Delta Air Lines

DAL

50.46

-0.02

0.0%

After Hours:

50.40

-0.06

-0.1%

Stock Price
Open: 50.38
Prev. Close: 50.48
Low/Hi: 49.88 - 50.52
52-Week: 32.60 - 52.76
Volumes
Equity: 8,134,189
90-Day Avg: 8,522,290
Option: 17,534
90-Day Avg: 35,104
Volatility
Today: 17.3
20-Day: 24.1
52-Week: 29.9
30-Day IV: 25.0 -0.8
IV Rank: 0.08 (Subdued)
Fundamental
Dividend: 5-May $0.203 (Est.)
Div. Yield: 1.6%
Earnings: 13-Apr (Est.)
P/E Ratio: 8.67
Market Cap: 36.9 B
Stock Type: Common | Sector: Services | Industry: Major Airlines

DAL Symbol Review Report

Report Date: 24-Feb-2017

Price Performance:

On the day, DAL has moved 0.0%, while SPY has moved +0.1%.

Over the last two weeks, DAL has moved +2.4%, and SPY has moved +2.3%.

Volume:

DAL's stock volume on the day is 8,134,189, which is 1.0x relative to the 90-day average of 8,522,290

SPY's relative volume on the day is 0.9x, trading 77,141,484 shares against an average of 82,740,785 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for DAL is 17.3 for the day. The 20-day average is 22.1, and the 52-week average is 26.8.

The 1-Day OHLC Volatility for SPY is 8.3, while the average over the last 20 days is 6.1, and for the last 52 weeks is 8.7.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 25.0, and has moved -3.0% from the previous day. Its IV Ranking is 0.08, which is considered Subdued.

As a comparison, the current IV30 for SPY is 8.6, down -3.1% from the previous day. SPY's IV Rank is Subdued at 0.40.

Over the last 52 weeks, the IV30 Range is 23.6 - 54.0.

Over the same span, SPY's IV30 Range is 8.5 - 20.7.

Based on the IV30, a synthetic put to protect downside risk would cost 2.8%, compared to a 52-week range of 2.7% - 6.1%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
24-Feb-17 0.07 0.1% 50.31 50.44
03-Mar-17 1.35 2.7% 49.02 51.73
10-Mar-17 1.92 3.8% 48.45 52.30
17-Mar-17 2.37 4.7% 48.00 52.75
24-Mar-17 2.74 5.4% 47.63 53.12
31-Mar-17 3.10 6.2% 47.27 53.48
07-Apr-17 3.51 7.0% 46.86 53.89
21-Apr-17 4.32 8.6% 46.05 54.70
16-Jun-17 6.40 12.7% 43.97 56.78
15-Sep-17 8.97 17.8% 41.41 59.34
19-Jan-18 11.99 23.8% 38.39 62.36
18-Jan-19 17.25 34.2% 33.13 67.62

Volatility Skew:

The current downside put implied volatility is trading 5.7% higher than the upside call volatility, which represents a bullish tone when compared to the past year. Over the last year, the downside put has traded on average 10.9% higher than the upside call.

Option Volume:

On the day, DAL traded 17,534 contracts, with 42.4% being put options. This represents a relative volume of 0.5x compared to the last 90 days, when the average volume was 35,104 and 32.7% puts.

Order Flow:

In the Money At the Money Out of the Money Total
Option Type Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional $
Call 1,494 11.2% 133,017 2,938 22.0% 384,183 3,121 23.3% 37,680 7,553 56.4% 554,880
Put 1,265 9.5% 145,399 2,635 19.7% 512,704 1,930 14.4% 115,287 5,830 43.6% 773,390
Total 13,383 1,328,270

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
DAL 24Feb17 C 50 1,046 45 0.47 0.17 0.51 280 0.0 -99.9%
DAL 3Mar17 C 52 1,000 109 0.21 0.17 0.27 1,211 25.7 -0.9%
DAL 3Mar17 P 49.5 710 45 0.33 0.33 0.56 133 24.2 -5.2%
DAL 3Mar17 C 51.5 701 77 0.31 0.25 0.37 880 24.8 -2.8%
DAL 24Feb17 P 51 651 57 0.53 0.53 1.08 742 48.5 +130.6%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 17Mar17 C 60 8,015 5,463 +2,552 +46.7% 0
DAL 3Mar17 C 56 1,878 150 +1,728 +1152.0% 0
DAL 17Mar17 C 58.5 1,381 281 +1,100 +391.5% 0
DAL 17Mar17 C 59 3,942 3,160 +782 +24.8% 0
DAL 21Apr17 P 45 744 333 +411 +123.4% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 17Mar17 C 55 26,395 26,880 -485 -1.8% 88
DAL 24Feb17 C 51.5 1,058 1,217 -159 -13.1% 140
DAL 17Mar17 C 50 11,133 11,231 -98 -0.9% 482
DAL 19Jan18 P 43 3,306 3,347 -41 -1.2% 49
DAL 16Jun17 C 50 3,124 3,163 -39 -1.2% 212

Upcoming Dividend:

The next dividend for DAL has not yet been announced. Its indicative dividend yield going forward is 1.60%.