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)
0.2%
Stock touched +5.0% ($71.56) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.2%
Stock closed at or beyond +5.0% at the end of the 1-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%)
±1.5%
$67.14 — $69.16

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-8.9% to -7.9%: 1 occurrences (0.2%) -8.4% -7.9% to -6.8%: 1 occurrences (0.2%) -6.8% to -5.8%: 1 occurrences (0.2%) -5.8% to -4.8%: 0 occurrences (0.0%) -5.3% -4.8% to -3.7%: 1 occurrences (0.2%) -3.7% to -2.7%: 13 occurrences (2.5%) -2.7% to -1.7%: 36 occurrences (6.9%) -2.2% -1.7% to -0.6%: 84 occurrences (16.1%) -0.6% to +0.4%: 152 occurrences (29.2%) +0.4% to +1.5%: 158 occurrences (30.3%) 0.9% +1.5% to +2.5%: 57 occurrences (10.9%) +2.5% to +3.5%: 14 occurrences (2.7%) +3.5% to +4.6%: 1 occurrences (0.2%) 4.0% +4.6% to +5.6%: 1 occurrences (0.2%) +5.6% to +6.6%: 0 occurrences (0.0%) +6.6% to +7.7%: 1 occurrences (0.2%) 7.1%
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) 0.2% 0.2% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 65.6% Adjusts normal bell curve for real-world skewness (-0.92) and kurtosis (5.98).
Standard Normal (Black-Scholes / GBM) 0.1% 0.0% 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 (429 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)

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +1.7%
  • Bottom 10% Move (10th percentile): -1.7%
  • Max Historical Gain (1d): +7.7%
  • Max Historical Loss (1d): -8.9%