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 2 trading days.
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 2-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%)
±0.4%
$76.50 — $77.14

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-2.6% to -2.3%: 1 occurrences (0.2%) -2.4% -2.3% to -2.0%: 1 occurrences (0.2%) -2.0% to -1.7%: 0 occurrences (0.0%) -1.7% to -1.4%: 0 occurrences (0.0%) -1.5% -1.4% to -1.1%: 4 occurrences (0.8%) -1.1% to -0.8%: 7 occurrences (1.3%) -0.8% to -0.5%: 12 occurrences (2.3%) -0.7% -0.5% to -0.2%: 58 occurrences (11.2%) -0.2% to +0.1%: 205 occurrences (39.4%) +0.1% to +0.4%: 159 occurrences (30.6%) 0.2% +0.4% to +0.7%: 55 occurrences (10.6%) +0.7% to +0.9%: 10 occurrences (1.9%) +0.9% to +1.2%: 6 occurrences (1.2%) 1.1% +1.2% to +1.5%: 1 occurrences (0.2%) +1.5% to +1.8%: 0 occurrences (0.0%) +1.8% to +2.1%: 1 occurrences (0.2%) 2.0%
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 520 historical 2-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 (329 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

2-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +0.4%
  • Bottom 10% Move (10th percentile): -0.4%
  • Max Historical Gain (2d): +2.1%
  • Max Historical Loss (2d): -2.6%