Finance

LTRX Move Probability $5.93 +0.12 (+2.2%)

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)
80.5%
Stock touched +5.0% ($6.23) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
42.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.5%
$4.89 — $6.97

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%.

-38.1% to -31.4%: 7 occurrences (1.4%) -34.7% -31.4% to -24.7%: 15 occurrences (3.0%) -24.7% to -18.1%: 32 occurrences (6.3%) -18.1% to -11.4%: 44 occurrences (8.7%) -14.8% -11.4% to -4.8%: 64 occurrences (12.6%) -4.8% to +1.9%: 81 occurrences (15.9%) +1.9% to +8.5%: 99 occurrences (19.5%) 5.2% +8.5% to +15.2%: 58 occurrences (11.4%) +15.2% to +21.9%: 49 occurrences (9.6%) +21.9% to +28.5%: 28 occurrences (5.5%) 25.2% +28.5% to +35.2%: 15 occurrences (3.0%) +35.2% to +41.8%: 4 occurrences (0.8%) +41.8% to +48.5%: 6 occurrences (1.2%) 45.2% +48.5% to +55.2%: 3 occurrences (0.6%) +55.2% to +61.8%: 1 occurrences (0.2%) +61.8% to +68.5%: 2 occurrences (0.4%) 65.1%
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) 80.5% 42.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.5% Adjusts normal bell curve for real-world skewness (-0.87) and kurtosis (7.56).
Standard Normal (Black-Scholes / GBM) 78.0% 39.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 83.1% 41.4% Filters for historical windows that started with volatility similar to current 20-day HV (302 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 74.3%
  • Recent 20-Day HV: 55.0%
  • Parkinson Intraday Volatility: 54.6%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.6%
  • Top 10% Move (90th percentile): +22.7%
  • Bottom 10% Move (10th percentile): -19.0%
  • Max Historical Gain (14d): +68.5%
  • Max Historical Loss (14d): -38.1%