Finance

SCHD Move Probability $35.19 +0.53 (+1.5%)

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)
0.2%
Stock touched +5.0% ($36.95) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.2%
Stock closed at or beyond +5.0% at the end of the 1-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%)
±0.9%
$34.88 — $35.50

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-5.5% to -4.7%: 1 occurrences (0.2%) -5.1% -4.7% to -4.0%: 1 occurrences (0.2%) -4.0% to -3.3%: 1 occurrences (0.2%) -3.3% to -2.5%: 1 occurrences (0.2%) -2.9% -2.5% to -1.8%: 3 occurrences (0.6%) -1.8% to -1.1%: 24 occurrences (4.6%) -1.1% to -0.3%: 132 occurrences (25.3%) -0.7% -0.3% to +0.4%: 202 occurrences (38.7%) +0.4% to +1.2%: 108 occurrences (20.7%) +1.2% to +1.9%: 42 occurrences (8.0%) 1.5% +1.9% to +2.6%: 5 occurrences (1.0%) +2.6% to +3.4%: 1 occurrences (0.2%) +3.4% to +4.1%: 0 occurrences (0.0%) 3.7% +4.1% to +4.9%: 0 occurrences (0.0%) +4.9% to +5.6%: 0 occurrences (0.0%) +5.6% to +6.3%: 1 occurrences (0.2%) 6.0%
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) 0.2% 0.2% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (-0.11) and kurtosis (8.63).
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 (456 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

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +1.1%
  • Bottom 10% Move (10th percentile): -0.9%
  • Max Historical Gain (1d): +6.3%
  • Max Historical Loss (1d): -5.5%