Finance

LITB Move Probability $2.90 -0.18 (-5.7%)

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)
50.0%
Stock touched +5.0% ($3.05) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
24.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.08x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.9%
$2.27 — $3.54

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%.

-54.6% to -43.6%: 5 occurrences (1.0%) -49.1% -43.6% to -32.5%: 14 occurrences (2.8%) -32.5% to -21.5%: 23 occurrences (4.5%) -21.5% to -10.5%: 80 occurrences (15.7%) -16.0% -10.5% to +0.6%: 205 occurrences (40.4%) +0.6% to +11.6%: 86 occurrences (16.9%) +11.6% to +22.7%: 18 occurrences (3.5%) 17.1% +22.7% to +33.7%: 19 occurrences (3.7%) +33.7% to +44.7%: 6 occurrences (1.2%) +44.7% to +55.8%: 13 occurrences (2.6%) 50.3% +55.8% to +66.8%: 5 occurrences (1.0%) +66.8% to +77.8%: 15 occurrences (3.0%) +77.8% to +88.9%: 8 occurrences (1.6%) 83.4% +88.9% to +99.9%: 3 occurrences (0.6%) +99.9% to +111.0%: 6 occurrences (1.2%) +111.0% to +122.0%: 2 occurrences (0.4%) 116.5%
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) 50.0% 24.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.2% Adjusts normal bell curve for real-world skewness (-0.01) and kurtosis (19.85).
Standard Normal (Black-Scholes / GBM) 82.3% 41.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.5% 45.5% Filters for historical windows that started with volatility similar to current 20-day HV (11 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 92.8%
  • Recent 20-Day HV: 21.2%
  • Parkinson Intraday Volatility: 32.7%
  • Vol Trend: Compressed (-77% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.5%
  • Top 10% Move (90th percentile): +45.3%
  • Bottom 10% Move (10th percentile): -19.3%
  • Max Historical Gain (14d): +122.0%
  • Max Historical Loss (14d): -54.6%