Finance

SPY Move Probability $760.16 +4.44 (+0.6%)

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)
11.8%
Stock touched +5.0% ($798.17) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
6.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$731.84 — $788.48

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-12.2% to -10.6%: 1 occurrences (0.2%) -11.4% -10.6% to -9.1%: 3 occurrences (0.6%) -9.1% to -7.6%: 4 occurrences (0.8%) -7.6% to -6.1%: 7 occurrences (1.4%) -6.8% -6.1% to -4.6%: 11 occurrences (2.2%) -4.6% to -3.0%: 22 occurrences (4.3%) -3.0% to -1.5%: 39 occurrences (7.7%) -2.3% -1.5% to -0.0%: 91 occurrences (17.9%) -0.0% to +1.5%: 114 occurrences (22.4%) +1.5% to +3.0%: 116 occurrences (22.8%) 2.3% +3.0% to +4.6%: 54 occurrences (10.6%) +4.6% to +6.1%: 21 occurrences (4.1%) +6.1% to +7.6%: 10 occurrences (2.0%) 6.8% +7.6% to +9.1%: 8 occurrences (1.6%) +9.1% to +10.6%: 4 occurrences (0.8%) +10.6% to +12.1%: 3 occurrences (0.6%) 11.4%
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) 11.8% 6.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.0% Adjusts normal bell curve for real-world skewness (0.49) and kurtosis (15.42).
Standard Normal (Black-Scholes / GBM) 19.0% 9.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 6.5% 2.8% Filters for historical windows that started with volatility similar to current 20-day HV (353 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 15.8%
  • Recent 20-Day HV: 11.6%
  • Parkinson Intraday Volatility: 12.5%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +4.4%
  • Bottom 10% Move (10th percentile): -2.9%
  • Max Historical Gain (14d): +12.1%
  • Max Historical Loss (14d): -12.2%