# Nike Stock Volatility

NKE | - USA Stock | ## USD 115.90 3.30 2.93% |

Nike Inc has Sharpe Ratio of -0.11, which conveys that the firm had -0.11% of return per unit of risk over the last 3 months. Macroaxis standpoint towards estimating the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Nike exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Nike Inc mean deviation of 2.08, and Risk Adjusted Performance of (0.12) to check out the risk estimate we provide.

Nike |

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.

### 690 Days Market Risk

### Chance of Distress

### 690 Days Economic Sensitivity

Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Nike can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Nike at lower prices. For example, an investor can purchase Nike stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Nike's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

## 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 1.62 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. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Nike will likely underperform. 3 Months Beta |Analyze Nike Inc Demand TrendCheck current 90 days Nike correlation with market (DOW)

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.

## Nike Beta |

## Standard Deviation | 2.64 |

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 | 44.88 |

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 are near their expiration.

## Nike Inc Stock Volatility Analysis

Volatility refers to the frequency at which Nike stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Nike's price changes. Investors will then calculate the volatility of Nike's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Nike's volatility:### Historical Volatility

This type of stock volatility measures Nike's fluctuations based on previous trends. It's commonly used to predict Nike's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.### Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Nike's current market price. This means that the stock will return to its initially predicted market price.Transformation |

The output start index for this execution was zero with a total number of output elements of sixty-one. Nike Inc Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input..

## Nike Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.6201 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Nike will likely underperform.

Nike's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Nike stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point. 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 a negative alpha, implying that the risk taken by holding this instrument is not justified. Nike Inc is significantly underperforming DOW. Predicted Return Density |

Returns |

## What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:### Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.### Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.### The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.## 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 -901.76. The daily returns are distributed with a variance of 6.97 and standard deviation of 2.64. The mean deviation of Nike Inc is currently at 2.06. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29

α | Alpha over DOW | -0.11 | |

β | Beta against DOW | 1.62 | |

σ | Overall volatility | 2.64 | |

Ir | Information ratio | -0.06 |

## 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

**2.6399%**on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.2982% 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.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 73300 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 options2022-05-20 CALL at $60.0 is a CALL option contract on Nike's common stock with a strick price of 60.0 expiring on 2022-05-20. The contract was not traded in recent days and, as of today, has 2 days remaining before the expiration. The option is currently trading at a bid price of $52.4, and an ask price of $53.05. The implied volatility as of the 18th of May 2022 is 279.2842. Profit |

Nike Price At Expiration |

## Nike Investment Opportunity

Nike Inc has a volatility of 2.64 and is 2.03 times more volatile than DOW.

**22**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**22 ()**of all global equities and portfolios over the last 90 days. Use Nike Inc to enhance returns of your portfolios. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of Nike to be traded at $139.08 in 90 days. . Let's try to break down what Nike's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Nike will likely underperform.### Poor diversification

The correlation between Nike Inc and DJI is

**Poor 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 Performance | (0.12) | |||

Market Risk Adjusted Performance | (0.15) | |||

Mean Deviation | 2.08 | |||

Coefficient Of Variation | (1,050) | |||

Standard Deviation | 2.63 | |||

Variance | 6.91 | |||

Information Ratio | (0.06) |

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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.

## Complementary Tools for Nike Stock analysis

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.

Bollinger BandsUse Bollinger Bands indicator to analyze target price for a given investing horizon | Go | |

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Alpha FinderUse alpha and beta coefficients to find investment opportunities after accounting for the risk | Go |

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's underlying business (such as a 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.