Delta Air Lines

DAL

50.11

-0.30

-0.6%

After Hours:

50.06

-0.05

-0.1%

Please Login or Register

Login|Register FREE

Stock Price
Open: 50.48
Prev. Close: 50.41
Low/Hi: 49.98 - 50.48
52-Week: 43.81 - 55.75
Volumes
Equity: 1,832,899
90-Day Avg: 7,279,100
Option: 5,388
90-Day Avg: 27,610
Volatility
Todays Stock Vol: 10.9
20-Day (HV): 21.3
52-Week (HV): 23.5
30-Day IV: 24.0 -0.8
IV Pct Rank: 23% Subdued
Fundamental
Dividend: 9-Feb $0.305 (Est.)
Div. Yield: 2.4%
Earnings: 17-Jan (Est.)
P/E Ratio: 10.04
Market Cap: 35.9 B
Stock Info
Type: Common
Sector: Services
Industry: Major Airlines

DAL Symbol Review Report

Price Performance:

Today, DAL has moved -0.6%, while SPY has moved +0.2%.

Over the last two weeks, DAL has moved +2.5%, and SPY has moved +0.9%.

Volume:

DAL's stock volume today is 1,832,899, which is 0.3x relative to the 90-day average of 7,279,100

SPY's relative volume today is 0.4x, trading 27,087,908 shares against an average of 62,976,225 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for DAL is 10.9 for today. The 20-day average is 19.4, and the 52-week average is 21.2.

The 1-Day OHLC Volatility for SPY is 3.5, while the average over the last 20 days is 5.6, and for the last 52 weeks is 6.1.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 24.0, and has moved -3.4% from yesterday. Its IV % Rank is 0.23, which is considered Subdued.

As a comparison, the current IV30 for SPY is 6.8, down slightly -0.6% from the previous day. SPY's IV % Rank is Subdued at 0.08.

Over the last 52 weeks, the IV30 Range is 20.7 - 34.4.

Over the same span, SPY's IV30 Range is 6.4 - 13.5.

Based on the IV30, a synthetic put to protect downside risk would cost 2.7%, compared to a 52-week range of 2.3% - 3.9%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
24-Nov-17 0.10 0.2% 49.99 50.20
01-Dec-17 1.12 2.2% 48.98 51.21
08-Dec-17 1.74 3.5% 48.35 51.84
15-Dec-17 2.45 4.9% 47.65 52.54
22-Dec-17 2.69 5.4% 47.40 52.79
29-Dec-17 2.97 5.9% 47.13 53.06
05-Jan-18 3.28 6.5% 46.82 53.37
19-Jan-18 4.09 8.2% 46.01 54.18
16-Mar-18 5.92 11.8% 44.17 56.02
20-Apr-18 6.96 13.9% 43.14 57.05
15-Jun-18 8.31 16.6% 41.79 58.40
18-Jan-19 12.86 25.7% 37.24 62.95
17-Jan-20 17.17 34.3% 32.92 67.27

Volatility Skew:

The current downside put implied volatility is trading 5.9% higher than the upside call volatility, which represents a neutral tone when compared to the past year. Over the last year, the downside put has traded on average 5.2% higher than the upside call.

Option Volume:

On the day, DAL traded 5,388 contracts, with 32.1% being put options. This represents a relative volume of 0.2x compared to the last 90 days, when the average volume was 27,610 and 35.6% 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 488 11.5% 90,064 1,402 33.0% 229,876 872 20.5% 23,385 2,762 65.0% 343,325
Put 147 3.5% 20,656 544 12.8% 83,726 793 18.7% 16,631 1,484 35.0% 121,013
Total 4,246 464,338

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
DAL 15Dec17 C 50 369 26 1.34 1.32 1.48 7,447 25.6 -2.2%
DAL 1Dec17 P 49 284 30 0.19 0.15 0.29 625 21.6 -6.4%
DAL 15Dec17 C 52.5 279 22 0.41 0.40 0.46 24,912 24.8 -3.5%
DAL 24Nov17 C 50.5 240 10 0.01 0.01 0.04 881 21.3 +131.0%
DAL 1Dec17 C 50 193 21 0.62 0.62 0.77 639 19.9 -7.9%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 29Dec17 P 48 1,645 10 +1,635 +16350.0% 0
DAL 15Dec17 P 50 6,691 5,714 +977 +17.1% 176
DAL 20Apr18 C 55 2,372 1,772 +600 +33.9% 0
DAL 15Dec17 P 49 4,940 4,420 +520 +11.8% 4
DAL 15Dec17 C 51 16,163 15,702 +461 +2.9% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
DAL 1Dec17 P 46 186 1,813 -1,627 -89.7% 22
DAL 24Nov17 P 52 402 812 -410 -50.5% 18
DAL 24Nov17 C 49.5 545 705 -160 -22.7% 162
DAL 15Dec17 C 55 12,344 12,491 -147 -1.2% 14
DAL 19Jan18 C 30 417 504 -87 -17.3% 6

Upcoming Dividend:

The next dividend for DAL has not yet been announced. Its indicative dividend yield going forward is 2.42%.