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.

← Back to NKE Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
2.3%
Stock touched +5.0% ($40.18) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.5%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.50x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.4%
$37.36 — $39.17

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-15.6% to -13.6%: 2 occurrences (0.4%) -14.6% -13.6% to -11.7%: 0 occurrences (0.0%) -11.7% to -9.8%: 1 occurrences (0.2%) -9.8% to -7.9%: 1 occurrences (0.2%) -8.8% -7.9% to -5.9%: 1 occurrences (0.2%) -5.9% to -4.0%: 8 occurrences (1.5%) -4.0% to -2.1%: 54 occurrences (10.3%) -3.1% -2.1% to -0.2%: 195 occurrences (37.4%) -0.2% to +1.7%: 177 occurrences (33.9%) +1.7% to +3.7%: 62 occurrences (11.9%) 2.7% +3.7% to +5.6%: 16 occurrences (3.1%) +5.6% to +7.5%: 3 occurrences (0.6%) +7.5% to +9.4%: 0 occurrences (0.0%) 8.5% +9.4% to +11.4%: 1 occurrences (0.2%) +11.4% to +13.3%: 0 occurrences (0.0%) +13.3% to +15.2%: 1 occurrences (0.2%) 14.2%
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) 2.3% 1.5% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.2% Adjusts normal bell curve for real-world skewness (-0.71) and kurtosis (11.47).
Standard Normal (Black-Scholes / GBM) 4.0% 2.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.7% 1.7% Filters for historical windows that started with volatility similar to current 20-day HV (360 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)

1-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +2.4%
  • Bottom 10% Move (10th percentile): -2.4%
  • Max Historical Gain (1d): +15.2%
  • Max Historical Loss (1d): -15.6%