Finance

XLRE Move Probability $42.05 -0.33 (-0.8%)

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)
9.1%
Stock touched +5.0% ($44.16) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
5.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.77x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.8%
$40.45 — $43.66

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%.

-11.1% to -9.7%: 3 occurrences (0.6%) -10.4% -9.7% to -8.3%: 1 occurrences (0.2%) -8.3% to -6.9%: 7 occurrences (1.4%) -6.9% to -5.5%: 10 occurrences (2.0%) -6.2% -5.5% to -4.1%: 27 occurrences (5.3%) -4.1% to -2.7%: 38 occurrences (7.5%) -2.7% to -1.3%: 54 occurrences (10.6%) -2.0% -1.3% to +0.1%: 96 occurrences (18.9%) +0.1% to +1.5%: 111 occurrences (21.9%) +1.5% to +2.9%: 85 occurrences (16.7%) 2.2% +2.9% to +4.2%: 41 occurrences (8.1%) +4.2% to +5.6%: 15 occurrences (3.0%) +5.6% to +7.0%: 9 occurrences (1.8%) 6.3% +7.0% to +8.4%: 7 occurrences (1.4%) +8.4% to +9.8%: 1 occurrences (0.2%) +9.8% to +11.2%: 3 occurrences (0.6%) 10.5%
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) 9.1% 5.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.8% Adjusts normal bell curve for real-world skewness (-0.25) and kurtosis (2.64).
Standard Normal (Black-Scholes / GBM) 20.1% 10.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 7.2% 4.2% Filters for historical windows that started with volatility similar to current 20-day HV (430 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 16.2%
  • Recent 20-Day HV: 14.9%
  • Parkinson Intraday Volatility: 13.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +3.5%
  • Bottom 10% Move (10th percentile): -4.0%
  • Max Historical Gain (14d): +11.2%
  • Max Historical Loss (14d): -11.1%