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)
3.3%
Stock touched +5.0% ($197.95) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
2.1%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.55x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.4%
$184.08 — $192.96

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%.

-12.9% to -11.4%: 1 occurrences (0.2%) -12.1% -11.4% to -9.9%: 0 occurrences (0.0%) -9.9% to -8.4%: 0 occurrences (0.0%) -8.4% to -6.9%: 1 occurrences (0.2%) -7.7% -6.9% to -5.4%: 3 occurrences (0.6%) -5.4% to -3.9%: 13 occurrences (2.5%) -3.9% to -2.5%: 37 occurrences (7.1%) -3.2% -2.5% to -1.0%: 79 occurrences (15.2%) -1.0% to +0.5%: 137 occurrences (26.3%) +0.5% to +2.0%: 154 occurrences (29.6%) 1.3% +2.0% to +3.5%: 64 occurrences (12.3%) +3.5% to +5.0%: 20 occurrences (3.8%) +5.0% to +6.5%: 6 occurrences (1.2%) 5.7% +6.5% to +7.9%: 3 occurrences (0.6%) +7.9% to +9.4%: 1 occurrences (0.2%) +9.4% to +10.9%: 1 occurrences (0.2%) 10.2%
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) 3.3% 2.1% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.2% Adjusts normal bell curve for real-world skewness (0.19) and kurtosis (6.77).
Standard Normal (Black-Scholes / GBM) 3.8% 1.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.7% 1.2% Filters for historical windows that started with volatility similar to current 20-day HV (346 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)

2-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +2.8%
  • Bottom 10% Move (10th percentile): -2.6%
  • Max Historical Gain (2d): +10.9%
  • Max Historical Loss (2d): -12.9%