Finance

LMND Move Probability $45.31 -0.06 (-0.1%)

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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Touch Probability (First Passage)
77.4%
Stock touched +5.0% ($47.58) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
42.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.82x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.4%
$36.54 — $54.08

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%.

-37.3% to -27.8%: 14 occurrences (2.8%) -32.5% -27.8% to -18.3%: 35 occurrences (6.9%) -18.3% to -8.9%: 76 occurrences (15.0%) -8.9% to +0.6%: 119 occurrences (23.4%) -4.1% +0.6% to +10.1%: 109 occurrences (21.5%) +10.1% to +19.5%: 73 occurrences (14.4%) +19.5% to +29.0%: 33 occurrences (6.5%) 24.3% +29.0% to +38.5%: 13 occurrences (2.6%) +38.5% to +48.0%: 10 occurrences (2.0%) +48.0% to +57.4%: 7 occurrences (1.4%) 52.7% +57.4% to +66.9%: 5 occurrences (1.0%) +66.9% to +76.4%: 4 occurrences (0.8%) +76.4% to +85.8%: 4 occurrences (0.8%) 81.1% +85.8% to +95.3%: 1 occurrences (0.2%) +95.3% to +104.8%: 2 occurrences (0.4%) +104.8% to +114.2%: 3 occurrences (0.6%) 109.5%
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) 77.4% 42.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.2% Adjusts normal bell curve for real-world skewness (0.54) and kurtosis (5.31).
Standard Normal (Black-Scholes / GBM) 80.1% 40.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.2% 40.4% Filters for historical windows that started with volatility similar to current 20-day HV (52 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 82.1%
  • Recent 20-Day HV: 38.2%
  • Parkinson Intraday Volatility: 64.9%
  • Vol Trend: Compressed (-53% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +28.2%
  • Bottom 10% Move (10th percentile): -17.9%
  • Max Historical Gain (14d): +114.2%
  • Max Historical Loss (14d): -37.3%