Finance

XLI Move Probability $168.30 +1.47 (+0.9%)

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)
21.1%
Stock touched +5.0% ($176.72) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
12.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.2%
$161.18 — $175.42

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%.

-12.6% to -11.0%: 1 occurrences (0.2%) -11.8% -11.0% to -9.4%: 3 occurrences (0.6%) -9.4% to -7.8%: 1 occurrences (0.2%) -7.8% to -6.3%: 18 occurrences (3.5%) -7.1% -6.3% to -4.7%: 24 occurrences (4.7%) -4.7% to -3.1%: 27 occurrences (5.3%) -3.1% to -1.6%: 44 occurrences (8.7%) -2.3% -1.6% to +0.0%: 89 occurrences (17.5%) +0.0% to +1.6%: 91 occurrences (17.9%) +1.6% to +3.2%: 83 occurrences (16.3%) 2.4% +3.2% to +4.7%: 53 occurrences (10.4%) +4.7% to +6.3%: 42 occurrences (8.3%) +6.3% to +7.9%: 17 occurrences (3.3%) 7.1% +7.9% to +9.4%: 5 occurrences (1.0%) +9.4% to +11.0%: 5 occurrences (1.0%) +11.0% to +12.6%: 5 occurrences (1.0%) 11.8%
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) 21.1% 12.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.3% Adjusts normal bell curve for real-world skewness (0.23) and kurtosis (8.68).
Standard Normal (Black-Scholes / GBM) 24.9% 12.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.6% 9.4% Filters for historical windows that started with volatility similar to current 20-day HV (360 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 18.0%
  • Recent 20-Day HV: 13.6%
  • Parkinson Intraday Volatility: 14.5%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +5.4%
  • Bottom 10% Move (10th percentile): -4.4%
  • Max Historical Gain (14d): +12.6%
  • Max Historical Loss (14d): -12.6%