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)
2.5%
Stock touched +5.0% ($38.42) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.5%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.62x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.2%
$35.79 — $37.39

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.1% to -14.1%: 1 occurrences (0.2%) -15.1% -14.1% to -12.2%: 0 occurrences (0.0%) -12.2% to -10.2%: 0 occurrences (0.0%) -10.2% to -8.2%: 1 occurrences (0.2%) -9.2% -8.2% to -6.3%: 1 occurrences (0.2%) -6.3% to -4.3%: 6 occurrences (1.2%) -4.3% to -2.4%: 40 occurrences (7.7%) -3.4% -2.4% to -0.4%: 144 occurrences (27.6%) -0.4% to +1.5%: 229 occurrences (44.0%) +1.5% to +3.5%: 79 occurrences (15.2%) 2.5% +3.5% to +5.4%: 14 occurrences (2.7%) +5.4% to +7.4%: 2 occurrences (0.4%) +7.4% to +9.3%: 3 occurrences (0.6%) 8.4% +9.3% to +11.3%: 0 occurrences (0.0%) +11.3% to +13.2%: 0 occurrences (0.0%) +13.2% to +15.2%: 1 occurrences (0.2%) 14.2%
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) 2.5% 1.5% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.6% Adjusts normal bell curve for real-world skewness (-0.44) and kurtosis (11.69).
Standard Normal (Black-Scholes / GBM) 2.6% 1.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.3% 1.9% Filters for historical windows that started with volatility similar to current 20-day HV (360 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

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +2.3%
  • Bottom 10% Move (10th percentile): -2.3%
  • Max Historical Gain (1d): +15.2%
  • Max Historical Loss (1d): -16.1%