Delta Air Lines

DAL

46.81

+1.28

+2.8%

After Hours:

46.80

-0.01

0.0%

Stock Price
Open: 46.50
Prev. Close: 45.53
Low/Hi: 46.07 - 46.93
52-Week: 32.60 - 52.76
Volumes
Equity: 12,477,212
90-Day Avg: 8,102,610
Option: 22,416
90-Day Avg: 34,840
Volatility
Today: 35.5
20-Day: 22.5
52-Week: 28.7
30-Day IV: 21.8 -3.7
IV Rank: 0.00 (Subdued)
Fundamental
Dividend: 5-May $0.203 (Est.)
Div. Yield: 1.8%
Earnings: 14-Jul (Est.)
P/E Ratio: 8.38
Market Cap: 33.5 B
Stock Type: Common | Sector: Services | Industry: Major Airlines

DAL Symbol Review Report

Report Date: 24-Apr-2017

Price Performance:

On the day, DAL has moved +2.8%, while SPY has moved +1.1%.

Over the last two weeks, DAL has moved +4.1%, and SPY has moved +0.8%.

Volume:

DAL's stock volume on the day is 12,477,212, which is 1.5x relative to the 90-day average of 8,102,610

SPY's relative volume on the day is 1.5x, trading 116,570,150 shares against an average of 79,543,719 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for DAL is 35.5 for the day. The 20-day average is 20.0, and the 52-week average is 25.6.

The 1-Day OHLC Volatility for SPY is 18.2, while the average over the last 20 days is 7.8, and for the last 52 weeks is 8.0.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 21.8, and has moved -14.4% from the previous day. Its IV Ranking is 0.00, which is considered Subdued.

As a comparison, the current IV30 for SPY is 8.1, down -29.4% from the previous day. SPY's IV Rank is Subdued at 0.35.

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 2.4%, compared to a 52-week range of 2.6% - 6.1%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
28-Apr-17 0.86 1.8% 45.98 47.71
05-May-17 1.46 3.1% 45.39 48.30
12-May-17 1.94 4.1% 44.91 48.78
19-May-17 2.25 4.8% 44.60 49.09
26-May-17 2.59 5.5% 44.26 49.43
02-Jun-17 2.84 6.1% 44.00 49.69
16-Jun-17 3.46 7.4% 43.39 50.30
15-Sep-17 6.40 13.7% 40.44 53.25
15-Dec-17 8.34 17.8% 38.50 55.19
19-Jan-18 8.94 19.1% 37.91 55.78
18-Jan-19 13.82 29.5% 33.03 60.66

Volatility Skew:

The current downside put implied volatility is trading 5.0% 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 9.6% higher than the upside call.

Option Volume:

On the day, DAL traded 22,416 contracts, with 41.6% being put options. This represents a relative volume of 0.6x compared to the last 90 days, when the average volume was 34,840 and 34.3% 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 393 4.4% 114,072 2,640 29.7% 266,430 1,893 21.3% 63,493 4,926 55.5% 443,995
Put 241 2.7% 39,210 2,131 24.0% 194,627 1,580 17.8% 42,713 3,952 44.5% 276,550
Total 8,878 720,545

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
DAL 28Apr17 P 46 1,404 36 0.14 0.14 0.32 550 19.9 -22.0%
DAL 16Jun17 C 50 1,358 85 0.59 0.47 0.59 58,660 23.1 -11.0%
DAL 28Apr17 P 46.5 1,213 65 0.27 0.26 0.64 249 19.1 -23.6%
DAL 19May17 C 50 1,129 36 0.19 0.07 0.27 5,261 21.5 -13.4%
DAL 19May17 C 48 1,114 148 0.58 0.41 0.63 1,945 21.4 -13.3%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 16Jun17 C 50 58,660 57,384 +1,276 +2.2% 1,358
DAL 19May17 C 50 5,261 4,014 +1,247 +31.1% 1,129
DAL 28Apr17 P 44.5 3,299 2,809 +490 +17.4% 37
DAL 16Jun17 C 46 3,298 2,888 +410 +14.2% 117
DAL 28Apr17 C 45.5 779 422 +357 +84.6% 78

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 21Apr17 C 55 0 6,982 -6,982 -100.0% 0
DAL 21Apr17 C 50 0 6,973 -6,973 -100.0% 0
DAL 21Apr17 C 46 0 5,571 -5,571 -100.0% 0
DAL 21Apr17 C 47 0 5,538 -5,538 -100.0% 0
DAL 21Apr17 C 47.5 0 5,088 -5,088 -100.0% 0

Upcoming Dividend:

The next dividend for DAL has not yet been announced. Its indicative dividend yield going forward is 1.78%.