Monday, December 19, 2011

Shutterfly(SFLY) - Vol Continues to Rise as Stock Drops

SFLY is trading $23.81, up 2.5% with IV30™ down 1.4%. The LIVEVOL® Pro Summary is below.


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Shutterfly, Inc. is an Internet-based social expression and personal publishing service that enables consumers to share, print and preserve their memories its technology, manufacturing, Web-design and merchandising capabilities.

This is a vol note on a stock that continues to drop as the vol rises.

I last wrote about SFLY on 12-13-2011. You can read that post here:
Shutterfly (SFLY) - Rising Vol, Elevated Calendar, Dipping Stock

At the time of that writing the stock was trading %25.58 and the IV30™ was 70.54. The Symbol Summary from that prior post is included below.

As of this writing, the vol has pushed higher to now nearly 90%. Let's look to the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).

On the stock side we can see the recent trend. The technical term for that is "straight down." That is a rough stock chart... On the vol side, I've highlighted the popping IV30™. It has risen from the 60% range to now nearly 90% in about a month. Interestingly, as the implied his risen, the short-term historical realized vol has been falling. As of right now the vol comps are:

IV30™: 88.17
HV20: 64.35
HV180: 60.03

Let's turn to the Skew Tab, below.

All three months are priced similarly and hold a similar shape. So, in English, the elevated implied is reflected in all three front expiries -- whatever the elevated risk, there doesn't seem to be certainty as to the date of an "event."

Finally, let's turn to the Options Tab, below.

We can see (at the top) that the monthly vols for Jan, Feb and Mar are 88.17%, 89.29% and 81.67%, respectively.

This is trade analysis, not a recommendation.

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