Finance

LYEL Move Probability $9.38 -0.03 (-0.3%)

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)
70.3%
Stock touched +5.0% ($9.85) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
32.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.16x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.7%
$7.35 — $11.41

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%.

-40.8% to -32.5%: 11 occurrences (2.2%) -36.7% -32.5% to -24.3%: 42 occurrences (8.3%) -24.3% to -16.0%: 85 occurrences (16.7%) -16.0% to -7.8%: 70 occurrences (13.8%) -11.9% -7.8% to +0.5%: 86 occurrences (16.9%) +0.5% to +8.7%: 77 occurrences (15.1%) +8.7% to +17.0%: 43 occurrences (8.4%) 12.9% +17.0% to +25.2%: 47 occurrences (9.2%) +25.2% to +33.5%: 18 occurrences (3.5%) +33.5% to +41.7%: 9 occurrences (1.8%) 37.6% +41.7% to +50.0%: 9 occurrences (1.8%) +50.0% to +58.2%: 4 occurrences (0.8%) +58.2% to +66.5%: 3 occurrences (0.6%) 62.4% +66.5% to +74.7%: 1 occurrences (0.2%) +74.7% to +83.0%: 2 occurrences (0.4%) +83.0% to +91.3%: 2 occurrences (0.4%) 87.1%
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) 70.3% 32.6% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.3% Adjusts normal bell curve for real-world skewness (1.4) and kurtosis (12.33).
Standard Normal (Black-Scholes / GBM) 82.2% 41.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.3% 35.2% Filters for historical windows that started with volatility similar to current 20-day HV (341 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 91.9%
  • Recent 20-Day HV: 72.9%
  • Parkinson Intraday Volatility: 71.1%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.9%
  • Top 10% Move (90th percentile): +24.4%
  • Bottom 10% Move (10th percentile): -24.5%
  • Max Historical Gain (14d): +91.3%
  • Max Historical Loss (14d): -40.8%