Option Trading Journal: Short Put on Delta Earnings

The air lines industries are experencing a significant season recoverying from the pandemic impact. Delta earning is expected to beat the market estmates.

Long theory:

1) The seat occupancy is at new high in multiple months;

2) Gas price has been wavering at lower level.

3) Ticket price keeps going higher, driven by high demand. A round-trip international flight on average costs about $971, up nearly 24 percent from prices at this time in 2019, according to Hopper, the travel app.

Therefore Delta is very likely to post an earning that suprises everyone.

In terms of trading, I would recommend sell puts since the implied volatility is at a rather higher level now (+6%). The options prices predicted a ±4.3% post earnings move, compared to a -0.5% actual move. DAL's options post-earnings move has been overestimated 85% of the time in the last 13 quarters.