Finance

LLY Move Probability $1270.89 -14.01 (-1.1%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
56.7%
Stock touched +5.0% ($1334.43) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
28.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.96x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.9%
$1158.00 — $1383.78

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%.

-19.9% to -17.0%: 7 occurrences (1.4%) -18.4% -17.0% to -14.0%: 7 occurrences (1.4%) -14.0% to -11.1%: 19 occurrences (3.7%) -11.1% to -8.2%: 36 occurrences (7.1%) -9.6% -8.2% to -5.2%: 31 occurrences (6.1%) -5.2% to -2.3%: 74 occurrences (14.6%) -2.3% to +0.6%: 78 occurrences (15.4%) -0.8% +0.6% to +3.6%: 72 occurrences (14.2%) +3.6% to +6.5%: 63 occurrences (12.4%) +6.5% to +9.4%: 41 occurrences (8.1%) 8.0% +9.4% to +12.4%: 35 occurrences (6.9%) +12.4% to +15.3%: 16 occurrences (3.1%) +15.3% to +18.2%: 12 occurrences (2.4%) 16.8% +18.2% to +21.2%: 8 occurrences (1.6%) +21.2% to +24.1%: 5 occurrences (1.0%) +24.1% to +27.0%: 4 occurrences (0.8%) 25.6%
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) 56.7% 28.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.4% Adjusts normal bell curve for real-world skewness (-0.32) and kurtosis (7.04).
Standard Normal (Black-Scholes / GBM) 58.3% 29.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.8% 24.6% Filters for historical windows that started with volatility similar to current 20-day HV (342 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.7%
  • Recent 20-Day HV: 28.6%
  • Parkinson Intraday Volatility: 28.1%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +11.8%
  • Bottom 10% Move (10th percentile): -9.2%
  • Max Historical Gain (14d): +27.0%
  • Max Historical Loss (14d): -19.9%