Delta Air Lines

DAL

46.00

+0.08

+0.2%

After Hours:

46.00

0.00

0.0%

Stock Price
Open: 46.10
Prev. Close: 45.92
Low/Hi: 45.60 - 46.31
52-Week: 32.60 - 52.76
Volumes
Equity: 6,260,085
90-Day Avg: 8,192,270
Option: 18,909
90-Day Avg: 35,381
Volatility
Today: 17.1
20-Day: 27.2
52-Week: 29.6
30-Day IV: 27.3 -0.2
IV Rank: 0.37 (Subdued)
Fundamental
Dividend: 5-May $0.203 (Est.)
Div. Yield: 1.8%
Earnings: 13-Apr (Est.)
P/E Ratio: 7.89
Market Cap: 33.6 B
Stock Type: Common | Sector: Services | Industry: Major Airlines

DAL Symbol Review Report

Report Date: 24-Mar-2017

Price Performance:

On the day, DAL has moved +0.2%, while SPY has moved -0.1%.

Over the last two weeks, DAL has moved -4.0%, and SPY has moved -1.6%.

Volume:

DAL's stock volume on the day is 6,260,085, which is 0.8x relative to the 90-day average of 8,192,270

SPY's relative volume on the day is 1.4x, trading 107,532,274 shares against an average of 78,973,395 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for DAL is 17.1 for the day. The 20-day average is 24.6, and the 52-week average is 26.7.

The 1-Day OHLC Volatility for SPY is 9.3, while the average over the last 20 days is 6.8, and for the last 52 weeks is 8.3.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 27.3, and has moved -0.6% from the previous day. Its IV Ranking is 0.37, which is considered Subdued.

As a comparison, the current IV30 for SPY is 10.8, down slightly -0.4% from the previous day. SPY's IV Rank is Moderate at 0.74.

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

Over the same span, SPY's IV30 Range is 8.1 - 20.7.

Based on the IV30, a synthetic put to protect downside risk would cost 3.1%, compared to a 52-week range of 2.6% - 6.1%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
24-Mar-17 0.12 0.3% 45.87 46.12
31-Mar-17 1.23 2.7% 44.77 47.22
07-Apr-17 1.85 4.0% 44.15 47.84
13-Apr-17 2.44 5.3% 43.56 48.43
21-Apr-17 2.74 6.0% 43.26 48.73
28-Apr-17 3.12 6.8% 42.88 49.11
05-May-17 3.52 7.7% 42.48 49.51
19-May-17 4.12 9.0% 41.88 50.11
16-Jun-17 5.00 10.9% 41.00 50.99
15-Sep-17 7.47 16.2% 38.53 53.46
19-Jan-18 10.07 21.9% 35.92 56.07
18-Jan-19 15.19 33.0% 30.81 61.18

Volatility Skew:

The current downside put implied volatility is trading 8.8% higher than the upside call volatility, which represents a slightly bullish tone when compared to the past year. Over the last year, the downside put has traded on average 10.0% higher than the upside call.

Option Volume:

On the day, DAL traded 18,909 contracts, with 37.6% being put options. This represents a relative volume of 0.5x compared to the last 90 days, when the average volume was 35,381 and 32.2% 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 32 0.7% 23,727 2,416 52.2% 611,212 435 9.4% 20,585 2,883 62.3% 655,524
Put 0 0.0% 0 1,504 32.5% 654,360 244 5.3% 27,318 1,748 37.7% 681,678
Total 4,631 1,337,202

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
DAL 16Jun17 C 50 447 52 0.90 0.90 1.05 59,431 27.4 -0.6%
DAL 16Jun17 C 46 285 26 2.46 2.35 2.60 1,857 28.5 -0.3%
DAL 16Jun17 C 48 265 15 1.64 1.64 1.70 4,435 27.9 -0.6%
DAL 19Jan18 P 45 261 46 4.65 4.50 4.75 7,832 30.9 +0.1%
DAL 19Jan18 C 50 217 40 3.20 3.20 3.35 3,765 29.6 -0.2%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 15Sep17 P 40 3,363 2,845 +518 +18.2% 0
DAL 18Jan19 C 70 531 15 +516 +3440.0% 0
DAL 16Jun17 C 55 52,369 51,872 +497 +1.0% 174
DAL 19Jan18 P 45 7,832 7,434 +398 +5.4% 261
DAL 15Sep17 C 49 1,068 695 +373 +53.7% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 16Jun17 C 48 4,435 6,123 -1,688 -27.6% 265
DAL 24Mar17 C 45.5 511 681 -170 -25.0% 0
DAL 19Jan18 P 35 8,510 8,590 -80 -0.9% 36
DAL 24Mar17 P 45 358 431 -73 -16.9% 0
DAL 24Mar17 P 47 833 905 -72 -8.0% 0

Upcoming Dividend:

The next dividend for DAL has not yet been announced. Its indicative dividend yield going forward is 1.76%.