A Marlboro cigarette. Daniel Acker | Bloomberg | Getty Images

Tobacco stocks slid Tuesday after new Nielsen data showed cigarette sales declined sharply in the past month. Sales volume, defined by the number of packs of cigarettes sold, fell 11.2% in the four-week period ended May 18, according to Nielsen. Total sales declined 6.9% to $59.27 billion and have now dropped for 18 consecutive months, according to Cowen analyst Vivien Azer. Shares of Altria shed 5% and shares of British American Tobacco traded in the U.S. fell 4% Tuesday.

"That headline number of an 11% decline is very uncomfortable," Azer said in an interview. She said Nielsen's numbers tend to be overstated. Even so, it's a stark decline and and significantly steeper than the 4% to 5% drop tobacco companies have forecast. The data highlights the predicament tobacco companies find themselves in. Their core businesses are shrinking faster than expected, threatening their usual strategy of hiking prices to offset a decline in sales. Altria raised the price of a pack of Marlboro cigarettes 11 cents in late February, bringing the average nationwide price to $7, Azer said. Tobacco companies have blamed increasing gas prices for the decline in volume. Gas averaged $2.85 per gallon in the four-week period, Azer said, adding that gas prices were higher last summer into fall and cigarette volume declines were not as steep. Altria's Marlboro cigarettes gained a bit more market share, though sales volume fell 10.9% in the period, according to Nielsen data published in a note from Wells Fargo analyst Bonnie Herzog. Meanwhile, British American Tobacco's Newport cigarette volume fell 9.8%.