Finance

LQD Move Probability $102.53 -0.05 (-0.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to LQD Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
0.0%
Stock touched +5.0% ($107.66) at least once during 14 trading days.
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.5%
$100.99 — $104.07

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-3.4% to -3.0%: 3 occurrences (0.6%) -3.2% -3.0% to -2.6%: 16 occurrences (3.1%) -2.6% to -2.2%: 16 occurrences (3.1%) -2.2% to -1.8%: 27 occurrences (5.3%) -2.0% -1.8% to -1.4%: 28 occurrences (5.5%) -1.4% to -1.0%: 25 occurrences (4.9%) -1.0% to -0.6%: 46 occurrences (9.1%) -0.8% -0.6% to -0.2%: 63 occurrences (12.4%) -0.2% to +0.2%: 53 occurrences (10.4%) +0.2% to +0.6%: 63 occurrences (12.4%) 0.4% +0.6% to +1.1%: 62 occurrences (12.2%) +1.1% to +1.5%: 43 occurrences (8.5%) +1.5% to +1.9%: 24 occurrences (4.7%) 1.7% +1.9% to +2.3%: 24 occurrences (4.7%) +2.3% to +2.7%: 12 occurrences (2.4%) +2.7% to +3.1%: 3 occurrences (0.6%) 2.9%
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) 0.0% 0.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.2% Adjusts normal bell curve for real-world skewness (-0.35) and kurtosis (2.39).
Standard Normal (Black-Scholes / GBM) 0.1% 0.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (388 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 6.4%
  • Recent 20-Day HV: 6.8%
  • Parkinson Intraday Volatility: 4.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.7%
  • Bottom 10% Move (10th percentile): -1.9%
  • Max Historical Gain (14d): +3.1%
  • Max Historical Loss (14d): -3.4%