Finance

LION Move Probability $12.67 +0.50 (+4.1%)

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

← Back to LION Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
64.4%
Stock touched +5.0% ($13.30) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
37.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.72x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.8%
$11.18 — $14.16

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%.

-21.8% to -18.2%: 5 occurrences (1.0%) -20.0% -18.2% to -14.6%: 14 occurrences (2.8%) -14.6% to -11.1%: 40 occurrences (7.9%) -11.1% to -7.5%: 42 occurrences (8.3%) -9.3% -7.5% to -3.9%: 63 occurrences (12.4%) -3.9% to -0.4%: 61 occurrences (12.0%) -0.4% to +3.2%: 66 occurrences (13.0%) 1.4% +3.2% to +6.8%: 62 occurrences (12.2%) +6.8% to +10.4%: 44 occurrences (8.7%) +10.4% to +13.9%: 37 occurrences (7.3%) 12.1% +13.9% to +17.5%: 37 occurrences (7.3%) +17.5% to +21.1%: 16 occurrences (3.1%) +21.1% to +24.6%: 8 occurrences (1.6%) 22.9% +24.6% to +28.2%: 7 occurrences (1.4%) +28.2% to +31.8%: 3 occurrences (0.6%) +31.8% to +35.4%: 3 occurrences (0.6%) 33.6%
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) 64.4% 37.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.9% Adjusts normal bell curve for real-world skewness (1.23) and kurtosis (5.55).
Standard Normal (Black-Scholes / GBM) 67.8% 33.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.1% 44.5% Filters for historical windows that started with volatility similar to current 20-day HV (357 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.9%
  • Recent 20-Day HV: 54.7%
  • Parkinson Intraday Volatility: 41.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +16.1%
  • Bottom 10% Move (10th percentile): -11.6%
  • Max Historical Gain (14d): +35.4%
  • Max Historical Loss (14d): -21.8%