Finance

LFST Move Probability $12.33 +0.12 (+1.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to LFST Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
60.0%
Stock touched +5.0% ($12.95) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
30.3%
Stock closed at or beyond +5.0% at the end of the 14-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%)
±11.2%
$10.95 — $13.71

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%.

-19.3% to -15.3%: 15 occurrences (3.0%) -17.3% -15.3% to -11.2%: 34 occurrences (6.7%) -11.2% to -7.1%: 40 occurrences (7.9%) -7.1% to -3.1%: 80 occurrences (15.7%) -5.1% -3.1% to +1.0%: 96 occurrences (18.9%) +1.0% to +5.1%: 91 occurrences (17.9%) +5.1% to +9.1%: 52 occurrences (10.2%) 7.1% +9.1% to +13.2%: 32 occurrences (6.3%) +13.2% to +17.3%: 19 occurrences (3.7%) +17.3% to +21.4%: 10 occurrences (2.0%) 19.3% +21.4% to +25.4%: 11 occurrences (2.2%) +25.4% to +29.5%: 11 occurrences (2.2%) +29.5% to +33.6%: 5 occurrences (1.0%) 31.5% +33.6% to +37.6%: 2 occurrences (0.4%) +37.6% to +41.7%: 6 occurrences (1.2%) +41.7% to +45.8%: 4 occurrences (0.8%) 43.7%
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) 60.0% 30.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.5% Adjusts normal bell curve for real-world skewness (1.45) and kurtosis (16.81).
Standard Normal (Black-Scholes / GBM) 66.3% 33.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.4% 33.6% Filters for historical windows that started with volatility similar to current 20-day HV (268 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.6%
  • Recent 20-Day HV: 32.2%
  • Parkinson Intraday Volatility: 36.3%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +16.2%
  • Bottom 10% Move (10th percentile): -11.0%
  • Max Historical Gain (14d): +45.8%
  • Max Historical Loss (14d): -19.3%