The skyshard is on the open area, on the edge close to lava. You can spot it from the distance without problem, since there are no obstacles that can block your view of the skyshard. Nearby enemies will attack you if you come too close to them. Keep that in mind before you start swimming through lava.
In southwestern Stonefalls, in the Magmaflow Overlook area, to the south of Ashen Road. Wayshrine.