Finance

LEGH Move Probability $27.26 +0.17 (+0.6%)

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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Touch Probability (First Passage)
51.4%
Stock touched +5.0% ($28.62) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
27.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.7%
$25.17 — $29.35

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%.

-21.0% to -18.3%: 5 occurrences (1.0%) -19.7% -18.3% to -15.7%: 8 occurrences (1.6%) -15.7% to -13.0%: 11 occurrences (2.2%) -13.0% to -10.4%: 16 occurrences (3.1%) -11.7% -10.4% to -7.7%: 23 occurrences (4.5%) -7.7% to -5.1%: 48 occurrences (9.4%) -5.1% to -2.4%: 66 occurrences (13.0%) -3.7% -2.4% to +0.2%: 69 occurrences (13.6%) +0.2% to +2.9%: 72 occurrences (14.2%) +2.9% to +5.6%: 69 occurrences (13.6%) 4.2% +5.6% to +8.2%: 53 occurrences (10.4%) +8.2% to +10.9%: 33 occurrences (6.5%) +10.9% to +13.5%: 19 occurrences (3.7%) 12.2% +13.5% to +16.2%: 5 occurrences (1.0%) +16.2% to +18.8%: 5 occurrences (1.0%) +18.8% to +21.5%: 6 occurrences (1.2%) 20.1%
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) 51.4% 27.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.1% Adjusts normal bell curve for real-world skewness (-0.09) and kurtosis (1.56).
Standard Normal (Black-Scholes / GBM) 52.4% 26.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 47.2% 27.1% Filters for historical windows that started with volatility similar to current 20-day HV (218 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 32.5%
  • Recent 20-Day HV: 22.2%
  • Parkinson Intraday Volatility: 22.3%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +9.4%
  • Bottom 10% Move (10th percentile): -9.0%
  • Max Historical Gain (14d): +21.5%
  • Max Historical Loss (14d): -21.0%