Options update: AMR Corp volatility flat into EPS and outlook

Posted Apr 9th 2009 8:00AM by Paul Foster
Filed under: AMR Corp (AMR), Options, Delta Air Lines (DAL)

AMR Corp (NYSE: AMR) closed at $4.16. AMR is scheduled to report Q1 EPS on April 15. WTI Crude oil is recently up 2.51% to $50.62 according to Bloomberg. AMR April and May option implied volatility is at 133, August is at 128; near its 26-week average according to Track Data, suggesting non-directional price movement.

Delta Air Lines (NYSE: DAL) closed at $6.91. DAL is expected to report Q1 on April 21. DAL May option implied volatility is at 108; June is at 114; below its 26-week average of 122, according to Track Data, suggesting decreasing price movement.

Option Update is provided by Stock Specialist Paul Foster of theflyonthewall.com.

Tags: option implied volatility, OptionImpliedVolatility, WTI Crude oil, WtiCrudeOil