Finance

LTBR Move Probability $5.41 +0.17 (+3.3%)

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)
79.9%
Stock touched +5.0% ($5.68) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
37.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.14x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±29.8%
$3.79 — $7.02

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%.

-45.9% to -23.4%: 41 occurrences (8.1%) -34.7% -23.4% to -0.9%: 239 occurrences (47.0%) -0.9% to +21.6%: 122 occurrences (24.0%) +21.6% to +44.1%: 58 occurrences (11.4%) 32.8% +44.1% to +66.6%: 21 occurrences (4.1%) +66.6% to +89.1%: 11 occurrences (2.2%) +89.1% to +111.6%: 5 occurrences (1.0%) 100.4% +111.6% to +134.1%: 3 occurrences (0.6%) +134.1% to +156.6%: 2 occurrences (0.4%) +156.6% to +179.1%: 1 occurrences (0.2%) 167.9% +179.1% to +201.6%: 1 occurrences (0.2%) +201.6% to +224.1%: 1 occurrences (0.2%) +224.1% to +246.6%: 2 occurrences (0.4%) 235.4% +246.6% to +269.2%: 0 occurrences (0.0%) +269.2% to +291.7%: 0 occurrences (0.0%) +291.7% to +314.2%: 1 occurrences (0.2%) 302.9%
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) 79.9% 37.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.2% Adjusts normal bell curve for real-world skewness (1.02) and kurtosis (5.06).
Standard Normal (Black-Scholes / GBM) 87.0% 43.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.8% 40.3% Filters for historical windows that started with volatility similar to current 20-day HV (211 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 126.5%
  • Recent 20-Day HV: 69.9%
  • Parkinson Intraday Volatility: 100.6%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.1%
  • Top 10% Move (90th percentile): +42.1%
  • Bottom 10% Move (10th percentile): -22.0%
  • Max Historical Gain (14d): +314.2%
  • Max Historical Loss (14d): -45.9%