Finance

SPY Move Probability $754.05 -3.37 (-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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Touch Probability (First Passage)
12.4%
Stock touched +5.0% ($791.75) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
7.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$725.90 — $782.20

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-08-19 to 2026-09-16). 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%: 37 occurrences (7.3%) -2.3% -1.5% to -0.0%: 85 occurrences (16.8%) -0.0% to +1.5%: 107 occurrences (21.1%) +1.5% to +3.0%: 125 occurrences (24.7%) 2.3% +3.0% to +4.6%: 56 occurrences (11.0%) +4.6% to +6.1%: 23 occurrences (4.5%) +6.1% to +7.6%: 11 occurrences (2.2%) 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) 12.4% 7.1% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.0% Adjusts normal bell curve for real-world skewness (0.48) and kurtosis (15.3).
Standard Normal (Black-Scholes / GBM) 19.1% 9.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.5% 1.7% Filters for historical windows that started with volatility similar to current 20-day HV (178 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 15.8%
  • Recent 20-Day HV: 8.6%
  • Parkinson Intraday Volatility: 12.7%
  • Vol Trend: Compressed (-46% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +4.4%
  • Bottom 10% Move (10th percentile): -2.7%
  • Max Historical Gain (14d): +12.1%
  • Max Historical Loss (14d): -12.2%