Finance

XBIT Move Probability $1.99 -0.03 (-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)
47.6%
Stock touched +5.0% ($2.09) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
16.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.88x
You are 2.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.4%
$1.72 — $2.26

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-42.6% to -38.6%: 6 occurrences (1.2%) -40.6% -38.6% to -34.7%: 5 occurrences (1.0%) -34.7% to -30.7%: 2 occurrences (0.4%) -30.7% to -26.8%: 1 occurrences (0.2%) -28.7% -26.8% to -22.8%: 1 occurrences (0.2%) -22.8% to -18.9%: 5 occurrences (1.0%) -18.9% to -14.9%: 8 occurrences (1.6%) -16.9% -14.9% to -10.9%: 29 occurrences (5.7%) -10.9% to -7.0%: 66 occurrences (13.0%) -7.0% to -3.0%: 101 occurrences (19.9%) -5.0% -3.0% to +0.9%: 143 occurrences (28.1%) +0.9% to +4.9%: 57 occurrences (11.2%) +4.9% to +8.8%: 40 occurrences (7.9%) 6.9% +8.8% to +12.8%: 22 occurrences (4.3%) +12.8% to +16.7%: 14 occurrences (2.8%) +16.7% to +20.7%: 8 occurrences (1.6%) 18.7%
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) 47.6% 16.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.8% Adjusts normal bell curve for real-world skewness (-1.43) and kurtosis (18.26).
Standard Normal (Black-Scholes / GBM) 71.7% 35.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.2% 11.8% Filters for historical windows that started with volatility similar to current 20-day HV (170 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 57.0%
  • Recent 20-Day HV: 29.0%
  • Parkinson Intraday Volatility: 34.8%
  • Vol Trend: Compressed (-49% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.2%
  • Top 10% Move (90th percentile): +8.4%
  • Bottom 10% Move (10th percentile): -11.8%
  • Max Historical Gain (14d): +20.7%
  • Max Historical Loss (14d): -42.6%