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)
12.7%
Stock touched +5.0% ($1334.43) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
6.3%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.4%
$1228.22 — $1313.56

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.5% to -14.6%: 2 occurrences (0.4%) -15.5% -14.6% to -12.7%: 0 occurrences (0.0%) -12.7% to -10.8%: 0 occurrences (0.0%) -10.8% to -8.9%: 3 occurrences (0.6%) -9.8% -8.9% to -7.0%: 6 occurrences (1.2%) -7.0% to -5.1%: 15 occurrences (2.9%) -5.1% to -3.2%: 27 occurrences (5.2%) -4.2% -3.2% to -1.3%: 109 occurrences (21.0%) -1.3% to +0.6%: 123 occurrences (23.7%) +0.6% to +2.4%: 125 occurrences (24.0%) 1.5% +2.4% to +4.3%: 65 occurrences (12.5%) +4.3% to +6.2%: 25 occurrences (4.8%) +6.2% to +8.1%: 15 occurrences (2.9%) 7.2% +8.1% to +10.0%: 1 occurrences (0.2%) +10.0% to +11.9%: 2 occurrences (0.4%) +11.9% to +13.8%: 2 occurrences (0.4%) 12.8%
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) 12.7% 6.3% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.0% Adjusts normal bell curve for real-world skewness (-0.32) and kurtosis (7.04).
Standard Normal (Black-Scholes / GBM) 14.6% 7.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 12.7% 6.2% Filters for historical windows that started with volatility similar to current 20-day HV (353 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)

2-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +3.9%
  • Bottom 10% Move (10th percentile): -3.3%
  • Max Historical Gain (2d): +13.8%
  • Max Historical Loss (2d): -16.5%