Finance

LITE Move Probability $851.22 +29.05 (+3.5%)

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)
29.8%
Stock touched +5.0% ($893.78) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
17.3%
Stock closed at or beyond +5.0% at the end of the 1-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%)
±5.2%
$806.69 — $895.75

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-22.5% to -19.6%: 2 occurrences (0.4%) -21.0% -19.6% to -16.7%: 0 occurrences (0.0%) -16.7% to -13.8%: 1 occurrences (0.2%) -13.8% to -10.9%: 5 occurrences (1.0%) -12.4% -10.9% to -8.1%: 19 occurrences (3.6%) -8.1% to -5.2%: 35 occurrences (6.7%) -5.2% to -2.3%: 66 occurrences (12.7%) -3.8% -2.3% to +0.6%: 131 occurrences (25.1%) +0.6% to +3.4%: 126 occurrences (24.2%) +3.4% to +6.3%: 76 occurrences (14.6%) 4.9% +6.3% to +9.2%: 33 occurrences (6.3%) +9.2% to +12.1%: 18 occurrences (3.5%) +12.1% to +14.9%: 4 occurrences (0.8%) 13.5% +14.9% to +17.8%: 3 occurrences (0.6%) +17.8% to +20.7%: 1 occurrences (0.2%) +20.7% to +23.6%: 1 occurrences (0.2%) 22.1%
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) 29.8% 17.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.5% Adjusts normal bell curve for real-world skewness (-0.26) and kurtosis (2.18).
Standard Normal (Black-Scholes / GBM) 35.1% 17.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 32.2% 17.0% Filters for historical windows that started with volatility similar to current 20-day HV (270 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 83.1%
  • Recent 20-Day HV: 75.9%
  • Parkinson Intraday Volatility: 67.0%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +6.8%
  • Bottom 10% Move (10th percentile): -5.7%
  • Max Historical Gain (1d): +23.6%
  • Max Historical Loss (1d): -22.5%