Finance

LYRA Move Probability $0.49 -0.79 (-61.3%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to LYRA Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
43.2%
Stock touched +5.0% ($0.52) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
21.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.03x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±52.5%
$0.24 — $0.75

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-65.9% to +88.3%: 478 occurrences (94.3%) 11.2% +88.3% to +242.4%: 9 occurrences (1.8%) +242.4% to +396.5%: 5 occurrences (1.0%) +396.5% to +550.6%: 2 occurrences (0.4%) 473.5% +550.6% to +704.7%: 0 occurrences (0.0%) +704.7% to +858.8%: 1 occurrences (0.2%) +858.8% to +1013.0%: 2 occurrences (0.4%) 935.9% +1013.0% to +1167.1%: 1 occurrences (0.2%) +1167.1% to +1321.2%: 0 occurrences (0.0%) +1321.2% to +1475.3%: 1 occurrences (0.2%) 1398.2% +1475.3% to +1629.4%: 1 occurrences (0.2%) +1629.4% to +1783.5%: 0 occurrences (0.0%) +1783.5% to +1937.7%: 0 occurrences (0.0%) 1860.6% +1937.7% to +2091.8%: 3 occurrences (0.6%) +2091.8% to +2245.9%: 1 occurrences (0.2%) +2245.9% to +2400.0%: 3 occurrences (0.6%) 2322.9%
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) 43.2% 21.3% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.7% Adjusts normal bell curve for real-world skewness (8.7) and kurtosis (135.5).
Standard Normal (Black-Scholes / GBM) 92.6% 46.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (118 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 222.6%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 80.5%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +16.6%
  • Bottom 10% Move (10th percentile): -33.7%
  • Max Historical Gain (14d): +2400.0%
  • Max Historical Loss (14d): -65.9%