Finance

XLU Move Probability $42.01 +0.14 (+0.3%)

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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Touch Probability (First Passage)
17.1%
Stock touched +5.0% ($44.11) at least once during 14 trading days.
Median first touch: Day 10 of 14
Expiration Close Probability
8.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.8%
$40.41 — $43.61

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%.

-9.7% to -8.4%: 3 occurrences (0.6%) -9.0% -8.4% to -7.2%: 3 occurrences (0.6%) -7.2% to -6.0%: 5 occurrences (1.0%) -6.0% to -4.7%: 19 occurrences (3.7%) -5.3% -4.7% to -3.5%: 29 occurrences (5.7%) -3.5% to -2.2%: 61 occurrences (12.0%) -2.2% to -1.0%: 60 occurrences (11.8%) -1.6% -1.0% to +0.2%: 78 occurrences (15.4%) +0.2% to +1.5%: 79 occurrences (15.6%) +1.5% to +2.7%: 54 occurrences (10.6%) 2.1% +2.7% to +3.9%: 48 occurrences (9.4%) +3.9% to +5.2%: 26 occurrences (5.1%) +5.2% to +6.4%: 20 occurrences (3.9%) 5.8% +6.4% to +7.6%: 13 occurrences (2.6%) +7.6% to +8.9%: 4 occurrences (0.8%) +8.9% to +10.1%: 6 occurrences (1.2%) 9.5%
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) 17.1% 8.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.9% Adjusts normal bell curve for real-world skewness (-0.45) and kurtosis (2.33).
Standard Normal (Black-Scholes / GBM) 20.1% 10.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 16.8% 8.5% Filters for historical windows that started with volatility similar to current 20-day HV (458 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 16.2%
  • Recent 20-Day HV: 16.3%
  • Parkinson Intraday Volatility: 14.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +4.8%
  • Bottom 10% Move (10th percentile): -3.7%
  • Max Historical Gain (14d): +10.1%
  • Max Historical Loss (14d): -9.7%