Finance

XNCR Move Probability $25.18 +0.21 (+0.8%)

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)
70.3%
Stock touched +5.0% ($26.43) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
41.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.2%
$21.36 — $28.99

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%.

-41.6% to -36.0%: 2 occurrences (0.4%) -38.8% -36.0% to -30.4%: 6 occurrences (1.2%) -30.4% to -24.8%: 5 occurrences (1.0%) -24.8% to -19.2%: 19 occurrences (3.7%) -22.0% -19.2% to -13.6%: 61 occurrences (12.0%) -13.6% to -8.0%: 72 occurrences (14.2%) -8.0% to -2.4%: 54 occurrences (10.6%) -5.2% -2.4% to +3.1%: 57 occurrences (11.2%) +3.1% to +8.7%: 66 occurrences (13.0%) +8.7% to +14.3%: 61 occurrences (12.0%) 11.5% +14.3% to +19.9%: 27 occurrences (5.3%) +19.9% to +25.5%: 29 occurrences (5.7%) +25.5% to +31.1%: 24 occurrences (4.7%) 28.3% +31.1% to +36.7%: 10 occurrences (2.0%) +36.7% to +42.2%: 12 occurrences (2.4%) +42.2% to +47.8%: 3 occurrences (0.6%) 45.0%
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) 70.3% 41.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.3% Adjusts normal bell curve for real-world skewness (-0.11) and kurtosis (3.28).
Standard Normal (Black-Scholes / GBM) 74.8% 37.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.4% 32.6% Filters for historical windows that started with volatility similar to current 20-day HV (340 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.3%
  • Recent 20-Day HV: 54.6%
  • Parkinson Intraday Volatility: 53.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +25.1%
  • Bottom 10% Move (10th percentile): -17.1%
  • Max Historical Gain (14d): +47.8%
  • Max Historical Loss (14d): -41.6%