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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
0.0%
Stock touched +5.0% ($44.11) at least once during 2 trading days.
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.4%
$41.40 — $42.62

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%.

-7.0% to -6.3%: 1 occurrences (0.2%) -6.6% -6.3% to -5.6%: 1 occurrences (0.2%) -5.6% to -4.9%: 0 occurrences (0.0%) -4.9% to -4.2%: 1 occurrences (0.2%) -4.5% -4.2% to -3.5%: 1 occurrences (0.2%) -3.5% to -2.8%: 10 occurrences (1.9%) -2.8% to -2.1%: 18 occurrences (3.5%) -2.4% -2.1% to -1.3%: 40 occurrences (7.7%) -1.3% to -0.6%: 83 occurrences (16.0%) -0.6% to +0.1%: 107 occurrences (20.6%) -0.3% +0.1% to +0.8%: 95 occurrences (18.3%) +0.8% to +1.5%: 82 occurrences (15.8%) +1.5% to +2.2%: 53 occurrences (10.2%) 1.8% +2.2% to +2.9%: 17 occurrences (3.3%) +2.9% to +3.6%: 8 occurrences (1.5%) +3.6% to +4.3%: 3 occurrences (0.6%) 3.9%
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) 0.0% 0.0% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.2% Adjusts normal bell curve for real-world skewness (-0.45) and kurtosis (2.33).
Standard Normal (Black-Scholes / GBM) 0.1% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (470 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

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.8%
  • Bottom 10% Move (10th percentile): -1.6%
  • Max Historical Gain (2d): +4.3%
  • Max Historical Loss (2d): -7.0%