Delta Air Lines

DAL

48.04

+0.14

+0.3%

After Hours:

48.04

0.00

0.0%

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Stock Price
Open: 48.00
Prev. Close: 47.90
Low/Hi: 47.78 - 48.60
52-Week: 37.41 - 55.75
Volumes
Equity: 5,500,590
90-Day Avg: 7,792,289
Option: 14,474
90-Day Avg: 30,620
Volatility
Todays Stock Vol: 18.8
20-Day (HV): 27.5
52-Week (HV): 25.3
30-Day IV: 26.1 +0.1
IV Pct Rank: 51% Moderate
Fundamental
Dividend: 15-Nov $0.305 (Est.)
Div. Yield: 2.5%
Earnings: 13-Oct (Est.)
P/E Ratio: 9.43
Market Cap: 34.7 B
Stock Type: Common
Sector: Services
Industry: Major Airlines
Stock Type: Common | Sector: Services | Industry: Major Airlines

DAL Symbol Review Report

Report Date: 20-Sep-2017

Price Performance:

On the day, DAL has moved +0.3%, while SPY has moved 0.0%.

Over the last two weeks, DAL has moved +1.4%, and SPY has moved +1.3%.

Volume:

DAL's stock volume on the day is 5,500,590, which is 0.7x relative to the 90-day average of 7,792,289

SPY's relative volume on the day is 0.8x, trading 54,903,375 shares against an average of 66,169,095 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for DAL is 18.8 for the day. The 20-day average is 24.1, and the 52-week average is 22.7.

The 1-Day OHLC Volatility for SPY is 7.0, while the average over the last 20 days is 6.1, and for the last 52 weeks is 6.9.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 26.1, and has moved +0.5% from the previous day. Its IV Ranking is 0.51, which is considered Moderate.

As a comparison, the current IV30 for SPY is 6.9, up slightly +0.5% from the previous day. SPY's IV Rank is Subdued at 0.04.

Over the last 52 weeks, the IV30 Range is 20.7 - 36.4.

Over the same span, SPY's IV30 Range is 6.4 - 19.6.

Based on the IV30, a synthetic put to protect downside risk would cost 2.9%, compared to a 52-week range of 2.3% - 4.1%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
22-Sep-17 0.68 1.4% 47.36 48.71
29-Sep-17 1.36 2.8% 46.67 49.40
06-Oct-17 2.00 4.2% 46.03 50.04
13-Oct-17 2.61 5.4% 45.42 50.65
20-Oct-17 2.94 6.1% 45.09 50.98
27-Oct-17 3.40 7.1% 44.63 51.44
17-Nov-17 4.11 8.6% 43.92 52.15
15-Dec-17 4.95 10.3% 43.09 52.98
19-Jan-18 6.01 12.5% 42.03 54.04
16-Mar-18 7.35 15.3% 40.68 55.39
20-Apr-18 8.20 17.1% 39.83 56.24
18-Jan-19 12.95 27.0% 35.08 60.99

Volatility Skew:

The current downside put implied volatility is trading 4.6% 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 6.8% higher than the upside call.

Option Volume:

On the day, DAL traded 14,474 contracts, with 50.2% being put options. This represents a relative volume of 0.5x compared to the last 90 days, when the average volume was 30,620 and 36.2% 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 73 0.5% 64,735 4,143 27.7% 905,970 3,098 20.7% 82,936 7,314 49.0% 1,053,641
Put 430 2.9% 223,040 5,370 36.0% 1,569,266 1,817 12.2% 150,907 7,617 51.0% 1,943,213
Total 14,931 2,996,854

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
DAL 16Mar18 C 50 1,381 32 2.79 2.79 2.98 5,665 27.5 -0.6%
DAL 18Jan19 P 40 1,345 7 3.45 3.26 3.45 9,166 32.6 +1.1%
DAL 18Jan19 P 43 1,200 4 4.45 4.45 4.45 7,595 30.6 -2.8%
DAL 19Jan18 P 40 993 2 0.63 0.63 0.68 10,302 31.6 -0.5%
DAL 22Sep17 C 49 694 20 0.08 0.07 0.18 1,683 20.4 +5.3%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 19Jan18 C 45 9,621 8,083 +1,538 +19.0% 197
DAL 20Apr18 P 45 1,570 70 +1,500 +2142.9% 0
DAL 22Sep17 P 47 1,237 371 +866 +233.4% 70
DAL 18Jan19 C 55 8,446 7,646 +800 +10.5% 1
DAL 22Sep17 C 49.5 1,238 511 +727 +142.3% 445

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 20Oct17 P 46 3,913 4,178 -265 -6.3% 11
DAL 18Jan19 C 50 11,405 11,504 -99 -0.9% 0
DAL 22Sep17 P 51 610 694 -84 -12.1% 20
DAL 15Dec17 C 50 5,511 5,557 -46 -0.8% 94
DAL 17Nov17 P 40 169 209 -40 -19.1% 0

Upcoming Dividend:

The next dividend for DAL has not yet been announced. Its indicative dividend yield going forward is 2.55%.