Finance

LFT Move Probability $4.21 -0.08 (-1.8%)

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)
40.0%
Stock touched +5.0% ($4.42) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
14.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.82x
You are 2.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.9%
$3.79 — $4.63

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%.

-30.3% to -27.0%: 9 occurrences (1.8%) -28.6% -27.0% to -23.6%: 5 occurrences (1.0%) -23.6% to -20.3%: 11 occurrences (2.2%) -20.3% to -17.0%: 9 occurrences (1.8%) -18.6% -17.0% to -13.6%: 22 occurrences (4.3%) -13.6% to -10.3%: 49 occurrences (9.6%) -10.3% to -7.0%: 61 occurrences (12.0%) -8.6% -7.0% to -3.6%: 63 occurrences (12.4%) -3.6% to -0.3%: 61 occurrences (12.0%) -0.3% to +3.0%: 103 occurrences (20.3%) 1.4% +3.0% to +6.4%: 64 occurrences (12.6%) +6.4% to +9.7%: 37 occurrences (7.3%) +9.7% to +13.0%: 5 occurrences (1.0%) 11.4% +13.0% to +16.4%: 6 occurrences (1.2%) +16.4% to +19.7%: 2 occurrences (0.4%) +19.7% to +23.1%: 1 occurrences (0.2%) 21.4%
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) 40.0% 14.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.4% Adjusts normal bell curve for real-world skewness (-0.48) and kurtosis (3.79).
Standard Normal (Black-Scholes / GBM) 62.2% 31.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.3% 17.3% Filters for historical windows that started with volatility similar to current 20-day HV (162 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 42.0%
  • Recent 20-Day HV: 63.0%
  • Parkinson Intraday Volatility: 26.3%
  • Vol Trend: Expanded (+50% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.1%
  • Top 10% Move (90th percentile): +6.3%
  • Bottom 10% Move (10th percentile): -14.6%
  • Max Historical Gain (14d): +23.1%
  • Max Historical Loss (14d): -30.3%