Finance

XLV Move Probability $178.91 -0.89 (-0.5%)

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)
16.5%
Stock touched +5.0% ($187.86) at least once during 14 trading days.
Median first touch: Day 9 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
1.91x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.9%
$171.99 — $185.84

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%.

-9.2% to -8.0%: 5 occurrences (1.0%) -8.6% -8.0% to -6.9%: 6 occurrences (1.2%) -6.9% to -5.8%: 10 occurrences (2.0%) -5.8% to -4.6%: 15 occurrences (3.0%) -5.2% -4.6% to -3.5%: 23 occurrences (4.5%) -3.5% to -2.3%: 33 occurrences (6.5%) -2.3% to -1.2%: 59 occurrences (11.6%) -1.8% -1.2% to -0.1%: 63 occurrences (12.4%) -0.1% to +1.1%: 69 occurrences (13.6%) +1.1% to +2.2%: 77 occurrences (15.2%) 1.6% +2.2% to +3.3%: 53 occurrences (10.4%) +3.3% to +4.5%: 35 occurrences (6.9%) +4.5% to +5.6%: 33 occurrences (6.5%) 5.0% +5.6% to +6.7%: 12 occurrences (2.4%) +6.7% to +7.9%: 10 occurrences (2.0%) +7.9% to +9.0%: 5 occurrences (1.0%) 8.5%
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) 16.5% 8.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.7% Adjusts normal bell curve for real-world skewness (-0.04) and kurtosis (2.16).
Standard Normal (Black-Scholes / GBM) 20.8% 10.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 17.3% 8.7% Filters for historical windows that started with volatility similar to current 20-day HV (381 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 16.4%
  • Recent 20-Day HV: 18.1%
  • Parkinson Intraday Volatility: 13.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +4.8%
  • Bottom 10% Move (10th percentile): -4.0%
  • Max Historical Gain (14d): +9.0%
  • Max Historical Loss (14d): -9.2%