Tuesday, June 11, 2013

SodaStream (SODA) - Vol Explodes, Stock Nears All-time Highs; Options Point to Near-term Risk

SODA closed at $76.11 on Monday, up 5.0% with IV30™ popping 23.8%. 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.

I found this stock using a real-time custom scan. This one hunts for vol gainers on the day. This is truly a fascinating story where a stock is nearing all-time highs and vol is exploding with the stock rise.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percent Change GTE 10
Average Option Volume GTE 1,200
IV30™ Change GTE 7

The goal with this scan is to identify names with rising IV30™ that also have a reasonable amount of liquidity in the options (thus the minimum average option volume) and enough strikes to spread and thus a minimum stock price. I also require a minimum vol level in order to avoid any boring ETFs (or whatever).

The one-year SODA Charts Tab is included (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 a remarkable Y-O-Y return from $34.67 to now well more than 100% higher. We can also see more myopically how the stock has been headed up rather abruptly in the last few months. SODA just broke an annual high in stock price today and is dangerously close to breaching an all-time high (~$80).

But, this is also a vol story, so let’s look to the isolated one-year IV30™ chart.

We can see the hypnotic ebb and flow of vol around earnings, but try to look past that and check out the vol move of late. We can see a rather abrupt directional change where the implied has risen from ~38% to now over 66% -- and that’s after earnings. So this is a great example of a stock that has rising vol as the stock price also rises.

Let's look to the Options Tab (below).

Across the top we can see the monthly vols are priced to 78.72% for Jun and 60.79% for Jul. That’s a sizable calendar diff. Note that the Oct, Jan’14 and Jan’15 expiries continue a monotonic vol drop by expiration. In English, the risk for SODA as reflected by the options market is hyper focused on the near-term.

Finally, let’s turn to the Skew Tab to get a better look at the vol diff between the front two months.

The shapes are the same – that is, parabolic, which reflects both upside and downside tail risk, but more obvious is the sizable premium in the Jun options (in terms of vol) relative to Jul. This is truly a fascinating story where a stock is nearing all-time highs and vol is exploding with the stock rise.

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1 comment:

  1. Soda is a possible takeover candidate by Pepsi or Coke causing the recent runup in price.