Delta Air Lines

DAL

50.80

+0.40

+0.8%

After Hours:

50.80

0.00

0.0%

Stock Price
Open: 50.31
Prev. Close: 50.40
Low/Hi: 50.31 - 50.95
52-Week: 32.60 - 52.76
Volumes
Equity: 5,659,918
90-Day Avg: 8,316,531
Option: 34,604
90-Day Avg: 32,284
Volatility
Today: 14.3
20-Day: 24.6
52-Week: 28.7
30-Day IV: 23.4 -0.6
IV Rank: 0.07 (Subdued)
Fundamental
Dividend: 11-Aug $0.203 (Est.)
Div. Yield: 1.6%
Earnings: 14-Jul (Est.)
P/E Ratio: 9.28
Market Cap: 37.1 B
Stock Type: Common | Sector: Services | Industry: Major Airlines

DAL Symbol Review Report

Report Date: 26-May-2017

Price Performance:

On the day, DAL has moved +0.8%, while SPY has moved 0.0%.

Over the last two weeks, DAL has moved +3.7%, and SPY has moved +1.1%.

Volume:

DAL's stock volume on the day is 5,659,918, which is 0.7x relative to the 90-day average of 8,316,531

SPY's relative volume on the day is 0.6x, trading 43,404,538 shares against an average of 77,092,465 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for DAL is 14.3 for the day. The 20-day average is 21.1, and the 52-week average is 25.5.

The 1-Day OHLC Volatility for SPY is 2.4, while the average over the last 20 days is 5.5, and for the last 52 weeks is 7.7.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 23.4, and has moved -2.5% from the previous day. Its IV Ranking is 0.07, which is considered Subdued.

As a comparison, the current IV30 for SPY is 7.3, down slightly -1.9% from the previous day. SPY's IV Rank is Subdued at 0.25.

Over the last 52 weeks, the IV30 Range is 21.8 - 54.0.

Over the same span, SPY's IV30 Range is 7.2 - 20.7.

Based on the IV30, a synthetic put to protect downside risk would cost 2.6%, compared to a 52-week range of 2.4% - 6.1%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
26-May-17 0.06 0.1% 50.73 50.86
02-Jun-17 1.25 2.5% 49.55 52.04
09-Jun-17 1.77 3.5% 49.02 52.57
16-Jun-17 2.24 4.4% 48.56 53.03
23-Jun-17 2.59 5.1% 48.21 53.38
30-Jun-17 2.93 5.8% 47.87 53.72
07-Jul-17 3.12 6.1% 47.68 53.91
21-Jul-17 4.12 8.1% 46.67 54.92
15-Sep-17 5.93 11.7% 44.86 56.73
15-Dec-17 8.24 16.2% 42.56 59.03
19-Jan-18 8.97 17.7% 41.83 59.76
18-Jan-19 14.57 28.7% 36.23 65.36

Volatility Skew:

The current downside put implied volatility is trading 1.7% 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 9.0% higher than the upside call.

Option Volume:

On the day, DAL traded 34,604 contracts, with 56.0% being put options. This represents a relative volume of 1.1x compared to the last 90 days, when the average volume was 32,284 and 35.8% 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 4,022 11.6% 1,456,473 9,168 26.4% 1,568,642 2,087 6.0% 56,792 15,277 44.1% 3,081,907
Put 811 2.3% 142,409 4,560 13.2% 486,488 14,024 40.4% 386,161 19,395 55.9% 1,015,058
Total 34,672 4,096,965

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
DAL 16Jun17 P 45 5,240 12 0.08 0.07 0.09 8,974 31.1 +4.6%
DAL 16Jun17 P 48.5 5,223 12 0.36 0.36 0.45 257 25.3 -0.2%
DAL 26May17 P 50.5 1,459 33 0.02 0.02 0.23 229 31.1 +56.7%
DAL 23Jun17 C 50.5 1,292 29 1.42 1.32 1.42 58 23.5 -1.5%
DAL 16Jun17 C 50 1,152 80 1.59 1.43 1.70 66,640 24.1 -0.8%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 21Jul17 C 50 18,837 15,260 +3,577 +23.4% 151
DAL 2Jun17 C 57.5 2,117 0 +2,117 0
DAL 9Jun17 C 57 1,718 0 +1,718 0
DAL 2Jun17 C 50.5 1,600 464 +1,136 +244.8% 205
DAL 16Jun17 C 52 641 66 +575 +871.2% 336

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 16Jun17 P 46 3,808 4,458 -650 -14.6% 83
DAL 16Jun17 C 50 66,640 66,902 -262 -0.4% 1,152
DAL 26May17 C 49.5 1,003 1,139 -136 -11.9% 465
DAL 26May17 P 47.5 456 570 -114 -20.0% 0
DAL 26May17 P 48 561 667 -106 -15.9% 5

Upcoming Dividend:

The next dividend for DAL has not yet been announced. Its indicative dividend yield going forward is 1.59%.