Finance

SCHD Move Probability $35.24 +0.59 (+1.7%)

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)
9.0%
Stock touched +5.0% ($37.00) at least once during 14 trading days.
Median first touch: Day 11 of 14
Expiration Close Probability
5.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.3%
$34.09 — $36.39

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-12.3% to -11.0%: 1 occurrences (0.2%) -11.7% -11.0% to -9.6%: 2 occurrences (0.4%) -9.6% to -8.3%: 7 occurrences (1.4%) -8.3% to -6.9%: 4 occurrences (0.8%) -7.6% -6.9% to -5.6%: 3 occurrences (0.6%) -5.6% to -4.2%: 5 occurrences (1.0%) -4.2% to -2.9%: 28 occurrences (5.5%) -3.5% -2.9% to -1.5%: 46 occurrences (9.0%) -1.5% to -0.2%: 72 occurrences (14.1%) -0.2% to +1.2%: 103 occurrences (20.2%) 0.5% +1.2% to +2.6%: 106 occurrences (20.8%) +2.6% to +3.9%: 73 occurrences (14.3%) +3.9% to +5.3%: 38 occurrences (7.5%) 4.6% +5.3% to +6.6%: 9 occurrences (1.8%) +6.6% to +8.0%: 8 occurrences (1.6%) +8.0% to +9.3%: 4 occurrences (0.8%) 8.6%
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) 9.0% 5.3% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.7% Adjusts normal bell curve for real-world skewness (-0.11) and kurtosis (8.63).
Standard Normal (Black-Scholes / GBM) 13.5% 6.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 10.2% 5.9% Filters for historical windows that started with volatility similar to current 20-day HV (443 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 13.9%
  • Recent 20-Day HV: 12.1%
  • Parkinson Intraday Volatility: 11.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +4.1%
  • Bottom 10% Move (10th percentile): -2.9%
  • Max Historical Gain (14d): +9.3%
  • Max Historical Loss (14d): -12.3%