DALDelta Air Lines, Inc.
Options Analysis Report•AIR TRANSPORTATION, SCHEDULED
Market Cap $47.0B|NYSE
● 2026-05-15$71.55
NEUTRAL
Analysis: 2026-05-14 EOD data
1Y +42.3%YTD +3.6%7D -2.4%
Options Vol
20,524
30D
Implied Move
±12.8%
IV Rank
33%
DAL Options Overview
IV is elevated. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
3.6
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks4/9 checks passed
IV Rank
≤35%IV Rank 74.5% — elevated vs history
IV/HV Ratio
<1.05xIV/HV 1.54x — IV premium over HV
Sector Relative≤50%
Sector percentile 86% — above sector median
Term Structure
<1.1xFront/Back 1.00x — contango
Skew Normal
<1.25xPut/Call IV 1.16x — elevated
Absolute IV
<80%ATM IV 44.4% — normal range
Spread-Adjusted Value
<80%Effective IV 66.0% (ATM 44.4% + spread 10.8% + bias) — fair
Execution Efficiency
<3.0%Total drag 16.89% (spread 10.81% + slippage 6.08%) — high friction
Vega Efficiency
≥5.0Vega efficiency 1.18 (vega 1.276 / spread 10.81%) — spread drag
Sentiment
Bullish or bearish?
4.2
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksBearish - Weak signal (Conviction: -23%, Raw: -11%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: -23% (bearish) — Raw: -11%
OI Skew Magnitude
≥15%|OI skew| 9.1% — balanced
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew -2.9%, OI skew -9.1% — weak (same direction)
Conviction Quality
≥2/3 conditions0-DTE 30%, far-OTM 15%, avg DTE 30
OI Momentum
|change| ≥3%OI change +0.0% (5d) — stable
Smart Money Flow
|weighted flow| ≥20%ITM: +27%, ATM: -24%, OTM: -2% — neutral (ITM/ATM divergent)
Sector Relative≤40% or ≥60%
Sector P/C percentile 68% — bearish vs sector
Activity
Unusual activity?
3.1
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks0/9 checks passed
Volume Surge
≥1.5xVolume 0.6x avg — normal
Turnover Rate
≥15%Vol/OI 3.5% — normal turnover
Strike Concentration
≥60%Top 3 strikes = 50% — dispersed
Multi-Day Persistence
≥2 days1 day(s) elevated — may be one-day event
OI Build
≥5%OI change +1.0% (5d) — stable
Sector Relative≥60%
Sector activity percentile 51% — neutral vs sector
Trade Quality
≥30%Large trade volume 16% — mixed
Execution Urgency
≥60%Aggressive execution 32% — patient
Flow Conviction
≥30Conviction -23 (bearish) — mixed
Liquidity
Can I trade efficiently?
4.4
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks3/8 checks passed
Tradeable Spread
≤5.0%Spread 10.8% — wide
Adequate OI
≥10,000OI 583,731 — deep
Active Volume
≥500Volume 20,524/day — active
Reasonable Cost
≤$0.50$0.54 to cross — expensive
Strike Coverage
≥5 strikes0 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 87% — much wider than sector
Order Book Depth
≥100 contractsDepth 213.2 contracts (bid:91.7 ask:121.5) — adequate
Execution Quality
<1.0%Avg slippage 6.08% — poor
Timing
Is now a good time?
7.1
RiskyFavorable
Considers earnings proximity,
time decay
, and event calendar for optimal entry timing.Risk Checks6/9 checks passed
Term Structure Clarity
|slope| ≥5%Slope -0.5% — flat/unclear
IV Percentile Clarity
<30 or >70IV percentile 74% — seller opportunity
Event Detection
≥10pts kinkIV kink -0.4pts — no clear event
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 4.55 — favors income trades
Expiration Distribution
≥3 expirations5 liquid expirations — flexible
Event Risk
≥60% (safe)safe window: No events detected
Spread Momentum
<1.2 ratioSpread ratio 1.00x — stable
Flow Momentum
≥25% strength + ≥50% consistencyFlow -23% @ 61% consistency — unclear
Smart Money Timing
≥40 composite scoreScore 46 (ITM 20% + inst 16%) — moderate institutional
Directional Strategy Fit
Option Buyers
Long Calls4.5
bullishIV expensive, mixed flow
Long Puts5.0
bearishIV expensive, mixed flow
Premium Sellers
Cash-Secured Put5.3
bullishIV rich premium, mixed flow
Covered Call5.9
bearishIV rich premium, mixed flow
For educational purposes only. Not investment advice.