Finance

XLE Move Probability $68.15 +0.20 (+0.3%)

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)
46.3%
Stock touched +5.0% ($71.56) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
24.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.5%
$64.39 — $71.91

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%.

-17.0% to -15.1%: 4 occurrences (0.8%) -16.1% -15.1% to -13.3%: 6 occurrences (1.2%) -13.3% to -11.4%: 5 occurrences (1.0%) -11.4% to -9.6%: 4 occurrences (0.8%) -10.5% -9.6% to -7.7%: 10 occurrences (2.0%) -7.7% to -5.9%: 13 occurrences (2.6%) -5.9% to -4.0%: 30 occurrences (5.9%) -4.9% -4.0% to -2.2%: 56 occurrences (11.0%) -2.2% to -0.3%: 41 occurrences (8.1%) -0.3% to +1.5%: 70 occurrences (13.8%) 0.6% +1.5% to +3.4%: 91 occurrences (17.9%) +3.4% to +5.2%: 57 occurrences (11.2%) +5.2% to +7.1%: 45 occurrences (8.9%) 6.2% +7.1% to +9.0%: 39 occurrences (7.7%) +9.0% to +10.8%: 26 occurrences (5.1%) +10.8% to +12.7%: 11 occurrences (2.2%) 11.7%
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) 46.3% 24.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.2% Adjusts normal bell curve for real-world skewness (-0.92) and kurtosis (5.98).
Standard Normal (Black-Scholes / GBM) 37.7% 18.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 45.4% 27.4% Filters for historical windows that started with volatility similar to current 20-day HV (416 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 23.4%
  • Recent 20-Day HV: 18.7%
  • Parkinson Intraday Volatility: 19.2%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.8%
  • Top 10% Move (90th percentile): +8.3%
  • Bottom 10% Move (10th percentile): -5.0%
  • Max Historical Gain (14d): +12.7%
  • Max Historical Loss (14d): -17.0%