Finance

LYTS Move Probability $19.68 +0.34 (+1.7%)

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)
49.4%
Stock touched +5.0% ($20.66) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
27.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.9%
$17.73 — $21.62

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%.

-24.9% to -21.6%: 6 occurrences (1.2%) -23.3% -21.6% to -18.2%: 15 occurrences (3.0%) -18.2% to -14.8%: 11 occurrences (2.2%) -14.8% to -11.4%: 18 occurrences (3.5%) -13.1% -11.4% to -8.0%: 31 occurrences (6.1%) -8.0% to -4.6%: 43 occurrences (8.5%) -4.6% to -1.2%: 69 occurrences (13.6%) -2.9% -1.2% to +2.1%: 91 occurrences (17.9%) +2.1% to +5.5%: 93 occurrences (18.3%) +5.5% to +8.9%: 36 occurrences (7.1%) 7.2% +8.9% to +12.3%: 31 occurrences (6.1%) +12.3% to +15.7%: 15 occurrences (3.0%) +15.7% to +19.1%: 13 occurrences (2.6%) 17.4% +19.1% to +22.5%: 11 occurrences (2.2%) +22.5% to +25.9%: 16 occurrences (3.1%) +25.9% to +29.2%: 9 occurrences (1.8%) 27.5%
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) 49.4% 27.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.2% Adjusts normal bell curve for real-world skewness (1.08) and kurtosis (14.67).
Standard Normal (Black-Scholes / GBM) 62.1% 31.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.0% 33.0% Filters for historical windows that started with volatility similar to current 20-day HV (306 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.8%
  • Recent 20-Day HV: 30.3%
  • Parkinson Intraday Volatility: 26.6%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +15.1%
  • Bottom 10% Move (10th percentile): -11.2%
  • Max Historical Gain (14d): +29.2%
  • Max Historical Loss (14d): -24.9%