Finance

XLF Move Probability $56.02 +0.31 (+0.6%)

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)
20.3%
Stock touched +5.0% ($58.82) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
12.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.1%
$53.72 — $58.32

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%.

-11.0% to -9.6%: 3 occurrences (0.6%) -10.3% -9.6% to -8.3%: 2 occurrences (0.4%) -8.3% to -6.9%: 6 occurrences (1.2%) -6.9% to -5.6%: 12 occurrences (2.4%) -6.2% -5.6% to -4.2%: 29 occurrences (5.7%) -4.2% to -2.9%: 30 occurrences (5.9%) -2.9% to -1.5%: 50 occurrences (9.8%) -2.2% -1.5% to -0.1%: 76 occurrences (15.0%) -0.1% to +1.2%: 80 occurrences (15.7%) +1.2% to +2.6%: 70 occurrences (13.8%) 1.9% +2.6% to +3.9%: 46 occurrences (9.1%) +3.9% to +5.3%: 48 occurrences (9.4%) +5.3% to +6.6%: 36 occurrences (7.1%) 6.0% +6.6% to +8.0%: 11 occurrences (2.2%) +8.0% to +9.3%: 6 occurrences (1.2%) +9.3% to +10.7%: 3 occurrences (0.6%) 10.0%
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) 20.3% 12.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.4% Adjusts normal bell curve for real-world skewness (-0.24) and kurtosis (9.89).
Standard Normal (Black-Scholes / GBM) 23.4% 11.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.8% 10.1% Filters for historical windows that started with volatility similar to current 20-day HV (316 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 17.4%
  • Recent 20-Day HV: 11.8%
  • Parkinson Intraday Volatility: 14.3%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +5.4%
  • Bottom 10% Move (10th percentile): -4.2%
  • Max Historical Gain (14d): +10.7%
  • Max Historical Loss (14d): -11.0%