Finance

LNC Move Probability $40.40 +0.85 (+2.2%)

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)
53.9%
Stock touched +5.0% ($42.42) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
33.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.59x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.8%
$36.86 — $43.94

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%.

-21.7% to -19.2%: 4 occurrences (0.8%) -20.5% -19.2% to -16.6%: 9 occurrences (1.8%) -16.6% to -14.0%: 5 occurrences (1.0%) -14.0% to -11.4%: 11 occurrences (2.2%) -12.7% -11.4% to -8.8%: 15 occurrences (3.0%) -8.8% to -6.2%: 41 occurrences (8.1%) -6.2% to -3.6%: 44 occurrences (8.7%) -4.9% -3.6% to -1.0%: 64 occurrences (12.6%) -1.0% to +1.6%: 61 occurrences (12.0%) +1.6% to +4.1%: 62 occurrences (12.2%) 2.8% +4.1% to +6.7%: 57 occurrences (11.2%) +6.7% to +9.3%: 58 occurrences (11.4%) +9.3% to +11.9%: 34 occurrences (6.7%) 10.6% +11.9% to +14.5%: 22 occurrences (4.3%) +14.5% to +17.1%: 16 occurrences (3.1%) +17.1% to +19.7%: 5 occurrences (1.0%) 18.4%
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) 53.9% 33.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.7% Adjusts normal bell curve for real-world skewness (0.07) and kurtosis (6.45).
Standard Normal (Black-Scholes / GBM) 57.7% 28.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.2% 34.4% Filters for historical windows that started with volatility similar to current 20-day HV (227 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.1%
  • Recent 20-Day HV: 22.4%
  • Parkinson Intraday Volatility: 27.8%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +10.9%
  • Bottom 10% Move (10th percentile): -8.4%
  • Max Historical Gain (14d): +19.7%
  • Max Historical Loss (14d): -21.7%