Options/DAL

DALDelta Air Lines, Inc.

Options Analysis Report•AIR TRANSPORTATION, SCHEDULED

Market Cap $51.5B|NYSE

● 2026-09-11$78.24

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y +29.5%YTD +13.3%7D -2.4%

Options Vol

47,540

30D

Implied Move

±10.8%

IV Rank

19%

DAL Options Overview

IV is elevated. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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DAL Gamma Walls

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DAL Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where DAL sits on protection cost vs. fragility today.

Protection is priced in the cheap band (3.38) — downside puts carry 0.9 IV points more than at-the-money, and near-dated vol is priced 0% above far-dated, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (5.37): it is trading 2% below its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

3.38/ 10cheap

Basis: cross_sectional

Fragility

5.37/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

4.8

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks5/9 checks passed

IV Rank

≤35%

IV Rank 70.4% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.46x — IV premium over HV

Sector Relative≤50%

Sector percentile 84% — above sector median

Term Structure

<1.1x

Front/Back 1.00x — flat

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 40.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 57.2% (ATM 40.0% + spread 8.6% + bias) — good value

Execution Efficiency

<3.0%

Total drag 13.61% (spread 8.58% + slippage 5.03%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 9.99 (vega 8.572 / spread 8.58%) — efficient

Sentiment

Bullish or bearish?

3.6

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Moderate signal (Conviction: -68%, Raw: -58%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -68% (strong bearish) — Raw: -58%

OI Skew Magnitude

≥15%

|OI skew| 1.1% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +61.8%, OI skew -1.1% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 27%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -24%, ATM: -64%, OTM: -58% — strong bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 14% — very bullish vs sector

Activity

Unusual activity?

5.9

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks4/8 checks passed

Volume Surge

≥1.5x

Volume 1.7x avg — elevated

Turnover Rate

≥15%

Vol/OI 10.9% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change +0.0% (5d) — stable

Sector Relative≥60%

Sector activity percentile 88% — very active vs sector

Trade Quality

≥30%

Large trade volume 71% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 34% — patient

Flow Conviction

≥30

Conviction -68 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

4.7

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 8.6% — wide

Adequate OI

≥10,000

OI 437,256 — deep

Active Volume

≥500

Volume 47,540/day — active

Reasonable Cost

≤$0.50

$0.43 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 85% — much wider than sector

Order Book Depth

≥100 contracts

Depth 208.8 contracts (bid:91.0 ask:117.8) — adequate

Execution Quality

<1.0%

Avg slippage 5.03% — poor

Timing

Is now a good time?

6.4

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +0.0% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 70% — seller opportunity

Event Detection

≥10pts kink

IV kink 0.1pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 140.76 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

caution advised: Earnings in 27d (low risk); FOMC in 5d; CPI in 0d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -68% @ 84% consistency — STRONG directional (bearish)

Smart Money Timing

≥40 composite score

Score 101 (ITM 20% + inst 71%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls4.6

bullishIV fair, bearish flow

Long Puts5.6

bearishIV fair, bearish flow

Premium Sellers

Cash-Secured Put4.7

bullishIV fair, bearish flow

Covered Call5.7

bearishIV fair, bearish flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Sep 7, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

More on DAL

DAL gamma walls DAL option chain DAL max pain DAL expected move DAL IV rank DAL put/call ratio DAL options flow