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)
0.8%
Stock touched +5.0% ($114.43) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.4%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.5%
$107.29 — $110.67

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%.

-10.0% to -8.9%: 1 occurrences (0.2%) -9.4% -8.9% to -7.8%: 0 occurrences (0.0%) -7.8% to -6.8%: 0 occurrences (0.0%) -6.8% to -5.7%: 0 occurrences (0.0%) -6.2% -5.7% to -4.6%: 1 occurrences (0.2%) -4.6% to -3.5%: 4 occurrences (0.8%) -3.5% to -2.5%: 9 occurrences (1.7%) -3.0% -2.5% to -1.4%: 56 occurrences (10.8%) -1.4% to -0.3%: 117 occurrences (22.5%) -0.3% to +0.7%: 171 occurrences (32.9%) 0.2% +0.7% to +1.8%: 111 occurrences (21.3%) +1.8% to +2.9%: 35 occurrences (6.7%) +2.9% to +3.9%: 11 occurrences (2.1%) 3.4% +3.9% to +5.0%: 2 occurrences (0.4%) +5.0% to +6.1%: 1 occurrences (0.2%) +6.1% to +7.1%: 1 occurrences (0.2%) 6.6%
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) 0.8% 0.4% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (0.21) and kurtosis (8.04).
Standard Normal (Black-Scholes / GBM) 0.2% 0.1% 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 (406 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

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.8%
  • Bottom 10% Move (10th percentile): -1.7%
  • Max Historical Gain (2d): +7.1%
  • Max Historical Loss (2d): -10.0%