Finance

XLY Move Probability $115.53 +0.03 (+0.0%)

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)
22.0%
Stock touched +5.0% ($121.31) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
14.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.51x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.1%
$109.59 — $121.47

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%.

-13.2% to -11.4%: 4 occurrences (0.8%) -12.3% -11.4% to -9.7%: 2 occurrences (0.4%) -9.7% to -8.0%: 7 occurrences (1.4%) -8.0% to -6.3%: 21 occurrences (4.1%) -7.2% -6.3% to -4.6%: 29 occurrences (5.7%) -4.6% to -2.9%: 46 occurrences (9.1%) -2.9% to -1.1%: 72 occurrences (14.2%) -2.0% -1.1% to +0.6%: 84 occurrences (16.5%) +0.6% to +2.3%: 77 occurrences (15.2%) +2.3% to +4.0%: 69 occurrences (13.6%) 3.1% +4.0% to +5.7%: 35 occurrences (6.9%) +5.7% to +7.4%: 19 occurrences (3.7%) +7.4% to +9.1%: 24 occurrences (4.7%) 8.3% +9.1% to +10.9%: 10 occurrences (2.0%) +10.9% to +12.6%: 4 occurrences (0.8%) +12.6% to +14.3%: 5 occurrences (1.0%) 13.4%
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) 22.0% 14.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.8% Adjusts normal bell curve for real-world skewness (0.46) and kurtosis (6.66).
Standard Normal (Black-Scholes / GBM) 34.2% 17.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 13.4% 7.1% Filters for historical windows that started with volatility similar to current 20-day HV (224 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.8%
  • Recent 20-Day HV: 13.5%
  • Parkinson Intraday Volatility: 16.4%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +6.6%
  • Bottom 10% Move (10th percentile): -5.3%
  • Max Historical Gain (14d): +14.3%
  • Max Historical Loss (14d): -13.2%