Finance

XLC Move Probability $108.98 -1.25 (-1.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
19.1%
Stock touched +5.0% ($114.43) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
11.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.62x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.1%
$104.52 — $113.44

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%.

-10.9% to -9.5%: 2 occurrences (0.4%) -10.2% -9.5% to -8.2%: 5 occurrences (1.0%) -8.2% to -6.8%: 9 occurrences (1.8%) -6.8% to -5.4%: 10 occurrences (2.0%) -6.1% -5.4% to -4.0%: 20 occurrences (3.9%) -4.0% to -2.6%: 45 occurrences (8.9%) -2.6% to -1.2%: 51 occurrences (10.0%) -1.9% -1.2% to +0.1%: 69 occurrences (13.6%) +0.1% to +1.5%: 89 occurrences (17.5%) +1.5% to +2.9%: 73 occurrences (14.4%) 2.2% +2.9% to +4.3%: 56 occurrences (11.0%) +4.3% to +5.7%: 35 occurrences (6.9%) +5.7% to +7.1%: 26 occurrences (5.1%) 6.4% +7.1% to +8.5%: 10 occurrences (2.0%) +8.5% to +9.8%: 4 occurrences (0.8%) +9.8% to +11.2%: 4 occurrences (0.8%) 10.5%
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) 19.1% 11.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.6% Adjusts normal bell curve for real-world skewness (0.21) and kurtosis (8.04).
Standard Normal (Black-Scholes / GBM) 23.3% 11.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.2% 8.4% Filters for historical windows that started with volatility similar to current 20-day HV (394 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 17.4%
  • Recent 20-Day HV: 16.2%
  • Parkinson Intraday Volatility: 13.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +5.3%
  • Bottom 10% Move (10th percentile): -3.8%
  • Max Historical Gain (14d): +11.2%
  • Max Historical Loss (14d): -10.9%