Finance

LYFT Move Probability $17.41 +0.62 (+3.7%)

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)
10.0%
Stock touched +5.0% ($18.29) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
5.0%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.4%
$16.82 — $18.01

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%.

-17.0% to -14.2%: 1 occurrences (0.2%) -15.6% -14.2% to -11.4%: 0 occurrences (0.0%) -11.4% to -8.6%: 2 occurrences (0.4%) -8.6% to -5.8%: 11 occurrences (2.1%) -7.2% -5.8% to -3.0%: 60 occurrences (11.5%) -3.0% to -0.2%: 165 occurrences (31.6%) -0.2% to +2.6%: 190 occurrences (36.4%) 1.2% +2.6% to +5.4%: 71 occurrences (13.6%) +5.4% to +8.3%: 15 occurrences (2.9%) +8.3% to +11.1%: 3 occurrences (0.6%) 9.7% +11.1% to +13.9%: 2 occurrences (0.4%) +13.9% to +16.7%: 0 occurrences (0.0%) +16.7% to +19.5%: 0 occurrences (0.0%) 18.1% +19.5% to +22.3%: 0 occurrences (0.0%) +22.3% to +25.1%: 1 occurrences (0.2%) +25.1% to +27.9%: 1 occurrences (0.2%) 26.5%
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) 10.0% 5.0% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.8% Adjusts normal bell curve for real-world skewness (0.84) and kurtosis (9.06).
Standard Normal (Black-Scholes / GBM) 15.4% 7.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 7.1% 4.7% Filters for historical windows that started with volatility similar to current 20-day HV (85 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 54.3%
  • Recent 20-Day HV: 28.0%
  • Parkinson Intraday Volatility: 43.6%
  • Vol Trend: Compressed (-48% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +3.7%
  • Bottom 10% Move (10th percentile): -3.5%
  • Max Historical Gain (1d): +27.9%
  • Max Historical Loss (1d): -17.0%