Finance

LIF Move Probability $44.48 +1.09 (+2.5%)

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)
68.1%
Stock touched +5.0% ($46.70) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
36.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.7%
$37.51 — $51.45

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%.

-32.7% to -27.2%: 10 occurrences (2.0%) -30.0% -27.2% to -21.7%: 11 occurrences (2.2%) -21.7% to -16.2%: 29 occurrences (5.7%) -16.2% to -10.6%: 48 occurrences (9.4%) -13.4% -10.6% to -5.1%: 72 occurrences (14.2%) -5.1% to +0.4%: 84 occurrences (16.5%) +0.4% to +5.9%: 82 occurrences (16.1%) 3.2% +5.9% to +11.5%: 63 occurrences (12.4%) +11.5% to +17.0%: 51 occurrences (10.0%) +17.0% to +22.5%: 28 occurrences (5.5%) 19.7% +22.5% to +28.0%: 15 occurrences (3.0%) +28.0% to +33.6%: 2 occurrences (0.4%) +33.6% to +39.1%: 2 occurrences (0.4%) 36.3% +39.1% to +44.6%: 6 occurrences (1.2%) +44.6% to +50.1%: 4 occurrences (0.8%) +50.1% to +55.6%: 1 occurrences (0.2%) 52.9%
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) 68.1% 36.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.8% Adjusts normal bell curve for real-world skewness (-0.73) and kurtosis (9.29).
Standard Normal (Black-Scholes / GBM) 75.5% 37.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.5% 37.6% Filters for historical windows that started with volatility similar to current 20-day HV (189 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 66.5%
  • Recent 20-Day HV: 40.6%
  • Parkinson Intraday Volatility: 39.9%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +17.4%
  • Bottom 10% Move (10th percentile): -15.6%
  • Max Historical Gain (14d): +55.6%
  • Max Historical Loss (14d): -32.7%