Finance

LEGN Move Probability $18.64 -0.37 (-1.9%)

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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Touch Probability (First Passage)
61.8%
Stock touched +5.0% ($19.57) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
26.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.36x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.3%
$15.97 — $21.31

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%.

-31.6% to -26.8%: 7 occurrences (1.4%) -29.2% -26.8% to -22.0%: 15 occurrences (3.0%) -22.0% to -17.2%: 36 occurrences (7.1%) -17.2% to -12.5%: 40 occurrences (7.9%) -14.8% -12.5% to -7.7%: 76 occurrences (15.0%) -7.7% to -2.9%: 88 occurrences (17.3%) -2.9% to +1.9%: 76 occurrences (15.0%) -0.5% +1.9% to +6.7%: 48 occurrences (9.4%) +6.7% to +11.5%: 38 occurrences (7.5%) +11.5% to +16.2%: 23 occurrences (4.5%) 13.8% +16.2% to +21.0%: 29 occurrences (5.7%) +21.0% to +25.8%: 13 occurrences (2.6%) +25.8% to +30.6%: 10 occurrences (2.0%) 28.2% +30.6% to +35.4%: 3 occurrences (0.6%) +35.4% to +40.1%: 4 occurrences (0.8%) +40.1% to +44.9%: 2 occurrences (0.4%) 42.5%
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) 61.8% 26.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.7% Adjusts normal bell curve for real-world skewness (1.42) and kurtosis (15.48).
Standard Normal (Black-Scholes / GBM) 73.3% 36.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.4% 30.8% Filters for historical windows that started with volatility similar to current 20-day HV (344 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 60.7%
  • Recent 20-Day HV: 53.8%
  • Parkinson Intraday Volatility: 50.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -3.3%
  • Top 10% Move (90th percentile): +18.3%
  • Bottom 10% Move (10th percentile): -17.8%
  • Max Historical Gain (14d): +44.9%
  • Max Historical Loss (14d): -31.6%