Finance

XLK Move Probability $188.52 +3.07 (+1.7%)

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)
34.6%
Stock touched +5.0% ($197.95) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
23.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.49x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.2%
$176.77 — $200.27

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%.

-16.1% to -13.8%: 3 occurrences (0.6%) -15.0% -13.8% to -11.5%: 4 occurrences (0.8%) -11.5% to -9.1%: 4 occurrences (0.8%) -9.1% to -6.8%: 16 occurrences (3.1%) -8.0% -6.8% to -4.5%: 29 occurrences (5.7%) -4.5% to -2.1%: 55 occurrences (10.8%) -2.1% to +0.2%: 94 occurrences (18.5%) -1.0% +0.2% to +2.5%: 101 occurrences (19.9%) +2.5% to +4.9%: 83 occurrences (16.3%) +4.9% to +7.2%: 52 occurrences (10.2%) 6.1% +7.2% to +9.6%: 20 occurrences (3.9%) +9.6% to +11.9%: 22 occurrences (4.3%) +11.9% to +14.2%: 12 occurrences (2.4%) 13.1% +14.2% to +16.6%: 6 occurrences (1.2%) +16.6% to +18.9%: 6 occurrences (1.2%) +18.9% to +21.2%: 1 occurrences (0.2%) 20.1%
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) 34.6% 23.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.3% Adjusts normal bell curve for real-world skewness (0.19) and kurtosis (6.77).
Standard Normal (Black-Scholes / GBM) 43.4% 21.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 33.8% 21.9% Filters for historical windows that started with volatility similar to current 20-day HV (334 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 26.4%
  • Recent 20-Day HV: 20.8%
  • Parkinson Intraday Volatility: 19.8%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.4%
  • Top 10% Move (90th percentile): +9.0%
  • Bottom 10% Move (10th percentile): -4.7%
  • Max Historical Gain (14d): +21.2%
  • Max Historical Loss (14d): -16.1%