Moderna (MRNA) now ranks among the top five S&P 500 stocks by short interest, with 12.15% of float shorted, doubling this year. Analysts align with the bearish outlook, and implied volatility has surged to 90, signaling a new risk paradigm. We use the S3 Black App and available data from the Bloomberg Terminal to analyze Moderna’s current situation.

Moderna (MRNA) has one of the highest short interest as a percentage of float in the S&P, currently at 12.15%, which has recently doubled. It is now the fifth-highest in the index and continues to rise to new records throughout the year. The short interest also increased throughout last year.

MRNA not a squeeze risk candidate, primarily because its price has been in a steady decline since May. During the rally in May, it posed a squeeze risk, with a score over 70 for 9 days, even reaching 100. The squeeze risk is more likely to rise with short-term returns.

MRNA is one of the worst performers in the S&P, down 57%. This follows annual returns of 29% and 44%.

The short interest notional, or the dollar amount shorted, has decreased significantly, as it is the product of the number of shares shorted and the stock price. The stock price has fallen more than the short interest has risen.

The market cap is now only $16 billion, down from $180 billion, which is less than 10% of its previous value..

Analyst recommendations track the short interest numbers: Sell recommendations are three times as high, mirroring the rise in short interest as a percentage of notional. Sell recommendations currently stand at 15%, similar to the 12% short interest.

We often observe a relationship between analyst ratings and short positions. Both investors and analysts tend to use similar tools for stock analysis. Stocks with low short interest typically have few or no Sell recommendations.

When we look at MRNA’s short position as a percentage of float, we find a correlation—though not a strong one—with the stock price.

As the stock price declines, the short position increases, meaning investors are shorting the stock as it falls. This partially explains the exponential growth in short interest as the stock continues to drop. This is consistent with a momentum strategy.

MRNA’s realized volatility has been relatively stable, but its implied volatility (a measure of expected risk) has doubled. Despite the continued decline, implied volatility has never exceeded 60 until now; it has recently surged to 90. This suggests that the options market sees a shift, indicating a new risk paradigm.

Unlike the gradual rise in short interest, the increase in implied volatility was sudden.

Moderna’s declining stock price, rising short interest, and increased implied volatility reveal an evolving risk narrative. Contact us for deeper insights.

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