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)
0.4%
Stock touched +5.0% ($58.82) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.4%
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%)
±1.1%
$55.41 — $56.63

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%.

-7.3% to -6.4%: 1 occurrences (0.2%) -6.9% -6.4% to -5.5%: 0 occurrences (0.0%) -5.5% to -4.5%: 1 occurrences (0.2%) -4.5% to -3.6%: 0 occurrences (0.0%) -4.1% -3.6% to -2.7%: 5 occurrences (1.0%) -2.7% to -1.8%: 17 occurrences (3.3%) -1.8% to -0.8%: 48 occurrences (9.2%) -1.3% -0.8% to +0.1%: 192 occurrences (36.9%) +0.1% to +1.0%: 190 occurrences (36.5%) +1.0% to +2.0%: 53 occurrences (10.2%) 1.5% +2.0% to +2.9%: 11 occurrences (2.1%) +2.9% to +3.8%: 1 occurrences (0.2%) +3.8% to +4.7%: 0 occurrences (0.0%) 4.3% +4.7% to +5.7%: 0 occurrences (0.0%) +5.7% to +6.6%: 1 occurrences (0.2%) +6.6% to +7.5%: 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) 0.4% 0.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (-0.24) and kurtosis (9.89).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.3% 0.3% Filters for historical windows that started with volatility similar to current 20-day HV (329 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)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.1%
  • Bottom 10% Move (10th percentile): -1.1%
  • Max Historical Gain (1d): +7.5%
  • Max Historical Loss (1d): -7.3%