Finance

XLB Move Probability $51.31 +0.10 (+0.2%)

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)
0.6%
Stock touched +5.0% ($53.88) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 2-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%)
±1.7%
$50.46 — $52.16

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-10.5% to -9.5%: 1 occurrences (0.2%) -10.0% -9.5% to -8.5%: 0 occurrences (0.0%) -8.5% to -7.5%: 1 occurrences (0.2%) -7.5% to -6.5%: 0 occurrences (0.0%) -7.0% -6.5% to -5.5%: 0 occurrences (0.0%) -5.5% to -4.5%: 1 occurrences (0.2%) -4.5% to -3.5%: 4 occurrences (0.8%) -4.0% -3.5% to -2.6%: 13 occurrences (2.5%) -2.6% to -1.6%: 46 occurrences (8.8%) -1.6% to -0.6%: 107 occurrences (20.6%) -1.1% -0.6% to +0.4%: 143 occurrences (27.5%) +0.4% to +1.4%: 112 occurrences (21.5%) +1.4% to +2.4%: 58 occurrences (11.2%) 1.9% +2.4% to +3.4%: 23 occurrences (4.4%) +3.4% to +4.4%: 7 occurrences (1.3%) +4.4% to +5.4%: 4 occurrences (0.8%) 4.9%
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) 0.6% 0.6% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 94.5% Adjusts normal bell curve for real-world skewness (0.26) and kurtosis (6.14).
Standard Normal (Black-Scholes / GBM) 0.3% 0.2% 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 (315 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 18.6%
  • Recent 20-Day HV: 12.9%
  • Parkinson Intraday Volatility: 14.8%
  • Vol Trend: Compressed (-31% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.0%
  • Bottom 10% Move (10th percentile): -1.7%
  • Max Historical Gain (2d): +5.4%
  • Max Historical Loss (2d): -10.5%