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)
1.3%
Stock touched +5.0% ($121.31) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
1.3%
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%)
±1.9%
$113.29 — $117.77

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%.

-10.1% to -8.9%: 1 occurrences (0.2%) -9.5% -8.9% to -7.8%: 0 occurrences (0.0%) -7.8% to -6.7%: 0 occurrences (0.0%) -6.7% to -5.5%: 0 occurrences (0.0%) -6.1% -5.5% to -4.4%: 5 occurrences (1.0%) -4.4% to -3.3%: 7 occurrences (1.3%) -3.3% to -2.1%: 33 occurrences (6.3%) -2.7% -2.1% to -1.0%: 89 occurrences (17.1%) -1.0% to +0.1%: 137 occurrences (26.3%) +0.1% to +1.3%: 118 occurrences (22.7%) 0.7% +1.3% to +2.4%: 84 occurrences (16.2%) +2.4% to +3.5%: 29 occurrences (5.6%) +3.5% to +4.7%: 10 occurrences (1.9%) 4.1% +4.7% to +5.8%: 4 occurrences (0.8%) +5.8% to +6.9%: 2 occurrences (0.4%) +6.9% to +8.1%: 1 occurrences (0.2%) 7.5%
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) 1.3% 1.3% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 53.6% Adjusts normal bell curve for real-world skewness (0.46) and kurtosis (6.66).
Standard Normal (Black-Scholes / GBM) 1.2% 0.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.4% 0.4% Filters for historical windows that started with volatility similar to current 20-day HV (236 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)

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.2%
  • Bottom 10% Move (10th percentile): -2.0%
  • Max Historical Gain (2d): +8.1%
  • Max Historical Loss (2d): -10.1%