Delta Air Lines

DAL

51.53

-0.73

-1.4%

Premarket:

51.70

+0.17

+0.3%

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Stock Price
Open: 52.16
Prev. Close: 52.26
Low/Hi: 51.42 - 52.41
52-Week: 35.84 - 55.75
Volumes
Equity: 8,208,688
90-Day Avg: 8,167,277
Option: 21,989
90-Day Avg: 31,852
Volatility
Today: 19.2
20-Day: 18.4
52-Week: 25.6
30-Day IV: 21.8 +0.1
IV Pct Rank: 2% Subdued
Fundamental
Dividend: 11-Aug $0.203 (Est.)
Div. Yield: 1.6%
Earnings: 13-Oct (Est.)
P/E Ratio: 10.14
Market Cap: 37.3 B
Stock Type: Common
Sector: Services
Industry: Major Airlines
Stock Type: Common | Sector: Services | Industry: Major Airlines

DAL Symbol Review Report

Report Date: 24-Jul-2017

Price Performance:

On the day, DAL has moved -1.4%, while SPY has moved 0.0%.

Over the last two weeks, DAL has moved -6.0%, and SPY has moved +1.8%.

Volume:

DAL's stock volume on the day is 8,175,084, which is 1.0x relative to the 90-day average of 8,167,277

SPY's relative volume on the day is 0.6x, trading 44,565,029 shares against an average of 71,955,240 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for DAL is 19.2 for the day. The 20-day average is 18.1, and the 52-week average is 23.0.

The 1-Day OHLC Volatility for SPY is 3.4, while the average over the last 20 days is 6.8, and for the last 52 weeks is 7.1.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 21.8, and has moved +0.4% from the previous day. Its IV Ranking is 0.02, which is considered Subdued.

As a comparison, the current IV30 for SPY is 6.9, up slightly +0.1% from the previous day. SPY's IV Rank is Subdued at 0.00.

Over the last 52 weeks, the IV30 Range is 21.5 - 36.4.

Over the same span, SPY's IV30 Range is 6.9 - 19.6.

Based on the IV30, a synthetic put to protect downside risk would cost 2.4%, compared to a 52-week range of 2.4% - 4.1%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
28-Jul-17 0.97 1.9% 50.55 52.48
04-Aug-17 1.65 3.2% 49.86 53.17
11-Aug-17 2.14 4.1% 49.38 53.65
18-Aug-17 2.46 4.8% 49.06 53.97
25-Aug-17 2.82 5.5% 48.70 54.33
01-Sep-17 3.10 6.0% 48.42 54.61
15-Sep-17 3.76 7.3% 47.76 55.27
15-Dec-17 6.65 12.9% 44.86 58.17
19-Jan-18 7.59 14.7% 43.92 59.11
16-Mar-18 8.91 17.3% 42.60 60.43
18-Jan-19 14.36 27.9% 37.16 65.87

Volatility Skew:

The current downside put implied volatility is trading 10.6% higher than the upside call volatility, which represents a slightly bearish tone when compared to the past year. Over the last year, the downside put has traded on average 7.5% higher than the upside call.

Option Volume:

On the day, DAL traded 21,989 contracts, with 47.2% being put options. This represents a relative volume of 0.7x compared to the last 90 days, when the average volume was 31,852 and 37.6% 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 225 1.0% 133,734 5,742 26.0% 1,189,566 5,780 26.2% 273,203 11,747 53.3% 1,596,503
Put 1,083 4.9% 341,162 6,602 29.9% 847,933 2,616 11.9% 268,055 10,301 46.7% 1,457,150
Total 22,048 3,053,653

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
DAL 28Jul17 P 52 2,073 85 0.79 0.81 0.34 1,150 18.0 -3.1%
DAL 16Mar18 P 45 838 49 2.04 2.09 1.74 0 29.2
DAL 15Sep17 P 50 812 36 1.31 1.34 1.02 5,013 24.5 -0.6%
DAL 11Aug17 C 53 771 109 0.43 0.71 0.40 438 19.8 -0.9%
DAL 15Sep17 C 55 753 75 0.57 0.80 0.57 13,889 22.4 -0.5%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 18Aug17 C 52.5 11,707 398 +11,309 +2841.5% 741
DAL 18Aug17 C 55 25,141 18,338 +6,803 +37.1% 391
DAL 15Sep17 C 55 13,889 12,809 +1,080 +8.4% 753
DAL 4Aug17 P 51.5 1,526 522 +1,004 +192.3% 403
DAL 15Sep17 P 50 5,013 4,034 +979 +24.3% 812

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 21Jul17 C 55 0 20,251 -20,251 -100.0% 0
DAL 21Jul17 C 50 0 12,334 -12,334 -100.0% 0
DAL 21Jul17 P 50 0 5,678 -5,678 -100.0% 0
DAL 21Jul17 P 55 0 4,895 -4,895 -100.0% 0
DAL 21Jul17 C 61 0 4,500 -4,500 -100.0% 0

Upcoming Dividend:

The next dividend for DAL has not yet been announced. Its indicative dividend yield going forward is 1.55%.