Implied 45-day default probabilities for major US airlines, calculated from option volatility (with probable pricing errors from IB, don't @ me about this):
American - 33%
Delta - 18%
United - 16%
Southwest - 11%
American - 33%
Delta - 18%
United - 16%
Southwest - 11%
Methodology:
Remember, these are not 1-year prices that I have annualized to. These are six week prices.
Remember, these are not 1-year prices that I have annualized to. These are six week prices.
Better pricing on United options gives 22%, not 16%. That makes more sense, now it matches the IV ordering of the four (AAL 210%, UAL 170%, DAL 130%, LUV 110%).
