Monday, September 20, 2010

Delta Airlines (DAL) - Airlines Showing Long Interest; Bullish Market Sentiment

DAL closed at $11.18 on Friday, down 3.4%. The LIVEVOL™ Pro Summary is below.

On 8-20-2010 I wrote this: Delta Air Lines (DAL) - Liquidity in Jan '11 with Spiked Vol

I noted these trades (best I could tell):
Buy Jan '11 12 and 14.5 calls
Buy Jan'11 10 puts
Sell Jan '11 9 puts

Friday saw more bullish action, with IV30™ down 7 points (13%) and stock up 4% since the 8-20 blog.

The company traded over 29,000 options on total daily average option volume of just 8,261. All but 2,437 contracts were calls yielding an 11:1 call:put ratio. The largest trade was over 8,000 Mar'11 15 call purchases. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab (click to enlarge) illustrates that the calls are opening (compare OI to trade size).

The Skew Tab snap (click to enlarge) illustrates the vols by strike by month.

The skew looks nice and normal, no upside reaction as of yet to the long interest in the calls.

Finally, the Charts Tab (6 months) is below (click to enlarge). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

We can see short term implied is above the short term realized, but right in line with the longer term realized. Today the IV30™ is actually up 4% in early morning trading to nearly 50. HV180™ is 48.

Long interest in the Airlines in my mind is a sort of confirmation that the market feels bullish. This order flow in combination with the flow from the prior blog (above) is a confirmation of that sentiment.

This is trade analysis, not a recommendation.

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