DAL Analysis

Delta Air Lines Inc. (DAL)

DAL publishes earnings on Wednesday before the opening bell.

I  shall use options that trade for the last time 39 days hence, on Nov. 17. I’m going further out than is my usual practice on earnings plays because I have concluded that a bearish directional position best suits DAL’s prospects.

Implied volatility stands at 29%, which is 2.8 times the VIX, a measure of the volatility of the S&P 500 index.

DAL’s IV stands in the 32nd percentile of its annual range and the 71st percentile of its most recent broad movement.

The price used for analysis was $53.00.

Premium: $0.57 Expire OTM
DAL-vertical Strike Odds Delta
Calls
Long 57.50 68.7% 34
Break-even 55.57
Short 55.00 84.5% 18

The premium is 22.8% of the width of the position’s wing.

The risk/reward ratio is 3.4:1.

 

The bid/ask spread is 6.9%.

Decision for My Account

I have entered a bear position on DAL as described above. The stock at the time of entry was priced at $53.04.

By Tim Bovee, Portland, Oregon, October 10, 2017

Disclaimer

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.

License
Creative Commons License

All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Based on a work at www.timbovee.com.

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