DAL July 25th Options Begin Trading

Analysis of Delta Air Lines (DAL) options reveals potential strategies for investors, including selling put options at the $40 strike for a potential 2.01% annualized "YieldBoost" with an 82% chance of expiring worthless, and writing covered calls at the $59 strike for a potential 20.82% return if the stock is called away, or a 2.09% annualized "YieldBoost" if the contract expires worthless with a 76% chance of that outcome. The implied volatility for the put and call options are 70% and 61% respectively, while the actual trailing twelve month volatility is 47%.

Analysis

The article details two specific options strategies for Delta Air Lines (DAL), which is currently trading at $48.95 per share. Firstly, selling the $40.00 strike put contract, with a current bid of 11 cents, could allow an investor to acquire shares at an effective cost basis of $39.89 (before broker commissions) if assigned, an approximate 18% discount to the current price. Analytical data indicates an 82% probability of this out-of-the-money put expiring worthless, which would result in a 0.27% return on the cash commitment, or an annualized "YieldBoost" of 2.01%. Secondly, for existing DAL shareholders, selling a $59.00 strike covered call, bid at 14 cents, commits the seller to potentially sell shares at $59.00. If called away at the July 25th expiration, this strategy could yield a total return of 20.82% (excluding dividends and before broker commissions). This strike is about 21% out-of-the-money, and there's a 76% assessed probability of it expiring worthless, in which case the investor retains the shares and the premium, achieving an annualized "YieldBoost" of 2.09%. The implied volatility for the put option is 70% and for the call option is 61%, both significantly higher than DAL's actual trailing twelve-month historical volatility of 47%, suggesting option premiums reflect heightened expectations of future price movement.

Key Decisions for Investors

• Investors interested in acquiring Delta Air Lines (DAL) shares at a discount to the current $48.95 price might consider selling the $40.00 strike put, which offers a potential acquisition cost of $39.89 or a 2.01% annualized yield if the option expires worthless, while noting the 82% probability of the latter outcome.
• Current DAL shareholders seeking to generate additional income could evaluate writing the $59.00 strike covered call, which offers a potential 2.09% annualized yield if it expires worthless (76% probability) or a total return of 20.82% if shares are called away by the July 25th expiration, though this strategy caps upside potential above the $59.00 strike price.