Finance

LQD Move Probability $102.56 -0.02 (-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.

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Touch Probability (First Passage)
0.0%
Stock touched +5.0% ($107.69) at least once during 3 trading days.
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 3-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%)
±0.7%
$101.85 — $103.27

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-3.3% to -3.0%: 1 occurrences (0.2%) -3.2% -3.0% to -2.7%: 0 occurrences (0.0%) -2.7% to -2.3%: 0 occurrences (0.0%) -2.3% to -2.0%: 2 occurrences (0.4%) -2.2% -2.0% to -1.7%: 6 occurrences (1.2%) -1.7% to -1.3%: 11 occurrences (2.1%) -1.3% to -1.0%: 16 occurrences (3.1%) -1.2% -1.0% to -0.7%: 37 occurrences (7.1%) -0.7% to -0.3%: 79 occurrences (15.2%) -0.3% to +0.0%: 105 occurrences (20.2%) -0.2% +0.0% to +0.3%: 100 occurrences (19.3%) +0.3% to +0.7%: 87 occurrences (16.8%) +0.7% to +1.0%: 46 occurrences (8.9%) 0.8% +1.0% to +1.3%: 17 occurrences (3.3%) +1.3% to +1.7%: 7 occurrences (1.3%) +1.7% to +2.0%: 5 occurrences (1.0%) 1.8%
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 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (-0.35) and kurtosis (2.39).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% 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 (399 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

3-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +0.8%
  • Bottom 10% Move (10th percentile): -0.8%
  • Max Historical Gain (3d): +2.0%
  • Max Historical Loss (3d): -3.3%