Finance

LGL Move Probability $6.72 -0.01 (-0.1%)

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)
29.7%
Stock touched +5.0% ($7.06) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
21.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.37x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.5%
$6.21 — $7.23

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%.

-14.6% to -12.2%: 7 occurrences (1.4%) -13.4% -12.2% to -9.7%: 7 occurrences (1.4%) -9.7% to -7.3%: 19 occurrences (3.7%) -7.3% to -4.9%: 22 occurrences (4.3%) -6.1% -4.9% to -2.5%: 93 occurrences (18.3%) -2.5% to -0.1%: 114 occurrences (22.4%) -0.1% to +2.3%: 97 occurrences (19.1%) 1.1% +2.3% to +4.8%: 39 occurrences (7.7%) +4.8% to +7.2%: 55 occurrences (10.8%) +7.2% to +9.6%: 19 occurrences (3.7%) 8.4% +9.6% to +12.0%: 11 occurrences (2.2%) +12.0% to +14.4%: 10 occurrences (2.0%) +14.4% to +16.9%: 3 occurrences (0.6%) 15.7% +16.9% to +19.3%: 4 occurrences (0.8%) +19.3% to +21.7%: 5 occurrences (1.0%) +21.7% to +24.1%: 3 occurrences (0.6%) 22.9%
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) 29.7% 21.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.1% Adjusts normal bell curve for real-world skewness (0.9) and kurtosis (23.04).
Standard Normal (Black-Scholes / GBM) 51.7% 25.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.3% 26.9% Filters for historical windows that started with volatility similar to current 20-day HV (201 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 32.0%
  • Recent 20-Day HV: 27.3%
  • Parkinson Intraday Volatility: 21.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +8.0%
  • Bottom 10% Move (10th percentile): -5.1%
  • Max Historical Gain (14d): +24.1%
  • Max Historical Loss (14d): -14.6%