LSF Move Probability $3.13 +0.38 (+13.8%)
Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.
Touch Probability (First Passage)
63.3%
Stock touched +5.0% ($3.29) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
36.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±42.3%
$1.81 — $4.45
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%.
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) | 63.3% | 36.3% | Model-free reality across 507 historical 14-day windows. |
| Fat-Tail Adjusted (Cornish-Fisher) | — | 0.1% | Adjusts normal bell curve for real-world skewness (14.49) and kurtosis (268.32). |
| Standard Normal (Black-Scholes / GBM) | 90.8% | 45.4% | Classic theoretical log-normal model with constant volatility (often underestimates tail risks). |
| Regime-Conditioned (Similar Volatility) | 58.2% | 28.5% | Filters for historical windows that started with volatility similar to current 20-day HV (316 matching periods). |
Underlying Volatility Profile
Volatility Metrics
- 1-Year Annualized HV: 179.5%
- Recent 20-Day HV: 72.5%
- Parkinson Intraday Volatility: 45.4%
- Vol Trend: Compressed (-60% vs baseline)
14-Day Return Quantiles
- Median Return: -1.3%
- Top 10% Move (90th percentile): +35.1%
- Bottom 10% Move (10th percentile): -17.5%
- Max Historical Gain (14d): +1648.3%
- Max Historical Loss (14d): -32.9%