Finance

LSAK Move Probability $4.22 -0.07 (-1.5%)

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)
38.5%
Stock touched +5.0% ($4.44) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
22.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.2%
$3.83 — $4.62

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-19.3% to -17.0%: 2 occurrences (0.4%) -18.1% -17.0% to -14.7%: 0 occurrences (0.0%) -14.7% to -12.4%: 6 occurrences (1.2%) -12.4% to -10.1%: 18 occurrences (3.5%) -11.3% -10.1% to -7.9%: 25 occurrences (4.9%) -7.9% to -5.6%: 49 occurrences (9.6%) -5.6% to -3.3%: 73 occurrences (14.3%) -4.4% -3.3% to -1.0%: 70 occurrences (13.8%) -1.0% to +1.3%: 70 occurrences (13.8%) +1.3% to +3.6%: 49 occurrences (9.6%) 2.4% +3.6% to +5.8%: 46 occurrences (9.0%) +5.8% to +8.1%: 37 occurrences (7.3%) +8.1% to +10.4%: 22 occurrences (4.3%) 9.3% +10.4% to +12.7%: 23 occurrences (4.5%) +12.7% to +15.0%: 10 occurrences (2.0%) +15.0% to +17.2%: 9 occurrences (1.8%) 16.1%
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) 38.5% 22.8% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.0% Adjusts normal bell curve for real-world skewness (-0.51) and kurtosis (9.82).
Standard Normal (Black-Scholes / GBM) 59.7% 29.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.8% 22.5% Filters for historical windows that started with volatility similar to current 20-day HV (369 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 39.2%
  • Recent 20-Day HV: 41.8%
  • Parkinson Intraday Volatility: 25.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +9.1%
  • Bottom 10% Move (10th percentile): -7.8%
  • Max Historical Gain (14d): +17.2%
  • Max Historical Loss (14d): -19.3%