Digging Into the Delta Stock Dip

Short interest has seen a massive drop-off in recent report periods

Managing Editor
Apr 13, 2020 at 12:18 PM
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The 20 stocks listed in the table below have attracted the highest weekly options volume during the past 10 trading days, with data courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. Stocks highlighted in yellow are new to the list. One name that sticks out is Delta Air Lines, Inc. (NYSE:DAL), not too much of a surprise given the current near-halt in global travel. Below, we'll take a closer look at the options activity surrounding DAL, and see how the equity has been performing on the charts.

MAO April 13

The travel sector as a whole has taken a substantial hit in recent weeks as the coronavirus pandemic ravages the globe, with governments halting any unnecessary travel --international or domestic. Delta has been no exception, the stock recently bottomed out at a seven-year low of $19.10 on March 18. Overhead pressure at the 20-day moving average has also guided the shares to a 61% year-to-date deficit, while today, DAL was last seen down 7.5%, at $22.57.

DAL with 20MA Since April

Per White's data, over the past 10 days, 145,441 calls and 184,150 puts have crossed the tape. This afternoon, most popular looks to be the April 20 put, with the April 30 call trailing closely behind. Meanwhile, overall options volume is pacing in the 99th annual percentile today. 

This skew toward puts is not necessarily eyebrow raising, considering, the security's Schaeffer's put/call open interest ratio (SOIR) of 1.21 sits in the 85th percentile of its annual range. In simpler terms, this suggests that short-term options players haven't been more put-heavy during the past 12 months.

Short sellers have been heading for the exits, though. Short interest on DAL has dropped 18.5% during the most recent reporting period, and now accounts for a slim 4% of the stock's total available float. At the equity's average pace of daily trading, it would take short sellers just one day to buy back their bearish bets.


 

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