Finance

LONA Move Probability $5.30 +0.26 (+5.2%)

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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Touch Probability (First Passage)
65.5%
Stock touched +5.0% ($5.57) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
36.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.78x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.6%
$4.00 — $6.60

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-64.1% to -53.7%: 2 occurrences (0.4%) -58.9% -53.7% to -43.3%: 2 occurrences (0.4%) -43.3% to -32.9%: 3 occurrences (0.6%) -32.9% to -22.5%: 38 occurrences (7.5%) -27.7% -22.5% to -12.1%: 101 occurrences (19.9%) -12.1% to -1.6%: 102 occurrences (20.1%) -1.6% to +8.8%: 104 occurrences (20.5%) 3.6% +8.8% to +19.2%: 64 occurrences (12.6%) +19.2% to +29.6%: 28 occurrences (5.5%) +29.6% to +40.0%: 16 occurrences (3.2%) 34.8% +40.0% to +50.4%: 15 occurrences (3.0%) +50.4% to +60.8%: 7 occurrences (1.4%) +60.8% to +71.2%: 9 occurrences (1.8%) 66.0% +71.2% to +81.6%: 9 occurrences (1.8%) +81.6% to +92.1%: 6 occurrences (1.2%) +92.1% to +102.5%: 1 occurrences (0.2%) 97.3%
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) 65.5% 36.7% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.2% Adjusts normal bell curve for real-world skewness (1.3) and kurtosis (12.61).
Standard Normal (Black-Scholes / GBM) 84.3% 42.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 47.5% 6.8% Filters for historical windows that started with volatility similar to current 20-day HV (59 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 104.3%
  • Recent 20-Day HV: 228.4%
  • Parkinson Intraday Volatility: 60.3%
  • Vol Trend: Expanded (+119% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +35.7%
  • Bottom 10% Move (10th percentile): -20.5%
  • Max Historical Gain (14d): +102.5%
  • Max Historical Loss (14d): -64.1%