Finance

SPY Move Probability $773.13 +4.04 (+0.5%)

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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Touch Probability (First Passage)
0.2%
Stock touched +5.0% ($811.79) 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%)
±1.0%
$765.47 — $780.79

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-5.8% to -4.9%: 1 occurrences (0.2%) -5.4% -4.9% to -3.9%: 1 occurrences (0.2%) -3.9% to -3.0%: 1 occurrences (0.2%) -3.0% to -2.0%: 6 occurrences (1.2%) -2.5% -2.0% to -1.1%: 36 occurrences (6.9%) -1.1% to -0.1%: 143 occurrences (27.4%) -0.1% to +0.8%: 255 occurrences (48.9%) 0.3% +0.8% to +1.7%: 63 occurrences (12.1%) +1.7% to +2.7%: 12 occurrences (2.3%) +2.7% to +3.6%: 2 occurrences (0.4%) 3.2% +3.6% to +4.6%: 0 occurrences (0.0%) +4.6% to +5.5%: 0 occurrences (0.0%) +5.5% to +6.5%: 0 occurrences (0.0%) 6.0% +6.5% to +7.4%: 0 occurrences (0.0%) +7.4% to +8.4%: 0 occurrences (0.0%) +8.4% to +9.3%: 1 occurrences (0.2%) 8.9%
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 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (0.5) and kurtosis (15.76).
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 (226 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 15.7%
  • Recent 20-Day HV: 8.8%
  • Parkinson Intraday Volatility: 12.5%
  • Vol Trend: Compressed (-44% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.0%
  • Bottom 10% Move (10th percentile): -1.0%
  • Max Historical Gain (1d): +9.3%
  • Max Historical Loss (1d): -5.8%