Finance

DBX Move Probability $36.59 +0.25 (+0.7%)

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)
51.2%
Stock touched +5.0% ($38.42) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.2%
$33.59 — $39.59

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%.

-23.0% to -20.2%: 4 occurrences (0.8%) -21.6% -20.2% to -17.3%: 9 occurrences (1.8%) -17.3% to -14.4%: 4 occurrences (0.8%) -14.4% to -11.5%: 6 occurrences (1.2%) -12.9% -11.5% to -8.6%: 11 occurrences (2.2%) -8.6% to -5.7%: 37 occurrences (7.3%) -5.7% to -2.8%: 65 occurrences (12.8%) -4.3% -2.8% to +0.1%: 77 occurrences (15.2%) +0.1% to +3.0%: 92 occurrences (18.1%) +3.0% to +5.8%: 74 occurrences (14.6%) 4.4% +5.8% to +8.7%: 65 occurrences (12.8%) +8.7% to +11.6%: 35 occurrences (6.9%) +11.6% to +14.5%: 18 occurrences (3.5%) 13.1% +14.5% to +17.4%: 5 occurrences (1.0%) +17.4% to +20.3%: 4 occurrences (0.8%) +20.3% to +23.2%: 2 occurrences (0.4%) 21.7%
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) 51.2% 29.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.7% Adjusts normal bell curve for real-world skewness (-0.44) and kurtosis (11.69).
Standard Normal (Black-Scholes / GBM) 55.2% 27.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.9% 36.0% Filters for historical windows that started with volatility similar to current 20-day HV (347 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.8%
  • Recent 20-Day HV: 33.3%
  • Parkinson Intraday Volatility: 27.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.4%
  • Top 10% Move (90th percentile): +9.4%
  • Bottom 10% Move (10th percentile): -7.0%
  • Max Historical Gain (14d): +23.2%
  • Max Historical Loss (14d): -23.0%