Delta Air Lines

DAL

52.55

-0.31

-0.6%

Premarket:

52.94

+0.39

+0.7%

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Stock Price
Open: 53.26
Prev. Close: 52.85
Low/Hi: 52.45 - 53.44
52-Week: 43.81 - 60.79
Volumes
Equity: 4,899,788
90-Day Avg: 7,694,355
Option: 20,342
90-Day Avg: 33,342
Volatility
Todays Stock Vol: 22.1
20-Day (HV): 33.4
52-Week (HV): 24.5
30-Day IV: 27.7 -0.5
IV Pct Rank: 88% Elevated
Fundamental
Dividend: 16-May $0.305 (Est.)
Div. Yield: 2.3%
Earnings: 13-Apr (Est.)
P/E Ratio: 10.57
Market Cap: 37.5 B
Short Int Pct: 2.1%
Pct Held By Inst.: 87.6%
Stock Info
Type: Common
Sector: Services
Industry: Major Airlines

DAL Symbol Review Report

Report Date: 22-Feb-2018

Price Performance:

On the day, DAL has moved -0.6%, while SPY has moved +0.1%.

Over the last two weeks, DAL has moved +2.6%, and SPY has moved +5.0%.

Volume:

DAL's stock volume on the day is 4,816,240, which is 0.6x relative to the 90-day average of 7,694,355

SPY's relative volume on the day is 1.1x, trading 102,454,020 shares against an average of 92,866,824 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for DAL is 22.1 for the day. The 20-day average is 31.4, and the 52-week average is 21.7.

The 1-Day OHLC Volatility for SPY is 15.1, while the average over the last 20 days is 14.8, and for the last 52 weeks is 7.0.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 27.7, and has moved -1.8% from the previous day. Its IV % Rank is 0.88, which is considered Elevated.

As a comparison, the current IV30 for SPY is 14.2, down -3.9% from the previous day. SPY's IV % Rank is Elevated at 0.95.

Over the last 52 weeks, the IV30 Range is 20.7 - 38.7.

Over the same span, SPY's IV30 Range is 6.4 - 27.6.

Based on the IV30, a synthetic put to protect downside risk would cost 3.1%, compared to a 52-week range of 2.3% - 4.3%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
23-Feb-18 0.68 1.3% 51.95 53.30
02-Mar-18 1.79 3.4% 50.83 54.42
09-Mar-18 2.45 4.7% 50.17 55.08
16-Mar-18 2.91 5.5% 49.71 55.54
23-Mar-18 3.34 6.3% 49.29 55.96
29-Mar-18 3.63 6.9% 49.00 56.25
06-Apr-18 4.01 7.6% 48.62 56.63
20-Apr-18 4.89 9.3% 47.73 57.52
15-Jun-18 6.81 12.9% 45.81 59.44
21-Sep-18 9.45 18.0% 43.17 62.08
18-Jan-19 11.86 22.5% 40.76 64.49
17-Jan-20 16.72 31.8% 35.91 69.34

Volatility Skew:

The current downside put implied volatility is trading 10.1% higher than the upside call volatility, which represents a bearish tone when compared to the past year. Over the last year, the downside put has traded on average 4.2% higher than the upside call.

Option Volume:

On the day, DAL traded 20,342 contracts, with 29.5% being put options. This represents a relative volume of 0.6x compared to the last 90 days, when the average volume was 33,342 and 36.1% 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 126 0.6% 52,761 3,671 18.2% 550,793 10,431 51.6% 206,567 14,228 70.4% 810,121
Put 983 4.9% 475,530 3,236 16.0% 406,168 1,755 8.7% 67,623 5,974 29.6% 949,321
Total 20,202 1,759,442

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
DAL 16Mar18 C 65 5,402 33 0.01 0.01 0.03 10,160 35.9 -0.6%
DAL 16Mar18 C 56 2,124 12 0.37 0.37 0.51 400 27.1 -2.3%
DAL 23Feb18 P 53 792 37 0.63 0.22 0.63 1,806 24.7 -5.8%
DAL 23Feb18 P 52.5 684 26 0.35 0.12 0.36 382 25.8 -6.9%
DAL 16Mar18 C 55 573 41 0.59 0.57 0.83 10,679 27.1 -2.9%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 18Jan19 P 50 13,830 10,769 +3,061 +28.4% 8
DAL 2Mar18 C 53.5 1,287 184 +1,103 +599.5% 269
DAL 23Feb18 C 53.5 1,615 624 +991 +158.8% 375
DAL 2Mar18 P 43 2,212 1,462 +750 +51.3% 0
DAL 18Jan19 P 52.5 717 25 +692 +2768.0% 8

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 18Jan19 P 43 11,807 12,307 -500 -4.1% 2
DAL 20Apr18 C 60 9,052 9,544 -492 -5.2% 78
DAL 18Jan19 P 40 8,851 9,168 -317 -3.5% 30
DAL 16Mar18 C 52.5 14,174 14,467 -293 -2.0% 365
DAL 16Mar18 C 47 70 343 -273 -79.6% 10

Upcoming Dividend:

The next dividend for DAL has not yet been announced. Its indicative dividend yield going forward is 2.32%.

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