Finance

HYG Move Probability $76.82 -0.27 (-0.4%)

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)
0.0%
Stock touched +5.0% ($80.66) at least once during 14 trading days.
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.1%
$75.98 — $77.66

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-4.1% to -3.6%: 1 occurrences (0.2%) -3.9% -3.6% to -3.1%: 0 occurrences (0.0%) -3.1% to -2.5%: 3 occurrences (0.6%) -2.5% to -2.0%: 3 occurrences (0.6%) -2.3% -2.0% to -1.5%: 16 occurrences (3.1%) -1.5% to -1.0%: 19 occurrences (3.7%) -1.0% to -0.5%: 52 occurrences (10.2%) -0.7% -0.5% to +0.1%: 82 occurrences (16.1%) +0.1% to +0.6%: 172 occurrences (33.9%) +0.6% to +1.1%: 103 occurrences (20.3%) 0.9% +1.1% to +1.6%: 40 occurrences (7.9%) +1.6% to +2.2%: 6 occurrences (1.2%) +2.2% to +2.7%: 4 occurrences (0.8%) 2.4% +2.7% to +3.2%: 5 occurrences (1.0%) +3.2% to +3.7%: 1 occurrences (0.2%) +3.7% to +4.2%: 1 occurrences (0.2%) 4.0%
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) 0.0% 0.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (0.6) and kurtosis (14.89).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% 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 (317 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 4.6%
  • Recent 20-Day HV: 4.2%
  • Parkinson Intraday Volatility: 3.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +1.2%
  • Bottom 10% Move (10th percentile): -0.9%
  • Max Historical Gain (14d): +4.2%
  • Max Historical Loss (14d): -4.1%