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.

← Back to XLI Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
1.2%
Stock touched +5.0% ($176.72) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.6%
$165.61 — $170.99

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-11.3% to -10.1%: 1 occurrences (0.2%) -10.7% -10.1% to -8.9%: 0 occurrences (0.0%) -8.9% to -7.7%: 0 occurrences (0.0%) -7.7% to -6.5%: 1 occurrences (0.2%) -7.1% -6.5% to -5.3%: 0 occurrences (0.0%) -5.3% to -4.1%: 1 occurrences (0.2%) -4.1% to -2.9%: 8 occurrences (1.5%) -3.5% -2.9% to -1.7%: 34 occurrences (6.5%) -1.7% to -0.5%: 121 occurrences (23.3%) -0.5% to +0.7%: 198 occurrences (38.1%) 0.1% +0.7% to +1.9%: 110 occurrences (21.2%) +1.9% to +3.1%: 30 occurrences (5.8%) +3.1% to +4.3%: 11 occurrences (2.1%) 3.7% +4.3% to +5.6%: 2 occurrences (0.4%) +5.6% to +6.8%: 2 occurrences (0.4%) +6.8% to +8.0%: 1 occurrences (0.2%) 7.4%
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) 1.2% 0.6% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (0.23) and kurtosis (8.68).
Standard Normal (Black-Scholes / GBM) 0.2% 0.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.5% 0.3% Filters for historical windows that started with volatility similar to current 20-day HV (372 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)

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.8%
  • Bottom 10% Move (10th percentile): -1.6%
  • Max Historical Gain (2d): +8.0%
  • Max Historical Loss (2d): -11.3%