Nike Stock Volatility

NKE -  USA Stock  

USD 156.42  1.18  0.75%

Nike appears to be very steady, given 3 months investment horizon. Nike Inc has Sharpe Ratio of 0.16, which conveys that the firm had 0.16% of return per unit of risk over the last 3 months. Our standpoint towards estimating the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Nike, which you can use to evaluate the future volatility of the firm. Please exercise Nike's Mean Deviation of 1.02, downside deviation of 1.01, and Risk Adjusted Performance of 0.1098 to check out if our risk estimates are consistent with your expectations.

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Nike Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Nike daily returns, and it is calculated using variance and standard deviation. We also use Nike's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Nike volatility.

60 Days Market Risk

Very steady

Chance of Distress

Very Low

60 Days Economic Sensitivity

Follows the market closely

Nike Market Sensitivity And Downside Risk

Nike's beta coefficient measures the volatility of Nike stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Nike stock's returns against your selected market. In other words, Nike's beta of 0.87 provides an investor with an approximation of how much risk Nike stock can potentially add to one of your existing portfolios.
Let's try to break down what Nike's beta means in this case. Nike returns are very sensitive to returns on the market. As the market goes up or down, Nike is expected to follow.
3 Months Beta |Analyze Nike Inc Demand Trend
Check current 90 days Nike correlation with market (DOW)

Nike Beta

    
  0.87  
Nike standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  2.0  
It is essential to understand the difference between upside risk (as represented by Nike's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Nike stock's daily returns or price. Since the actual investment returns on holding a position in Nike stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Nike.

Nike Implied Volatility

    
  56.56  
Nike's implied volatility exposes the market's sentiment of Nike Inc stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Nike's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Nike stock will not fluctuate a lot when Nike's options near their expiration.

Nike Inc Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Nike Inc high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Nike closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Nike Projected Return Density Against Market

Considering the 90-day investment horizon Nike has a beta of 0.874 . This indicates Nike Inc market returns are highly-sensitive to returns on the market. As the market goes up or down, Nike is expected to follow.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Nike or Consumer Cyclical sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Nike stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Nike stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has an alpha of 0.2721, implying that it can generate a 0.27 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Nike Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Nike or Consumer Cyclical sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Nike stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Nike stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Considering the 90-day investment horizon the coefficient of variation of Nike is 642.77. The daily returns are distributed with a variance of 4.01 and standard deviation of 2.0. The mean deviation of Nike Inc is currently at 1.01. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
0.27
β
Beta against DOW0.87
σ
Overall volatility
2.00
Ir
Information ratio 0.14

Nike Stock Return Volatility

Nike historical daily return volatility represents how much Nike stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm has volatility of 2.0014% on return distribution over 90 days investment horizon. By contrast, DOW inherits 0.6301% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Nike Volatility

Volatility is a rate at which the price of Nike or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Nike may increase or decrease. In other words, similar to Nike's beta indicator, it measures the risk of Nike and helps estimate the fluctuations that may happen in a short period of time. So if prices of Nike fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
Last ReportedProjected for 2021
Market Capitalization215.6 B170.6 B
NIKE, Inc., together with its subsidiaries, designs, develops, markets, and sells athletic footwear, apparel, equipment, and accessories worldwide. NIKE, Inc. was founded in 1964 and is headquartered in Beaverton, Oregon. Nike operates under Footwear Accessories classification in the United States and is traded on New York Stock Exchange. It employs 75400 people.

Nearest Nike long CALL Option Payoff at Expiration

Nike's implied volatility is one of the determining factors in the pricing options written on Nike Inc. Implied volatility approximates the future value of Nikeusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Nike Inc over a specific time period.
View All Nike options
2021-09-24 CALL at $85.0 is a CALL option contract on Nike's common stock with a strick price of 85.0 expiring on 2021-09-24. The contract was not traded in recent days and, as of today, has 6 days remaining before the expiration. The option is currently trading at a bid price of $70.5, and an ask price of $72.95. The implied volatility as of the 18th of September 2021 is 222.6763.
 Profit 
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      Nike Price At Expiration 

Nike Investment Opportunity

Nike Inc has a volatility of 2.0 and is 3.17 times more volatile than DOW. 17  of all equities and portfolios are less risky than Nike. Compared to the overall equity markets, volatility of historical daily returns of Nike Inc is lower than 17 () of all global equities and portfolios over the last 90 days. Use Nike Inc to protect your portfolios against small market fluctuations. The stock experiences a moderate downward daily trend and can be a good diversifier. Check odds of Nike to be traded at $153.29 in 90 days. . Let's try to break down what Nike's beta means in this case. Nike returns are very sensitive to returns on the market. As the market goes up or down, Nike is expected to follow.

Weak diversification

The correlation between Nike Inc and DJI is Weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Nike Inc and DJI in the same portfolio assuming nothing else is changed.

Nike Additional Risk Indicators

The analysis of Nike's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Nike's investment and either accepting that risk or mitigating it. Along with some common measures of Nike stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance0.1098
Market Risk Adjusted Performance0.338
Mean Deviation1.02
Semi Deviation0.6786
Downside Deviation1.01
Coefficient Of Variation668.6
Standard Deviation1.98
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Nike Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Nike as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Nike's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Nike's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Nike Inc.
Additionally, see Stocks Correlation. Note that the Nike Inc information on this page should be used as a complementary analysis to other Nike's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.

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When running Nike Inc price analysis, check to measure Nike's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Nike is operating at the current time. Most of Nike's value examination focuses on studying past and present price action to predict the probability of Nike's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Nike's price. Additionally, you may evaluate how the addition of Nike to your portfolios can decrease your overall portfolio volatility.
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The market value of Nike Inc is measured differently than its book value, which is the value of Nike that is recorded on the company's balance sheet. Investors also form their own opinion of Nike's value that differs from its market value or its book value, called intrinsic value, which is Nike's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Nike's market value can be influenced by many factors that don't directly affect Nike Inc underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Nike's value and its price as these two are different measures arrived at by different means. Investors typically determine Nike value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Nike's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.