Finance

LVO Move Probability $2.59 +0.28 (+12.1%)

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)
74.8%
Stock touched +5.0% ($2.72) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.39x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.1%
$2.02 — $3.16

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%.

-47.8% to -41.3%: 4 occurrences (0.8%) -44.6% -41.3% to -34.8%: 11 occurrences (2.2%) -34.8% to -28.3%: 10 occurrences (2.0%) -28.3% to -21.8%: 14 occurrences (2.8%) -25.0% -21.8% to -15.3%: 68 occurrences (13.4%) -15.3% to -8.7%: 86 occurrences (16.9%) -8.7% to -2.2%: 78 occurrences (15.4%) -5.5% -2.2% to +4.3%: 67 occurrences (13.2%) +4.3% to +10.8%: 55 occurrences (10.8%) +10.8% to +17.3%: 48 occurrences (9.4%) 14.0% +17.3% to +23.8%: 28 occurrences (5.5%) +23.8% to +30.3%: 18 occurrences (3.5%) +30.3% to +36.8%: 11 occurrences (2.2%) 33.6% +36.8% to +43.3%: 2 occurrences (0.4%) +43.3% to +49.9%: 6 occurrences (1.2%) +49.9% to +56.4%: 2 occurrences (0.4%) 53.1%
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) 74.8% 31.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.0% Adjusts normal bell curve for real-world skewness (0.15) and kurtosis (2.24).
Standard Normal (Black-Scholes / GBM) 82.5% 41.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.5% 32.1% Filters for historical windows that started with volatility similar to current 20-day HV (355 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 93.7%
  • Recent 20-Day HV: 113.9%
  • Parkinson Intraday Volatility: 73.5%
  • Vol Trend: Expanded (+21% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.3%
  • Top 10% Move (90th percentile): +20.6%
  • Bottom 10% Move (10th percentile): -20.1%
  • Max Historical Gain (14d): +56.4%
  • Max Historical Loss (14d): -47.8%