The Research Team examined nine years of data across SPY, QQQ, Microsoft (MSFT), Netflix (NFLX), and Gold (GLD) to determine how often actual price movements exceeded the 45-day expected move derived from implied volatility.

The analysis revealed broad indexes like SPY and QQQ rarely exceeded their expected moves over the past five years, with SPY showing only one significant breach during the 2020 pandemic. Individual stocks like MSFT and NFLX showed more outlier moves, particularly during volatile periods.

GLD emerged as the worst performer, consistently producing outlier moves beyond expected ranges throughout the nine-year period, explaining why traders have struggled with gold positions.