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)
0.4%
Stock touched +5.0% ($91.47) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
0.38x
You are 0.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.2%
$86.03 — $88.19

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%.

-5.5% to -4.9%: 1 occurrences (0.2%) -5.2% -4.9% to -4.3%: 0 occurrences (0.0%) -4.3% to -3.7%: 0 occurrences (0.0%) -3.7% to -3.1%: 4 occurrences (0.8%) -3.4% -3.1% to -2.5%: 7 occurrences (1.3%) -2.5% to -1.9%: 7 occurrences (1.3%) -1.9% to -1.4%: 37 occurrences (7.1%) -1.6% -1.4% to -0.8%: 62 occurrences (11.9%) -0.8% to -0.2%: 111 occurrences (21.3%) -0.2% to +0.4%: 111 occurrences (21.3%) 0.1% +0.4% to +1.0%: 68 occurrences (13.1%) +1.0% to +1.6%: 63 occurrences (12.1%) +1.6% to +2.2%: 24 occurrences (4.6%) 1.9% +2.2% to +2.8%: 12 occurrences (2.3%) +2.8% to +3.4%: 10 occurrences (1.9%) +3.4% to +3.9%: 3 occurrences (0.6%) 3.6%
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) 0.4% 0.0% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.1% Adjusts normal bell curve for real-world skewness (0.0) and kurtosis (1.46).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.5% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (424 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

2-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +1.6%
  • Bottom 10% Move (10th percentile): -1.4%
  • Max Historical Gain (2d): +3.9%
  • Max Historical Loss (2d): -5.5%