Finance

LRMR Move Probability $2.40 -0.05 (-1.8%)

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)
71.3%
Stock touched +5.0% ($2.53) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
39.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±44.4%
$1.34 — $3.47

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%.

-44.3% to +27.7%: 431 occurrences (84.8%) -8.3% +27.7% to +99.6%: 51 occurrences (10.0%) +99.6% to +171.6%: 12 occurrences (2.4%) +171.6% to +243.6%: 0 occurrences (0.0%) 207.6% +243.6% to +315.5%: 0 occurrences (0.0%) +315.5% to +387.5%: 0 occurrences (0.0%) +387.5% to +459.5%: 0 occurrences (0.0%) 423.5% +459.5% to +531.4%: 0 occurrences (0.0%) +531.4% to +603.4%: 0 occurrences (0.0%) +603.4% to +675.4%: 0 occurrences (0.0%) 639.4% +675.4% to +747.3%: 0 occurrences (0.0%) +747.3% to +819.3%: 0 occurrences (0.0%) +819.3% to +891.3%: 1 occurrences (0.2%) 855.3% +891.3% to +963.3%: 6 occurrences (1.2%) +963.3% to +1035.2%: 3 occurrences (0.6%) +1035.2% to +1107.2%: 4 occurrences (0.8%) 1071.2%
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) 71.3% 39.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.2% Adjusts normal bell curve for real-world skewness (13.04) and kurtosis (230.34).
Standard Normal (Black-Scholes / GBM) 91.3% 45.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.0% 36.9% Filters for historical windows that started with volatility similar to current 20-day HV (287 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 188.5%
  • Recent 20-Day HV: 105.0%
  • Parkinson Intraday Volatility: 79.0%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +54.3%
  • Bottom 10% Move (10th percentile): -23.2%
  • Max Historical Gain (14d): +1107.2%
  • Max Historical Loss (14d): -44.3%