Monday, December 12, 2011

Pandora (P) - Elevated Vol, Elevated Front Month and Downside Puts

P is trading $9.50, down 4.0% with IV30™ down 6.4%. The LIVEVOL® Pro Summary is below.


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Pandora Media, Inc. (Pandora) is an Internet radio in the United States. As of January 31, 2011, it had over 80 million registered users.

This a vol note -- both overall and month-to-month. Let's start with the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).

First we can see the stock's performance -- aka bad. The 52 wk low in P is $9.33 and the low for the day is $9.15 so, ya know, that's lower 'n stuff. On the vol side we can see how the implied has traded above the short-term realized for almost all of the stock's history. That's not uncommon for an IPO, but the vol diff has opened up a bit after a contraction in late Nov. Right now the IV30™ is 101.94 vs HV20 of 76.27.

Let's turn to the Skew Tab to see the second vol phenomenon.

The Dec options (expiring in less than a week) are trading with elevated vol to the back months to the tune of over 30 vol points. The next earnings cycle for P should be after the Feb cycle (which doesn't exist yet) and in the Mar cycle. Note that for now, Mar options are priced with lower vol than Jan.

Finally, let's turn to the Options Tab, for completeness.

Check out that downside in Dec -- the 8 strike puts are priced at ~155 vol. In Mar we can see the 5 strike puts are $0.20 bid... gulp. It is interesting to note that as P has made a new low, the implied is dropping...

This is trade analysis, not a recommendation.

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