Finance

LULU Move Probability $101.03 +4.50 (+4.7%)

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)
55.6%
Stock touched +5.0% ($106.08) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
26.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.13x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.6%
$89.31 — $112.75

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%.

-30.9% to -27.0%: 6 occurrences (1.2%) -29.0% -27.0% to -23.1%: 7 occurrences (1.4%) -23.1% to -19.2%: 18 occurrences (3.5%) -19.2% to -15.3%: 36 occurrences (7.1%) -17.3% -15.3% to -11.4%: 44 occurrences (8.6%) -11.4% to -7.5%: 53 occurrences (10.4%) -7.5% to -3.6%: 54 occurrences (10.6%) -5.5% -3.6% to +0.3%: 75 occurrences (14.7%) +0.3% to +4.2%: 69 occurrences (13.6%) +4.2% to +8.1%: 59 occurrences (11.6%) 6.2% +8.1% to +12.0%: 44 occurrences (8.6%) +12.0% to +15.9%: 18 occurrences (3.5%) +15.9% to +19.9%: 16 occurrences (3.1%) 17.9% +19.9% to +23.8%: 6 occurrences (1.2%) +23.8% to +27.7%: 1 occurrences (0.2%) +27.7% to +31.6%: 3 occurrences (0.6%) 29.6%
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) 55.6% 26.1% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.2% Adjusts normal bell curve for real-world skewness (-1.74) and kurtosis (12.55).
Standard Normal (Black-Scholes / GBM) 67.4% 33.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.9% 22.6% Filters for historical windows that started with volatility similar to current 20-day HV (340 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.2%
  • Recent 20-Day HV: 36.1%
  • Parkinson Intraday Volatility: 33.2%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.1%
  • Top 10% Move (90th percentile): +11.5%
  • Bottom 10% Move (10th percentile): -16.5%
  • Max Historical Gain (14d): +31.6%
  • Max Historical Loss (14d): -30.9%