Finance

LIEN Move Probability $9.10 +0.00 (+0.0%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
27.5%
Stock touched +5.0% ($9.55) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
17.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.0%
$8.55 — $9.65

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 506 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-15.2% to -13.0%: 3 occurrences (0.6%) -14.1% -13.0% to -10.9%: 2 occurrences (0.4%) -10.9% to -8.8%: 10 occurrences (2.0%) -8.8% to -6.6%: 15 occurrences (3.0%) -7.7% -6.6% to -4.5%: 40 occurrences (7.9%) -4.5% to -2.4%: 85 occurrences (16.8%) -2.4% to -0.2%: 96 occurrences (19.0%) -1.3% -0.2% to +1.9%: 102 occurrences (20.2%) +1.9% to +4.0%: 52 occurrences (10.3%) +4.0% to +6.2%: 33 occurrences (6.5%) 5.1% +6.2% to +8.3%: 42 occurrences (8.3%) +8.3% to +10.4%: 13 occurrences (2.6%) +10.4% to +12.6%: 5 occurrences (1.0%) 11.5% +12.6% to +14.7%: 2 occurrences (0.4%) +14.7% to +16.8%: 0 occurrences (0.0%) +16.8% to +19.0%: 6 occurrences (1.2%) 17.9%
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) 27.5% 17.4% Model-free reality across 506 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.1% Adjusts normal bell curve for real-world skewness (0.71) and kurtosis (9.27).
Standard Normal (Black-Scholes / GBM) 41.7% 20.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.0% 15.0% Filters for historical windows that started with volatility similar to current 20-day HV (313 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.5%
  • Recent 20-Day HV: 27.9%
  • Parkinson Intraday Volatility: 11.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +6.9%
  • Bottom 10% Move (10th percentile): -5.2%
  • Max Historical Gain (14d): +19.0%
  • Max Historical Loss (14d): -15.2%