DAL Analysis

Delta Air Lines Inc. (DAL)

Update July 13, 2017: DAL moved little after earnings were published. The profit largely came from a decline in implied volatility. I exited at 24.9% of maximum potential profit.

Shares rose by 0.7% over one day, or a +256% annual rate. The options position produced a 33.1% yield on debit for a +12,081% annual rate.

DAL publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time nine days hence, on July 21.

Implied volatility stands at 31%, which is triple the VIX, a measure of the volatility of the S&P 500 index.

DAL’s IV stands in the 31st percentile of its annual range and the peek of its most recent broad movement.

The price used for analysis was $54.86.

Premium: $1.89 Expire OTM  
DAL-iron fly Strike Odds Delta
Long 59.00 91.1% 10
Break-even 56.89
Short 55.00 48.9% 52
Short 55.00 50.3% 48
Break-even 52.89
Long 51.00 91.3% 8

The premium is 47% of the width of the position’s wings.

The risk/reward ratio is 1.1:1.

Decision for My Account

I have entered an order on DAL as described above. The stock at the time of entry was priced at $54.97.

By Tim Bovee, Portland, Oregon, July 12, 2017


Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.

No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.

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