Finance

LMT Move Probability $582.96 +30.99 (+5.6%)

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)
1.5%
Stock touched +5.0% ($612.11) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
4.00x
You are 4.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.7%
$572.77 — $593.15

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-11.0% to -9.7%: 1 occurrences (0.2%) -10.4% -9.7% to -8.4%: 1 occurrences (0.2%) -8.4% to -7.0%: 0 occurrences (0.0%) -7.0% to -5.7%: 1 occurrences (0.2%) -6.4% -5.7% to -4.4%: 4 occurrences (0.8%) -4.4% to -3.0%: 11 occurrences (2.1%) -3.0% to -1.7%: 35 occurrences (6.7%) -2.4% -1.7% to -0.4%: 141 occurrences (27.0%) -0.4% to +1.0%: 201 occurrences (38.5%) +1.0% to +2.3%: 84 occurrences (16.1%) 1.6% +2.3% to +3.7%: 35 occurrences (6.7%) +3.7% to +5.0%: 6 occurrences (1.1%) +5.0% to +6.3%: 1 occurrences (0.2%) 5.7% +6.3% to +7.7%: 0 occurrences (0.0%) +7.7% to +9.0%: 0 occurrences (0.0%) +9.0% to +10.3%: 1 occurrences (0.2%) 9.7%
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) 1.5% 0.4% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 58.2% Adjusts normal bell curve for real-world skewness (-0.65) and kurtosis (7.32).
Standard Normal (Black-Scholes / GBM) 0.5% 0.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.3% 0.6% Filters for historical windows that started with volatility similar to current 20-day HV (350 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.7%
  • Recent 20-Day HV: 30.2%
  • Parkinson Intraday Volatility: 21.3%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.1%
  • Bottom 10% Move (10th percentile): -1.8%
  • Max Historical Gain (1d): +10.3%
  • Max Historical Loss (1d): -11.0%