Finance

LZ Move Probability $5.24 -0.71 (-12.0%)

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)
62.5%
Stock touched +5.0% ($5.50) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
30.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.05x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.1%
$4.50 — $5.97

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-10-10 to 2026-11-06). The colored bar indicates the win zone for +5.0%.

-32.6% to -28.0%: 5 occurrences (1.0%) -30.3% -28.0% to -23.4%: 12 occurrences (2.4%) -23.4% to -18.8%: 17 occurrences (3.4%) -18.8% to -14.1%: 14 occurrences (2.8%) -16.5% -14.1% to -9.5%: 41 occurrences (8.1%) -9.5% to -4.9%: 76 occurrences (15.0%) -4.9% to -0.3%: 89 occurrences (17.6%) -2.6% -0.3% to +4.3%: 91 occurrences (17.9%) +4.3% to +9.0%: 49 occurrences (9.7%) +9.0% to +13.6%: 42 occurrences (8.3%) 11.3% +13.6% to +18.2%: 25 occurrences (4.9%) +18.2% to +22.8%: 15 occurrences (3.0%) +22.8% to +27.5%: 7 occurrences (1.4%) 25.1% +27.5% to +32.1%: 14 occurrences (2.8%) +32.1% to +36.7%: 5 occurrences (1.0%) +36.7% to +41.3%: 5 occurrences (1.0%) 39.0%
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) 62.5% 30.6% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.9% Adjusts normal bell curve for real-world skewness (-1.06) and kurtosis (23.84).
Standard Normal (Black-Scholes / GBM) 72.9% 36.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.4% 20.3% Filters for historical windows that started with volatility similar to current 20-day HV (123 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 59.8%
  • Recent 20-Day HV: 86.7%
  • Parkinson Intraday Volatility: 40.6%
  • Vol Trend: Expanded (+45% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +16.9%
  • Bottom 10% Move (10th percentile): -13.0%
  • Max Historical Gain (14d): +41.3%
  • Max Historical Loss (14d): -32.6%