Finance

LULU Move Probability $100.72 +4.19 (+4.3%)

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)
6.3%
Stock touched +5.0% ($105.76) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
3.30x
You are 3.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.1%
$97.60 — $103.85

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-19.7% to -17.5%: 2 occurrences (0.4%) -18.6% -17.5% to -15.3%: 1 occurrences (0.2%) -15.3% to -13.1%: 2 occurrences (0.4%) -13.1% to -10.8%: 0 occurrences (0.0%) -11.9% -10.8% to -8.6%: 2 occurrences (0.4%) -8.6% to -6.4%: 2 occurrences (0.4%) -6.4% to -4.1%: 15 occurrences (2.9%) -5.3% -4.1% to -1.9%: 92 occurrences (17.6%) -1.9% to +0.3%: 174 occurrences (33.3%) +0.3% to +2.5%: 159 occurrences (30.5%) 1.4% +2.5% to +4.8%: 60 occurrences (11.5%) +4.8% to +7.0%: 8 occurrences (1.5%) +7.0% to +9.2%: 2 occurrences (0.4%) 8.1% +9.2% to +11.5%: 2 occurrences (0.4%) +11.5% to +13.7%: 0 occurrences (0.0%) +13.7% to +15.9%: 1 occurrences (0.2%) 14.8%
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) 6.3% 1.9% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.8% Adjusts normal bell curve for real-world skewness (-1.74) and kurtosis (12.55).
Standard Normal (Black-Scholes / GBM) 11.6% 5.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 6.8% 2.3% Filters for historical windows that started with volatility similar to current 20-day HV (353 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)

1-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +3.1%
  • Bottom 10% Move (10th percentile): -3.2%
  • Max Historical Gain (1d): +15.9%
  • Max Historical Loss (1d): -19.7%