1%: 13 occurrences (2.7%) +22.1% to +27.0%: 5 occurrences (1.0%) 24.5% +27.0% to +31.8%: 6 occurrences (1.2%) +31.8% to +36.7%: 4 occurrences (0.8%) +36.7% to +41.5%: 2 occurrences (0.4%) 39.1% +41.5% to +46.4%: 1 occurrences (0.2%) +46.4% to +51.2%: 5 occurrences (1.0%) +51.2% to +56.1%: 2 occurrences (0.4%) 53.6%
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) 42.5% 26.9% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.3% Adjusts normal bell curve for real-world skewness (1.92) and kurtosis (27.42).
Standard Normal (Black-Scholes / GBM) 67.5% 33.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 37.8% 24.4% Filters for historical windows that started with volatility similar to current 20-day HV (164 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.4%
  • Recent 20-Day HV: 34.0%
  • Parkinson Intraday Volatility: 35.1%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +12.9%
  • Bottom 10% Move (10th percentile): -8.9%
  • Max Historical Gain (14d): +56.1%
  • Max Historical Loss (14d): -21.6%