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

ByOphir Gottlieb
Published 12/20/2011, 07:27 AM
Updated 07/09/2023, 06:31 AM
MAR
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SFLY is trading $23.81, up 2.5% with IV30™ down 1.4%. The LIVEVOL® Pro Summary is below.

sfly_summary2

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.

sfly_summary

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).

sfly_charts2

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.

sfly_skew_12-19-11

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.

sfly_options2

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

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