Friday, March 23, 2012

SodaStream Int'l (SODA) - Vol Falls Asleep in Gapping Stock

SODA is trading $34.34, down small with IV30™ up 0.2%. The LIVEVOL® Pro Summary is below.


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SodaStream International Ltd., formerly Soda-Club Holdings Ltd., along with its subsidiaries, is engaged in developing, manufacturing and marketing home beverage carbonation systems and related products.

This is a vol note, specifically depressed vol in a stock that gaps all over the place. Let's start with the Charts Tab (one year), 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 some enormous short-term moves in the underlying. The earnings release in May 2011 resulted in a $12.66 two day gain or 30%. Aug 2011 earnings resulted in a $23.25 one day drop or 33.8%. The earnings date in Feb 2012 resulted in a 14.2% one day drop ($6.75). But aside from earnings, the stock moved more than $12 (22%) in between the May 2011 and Aug 2011 earnings cycles. This stock moves -- earnings related and otherwise.

On the vol side we can see that the implied has hit as high as 122.56%, but as of right now, IV30™ trading at 48.01% (even after being up 7.8% today). The current level is in the 6th percentile (annual). It's this dwindling vol level that caught my eye given the stock's penchant to move.

Let's turn to the Skew Tab to examine the month-to-month and line-by-line vols.

We can see a parabolic shape to the front month skew, while the second month is priced to significantly higher ATM vol. The last earnings release in calendar Q2 for SODA was 5-18-2011. This year the May cycle expires on 5-18-2012... tricky. The May options are elevated to Apr likely due to the possibility of the earnings event (which can move stock abruptly).

Finally, let's turn to the Options Tab.

Check out how closely May and Jul are priced in vol, 57.54% to 57.95, respectively, while Apr is priced to 48.01% (even after being up 3.5 vol points today). Overall, this is another example of a stock that can gap, yet the implied has "fallen asleep" of late.

This is trade analysis, not a recommendation.

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