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Quantchabot has detected a promising Long Risk Reversal trade opportunity for DELTA AIR LINES (DAL) for the 19-Jun-2020 expiration period. You can analyze the opportunity in depth over at the Quantcha Options Search Engine.
DAL was recently trading at $23.93 and has an implied volatility of 78.30% for this period. Based on an analysis of the options available for DAL expiring on 19-Jun-2020, there is a 34.13% likelihood that the underlying will close within the analyzed range of $23.94-$32.20 at expiration. In this scenario, the average linear return for the trade would be 85.55%.
Big 7.98% Change: After closing the last trading session at $22.16, DELTA AIR LINES opened today at $23.00 and has reached a high of $24.00.
Trade approach: A movement as big as 7.98% is a significantly bullish indicator, so this trade is designed to be profitable if DAL maintains its current direction and does not revert back to pricing on the bearish side of $23.93 on 19-Jun-2020. If possible, the trade has been padded such that slight movement against the trade would still return a profit.
Upside potential: Using this bullish strategy, the trade would be profitable if DELTA AIR LINES closes at or above $23.16 on 19-Jun-2020. Based on our risk-neutral analysis, there is a 54.47% likelihood of this return.
Downside risk: As with any options trade, there is a substantial downside risk where you may lose most or all of your investment.
To analyze this trade in depth, please visit the Quantcha Options Search Engine.