Finance

XERS Move Probability $10.78 -0.34 (-3.1%)

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)
75.4%
Stock touched +5.0% ($11.32) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
47.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.8%
$9.40 — $12.16

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%.

-31.9% to -26.4%: 10 occurrences (2.0%) -29.1% -26.4% to -20.8%: 7 occurrences (1.4%) -20.8% to -15.2%: 17 occurrences (3.3%) -15.2% to -9.7%: 27 occurrences (5.3%) -12.5% -9.7% to -4.1%: 66 occurrences (13.0%) -4.1% to +1.4%: 79 occurrences (15.6%) +1.4% to +7.0%: 102 occurrences (20.1%) 4.2% +7.0% to +12.5%: 91 occurrences (17.9%) +12.5% to +18.1%: 43 occurrences (8.5%) +18.1% to +23.7%: 24 occurrences (4.7%) 20.9% +23.7% to +29.2%: 15 occurrences (3.0%) +29.2% to +34.8%: 6 occurrences (1.2%) +34.8% to +40.3%: 5 occurrences (1.0%) 37.6% +40.3% to +45.9%: 10 occurrences (2.0%) +45.9% to +51.5%: 3 occurrences (0.6%) +51.5% to +57.0%: 3 occurrences (0.6%) 54.2%
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) 75.4% 47.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.0% Adjusts normal bell curve for real-world skewness (-0.25) and kurtosis (7.35).
Standard Normal (Black-Scholes / GBM) 70.4% 35.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.9% 46.6% Filters for historical windows that started with volatility similar to current 20-day HV (358 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 54.5%
  • Recent 20-Day HV: 63.1%
  • Parkinson Intraday Volatility: 48.1%
  • Vol Trend: Expanded (+16% vs baseline)

14-Day Return Quantiles

  • Median Return: +4.5%
  • Top 10% Move (90th percentile): +21.0%
  • Bottom 10% Move (10th percentile): -11.1%
  • Max Historical Gain (14d): +57.0%
  • Max Historical Loss (14d): -31.9%