Finance

XLP Move Probability $87.11 -0.64 (-0.7%)

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)
11.4%
Stock touched +5.0% ($91.47) at least once during 14 trading days.
Median first touch: Day 10 of 14
Expiration Close Probability
6.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.3%
$84.25 — $89.97

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%.

-8.9% to -7.8%: 2 occurrences (0.4%) -8.3% -7.8% to -6.7%: 2 occurrences (0.4%) -6.7% to -5.6%: 1 occurrences (0.2%) -5.6% to -4.4%: 8 occurrences (1.6%) -5.0% -4.4% to -3.3%: 37 occurrences (7.3%) -3.3% to -2.2%: 55 occurrences (10.8%) -2.2% to -1.1%: 63 occurrences (12.4%) -1.7% -1.1% to +0.0%: 66 occurrences (13.0%) +0.0% to +1.1%: 81 occurrences (15.9%) +1.1% to +2.2%: 77 occurrences (15.2%) 1.7% +2.2% to +3.3%: 47 occurrences (9.3%) +3.3% to +4.5%: 29 occurrences (5.7%) +4.5% to +5.6%: 16 occurrences (3.1%) 5.0% +5.6% to +6.7%: 12 occurrences (2.4%) +6.7% to +7.8%: 9 occurrences (1.8%) +7.8% to +8.9%: 3 occurrences (0.6%) 8.3%
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) 11.4% 6.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.0% Adjusts normal bell curve for real-world skewness (0.0) and kurtosis (1.46).
Standard Normal (Black-Scholes / GBM) 13.8% 6.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 10.9% 5.8% Filters for historical windows that started with volatility similar to current 20-day HV (412 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 14.0%
  • Recent 20-Day HV: 15.0%
  • Parkinson Intraday Volatility: 11.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +3.7%
  • Bottom 10% Move (10th percentile): -3.3%
  • Max Historical Gain (14d): +8.9%
  • Max Historical Loss (14d): -8.9%