Finance

NKE Move Probability $38.27 +0.74 (+2.0%)

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)
42.8%
Stock touched +5.0% ($40.18) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
14.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.91x
You are 2.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.9%
$34.87 — $41.66

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-27.0% to -23.6%: 2 occurrences (0.4%) -25.3% -23.6% to -20.3%: 3 occurrences (0.6%) -20.3% to -16.9%: 13 occurrences (2.6%) -16.9% to -13.6%: 14 occurrences (2.8%) -15.3% -13.6% to -10.3%: 21 occurrences (4.1%) -10.3% to -6.9%: 56 occurrences (11.0%) -6.9% to -3.6%: 108 occurrences (21.2%) -5.3% -3.6% to -0.2%: 101 occurrences (19.8%) -0.2% to +3.1%: 64 occurrences (12.6%) +3.1% to +6.4%: 71 occurrences (13.9%) 4.8% +6.4% to +9.8%: 29 occurrences (5.7%) +9.8% to +13.1%: 10 occurrences (2.0%) +13.1% to +16.5%: 6 occurrences (1.2%) 14.8% +16.5% to +19.8%: 5 occurrences (1.0%) +19.8% to +23.1%: 4 occurrences (0.8%) +23.1% to +26.5%: 2 occurrences (0.4%) 24.8%
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) 42.8% 14.7% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.7% Adjusts normal bell curve for real-world skewness (-0.71) and kurtosis (11.47).
Standard Normal (Black-Scholes / GBM) 58.2% 29.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.6% 13.0% Filters for historical windows that started with volatility similar to current 20-day HV (347 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.6%
  • Recent 20-Day HV: 28.2%
  • Parkinson Intraday Volatility: 27.2%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.5%
  • Top 10% Move (90th percentile): +6.7%
  • Bottom 10% Move (10th percentile): -10.3%
  • Max Historical Gain (14d): +26.5%
  • Max Historical Loss (14d): -27.0%