Nick Woodman (R), founder and CEO of GoPro takes pictures with co-workers during the company's IPO at the Nasdaq on June 26, 2014.

GoPro's current tagline is "Be a Hero." In fact, that's just the kind of adventurous mindset one might need in order to short shares of the wearable camera maker that recently went public.

GoPro priced its IPO at $24, and since then, shares have risen as high as $49.90. On Wednesday, the stock took a break, sliding more than 12 percent, as skeptics scrambled to get short. But a new possibility for those who want to bet against the stock will likely come on Monday, when the Chicago Board Options Exchange (more commonly known as CBOE) has said they are planning to list options on GoPro.

Even for those who are confident the stock is overvalued, shorting does have its perils.

First, and most obviously, there is no telling how high the stock can go. As John Maynard Keynes is frequently (if likely apocryphally) quoted as saying, "Markets can remain irrational longer than you can remain solvent."

Read MoreGoPro will grow, analysts say



But GoPro is a special case. Massive demand by investors to borrow shares to short (as one must borrow the shares in order to short a stock) has dramatically increased the cost of betting against the stock.

"As of today, seemingly every available piece of stock is being hovered by reporters to support short positions," Timothy Smith, executive vice president at data provider Astec Analytics (which is part of SunGard), told CNBC.com on Wednesday. "So far today an additional 1.6 million shares have gone out the door. The rates being paid are also very high, being around 80 percent on an annualized basis."

In comparison, the rate one needed to pay in order to short a recently public market only got as high as 2.5 percent, and the rate for Twitter only briefly got as high as 40 percent.

Smith did add that as institutions offer additional supplies of the shares to borrow, rates will fall.

Currently, short interest in the stock is between 6 and 7 percent, according to the OTAS Technologies head of product specialists Simon Maughan.