Tuesday, April 12, 2011

Delta Air Lines (DAL) - Bullish Order Flow

DAL is trading $10.08, up 6.8% with IV30™ up 3.5%. The LIVEVOL® Pro Summary is below.


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I wrote about this stock for TheStreet.com, so no specific trade analysis. But the order flow and story are very cool.  Some rumors flying around that the stock is popping due to either expected lower oil prices (I think Goldy made a call today) or the fact that the government shutdown has been averted.

The company has traded over 85,000 contracts in the first hour on total daily average option volume of just 17,643. Calls have traded over 82,000x yielding a 30:1 call:put ratio. The two largest trades were bullish call spreads (color provided by Mike Bristow of V-trader Group):
DAL Jun / Sep 11 call spread, cust paid .41 for ~18k, crossed, no stk
DAL Sept 11/12 c/s paper bot 16,500 for .31 no stk crossed.
The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates the action. The Sep 11 calls (both trades bought these) show much smaller OI than volume -- those are new opening long positions. Note also that May has an earnings cycle.

The Skew Tab snap (below) illustrates the vols by strike by month.

The upside for all months shows a parabolic bend upwards. The Apr 11 calls ($0.05 fair value) price out at over 80 vol.

Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).

We can see the stock has been on a pretty consistent down swing. On the vol side, we can see IV30™ is substantially elevated to the short-term and long-term realized vols.

Possible Trades to Analyze
Can't touch this, but just keep in mind, May has an earnings cycle so be mindful of vol positions there.

This is trade analysis, not a recommendation.

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