Finance

LENZ Move Probability $3.23 +0.04 (+1.1%)

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)
69.7%
Stock touched +5.0% ($3.39) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.4%
$2.63 — $3.82

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%.

-47.1% to -40.5%: 6 occurrences (1.2%) -43.8% -40.5% to -33.9%: 19 occurrences (3.7%) -33.9% to -27.3%: 22 occurrences (4.3%) -27.3% to -20.8%: 36 occurrences (7.1%) -24.0% -20.8% to -14.2%: 54 occurrences (10.6%) -14.2% to -7.6%: 79 occurrences (15.6%) -7.6% to -1.0%: 72 occurrences (14.2%) -4.3% -1.0% to +5.6%: 63 occurrences (12.4%) +5.6% to +12.2%: 64 occurrences (12.6%) +12.2% to +18.7%: 39 occurrences (7.7%) 15.5% +18.7% to +25.3%: 28 occurrences (5.5%) +25.3% to +31.9%: 12 occurrences (2.4%) +31.9% to +38.5%: 5 occurrences (1.0%) 35.2% +38.5% to +45.1%: 6 occurrences (1.2%) +45.1% to +51.7%: 2 occurrences (0.4%) +51.7% to +58.3%: 1 occurrences (0.2%) 55.0%
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) 69.7% 31.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 40.2% Adjusts normal bell curve for real-world skewness (-1.0) and kurtosis (5.33).
Standard Normal (Black-Scholes / GBM) 79.0% 39.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.9% 27.4% Filters for historical windows that started with volatility similar to current 20-day HV (350 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 77.9%
  • Recent 20-Day HV: 61.6%
  • Parkinson Intraday Volatility: 64.2%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.5%
  • Top 10% Move (90th percentile): +19.0%
  • Bottom 10% Move (10th percentile): -25.5%
  • Max Historical Gain (14d): +58.3%
  • Max Historical Loss (14d): -47.1%