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Eli Lilly & Co. LLY

HEALTHCARE · DRUG MANUFACTURERS - GENERAL
i

Market dataready · fetched 2026-11-03T23:05:47.172Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-06

Calculation methodology

Options historyIV: ThetaData historical Greeks, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-03T23:02:43.046231019Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-03T23:05:46.774917+00:00

Share price$1,407.10
1D+0.7%
AH$1,387$1,399$1,412$1,424$1,4375:30 AM6:30 AM9:00 AM1:00 PM2:00 PMLLY
Sold putSold callAH

Eli Lilly & Co. options

Live interpolated LLY call and put midpoint premiums by absolute delta.Eli Lilly & Co.$4.49$17.41$30.32$43.24$56.15$1342.57$1376.98$1411.38$1445.79$1480.1920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ55Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive LLY spot · $1407.10LLY PRICE$5.89$7.67$10.15$12.74$15.49$18.00$20.85$28.95$33.19$38.76$50.27$6.38$8.06$10.59$13.46$15.59$18.13$20.74$22.60$28.35$32.07$34.44$43.07$52.43
PutsExpensive1.28×
Calls——
Skew——
Implied moveBalanced±$41.60
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ1454.5542.1%3.8%1362.1843.9%3.6%
25Δ1444.3141.0%3.2%1373.1741.5%3.0%
30Δ1437.2442.4%2.9%1380.2942.7%2.7%
35Δ1430.1143.3%2.5%1387.3943.7%2.4%
40Δ1422.8243.5%2.2%1395.0642.0%2.0%
45Δ1415.4642.6%1.9%1402.0040.9%1.7%
50Δ1408.6642.0%1.6%1408.4139.9%1.4%
55Δ1414.3137.3%1.1%
60Δ1394.7143.3%1.2%1421.6040.2%1.0%
65Δ1387.5643.0%1.0%1427.9439.5%0.8%
70Δ1379.6643.8%0.8%1433.1736.8%0.6%
75Δ1443.1739.8%0.5%
80Δ1363.4742.6%0.5%1454.1541.7%0.4%

20Δ

Calls
Pseudo strike
1454.55
IV
42.1%
B/E move
3.8%
Puts
Pseudo strike
1362.18
IV
43.9%
B/E move
3.6%

25Δ

Calls
Pseudo strike
1444.31
IV
41.0%
B/E move
3.2%
Puts
Pseudo strike
1373.17
IV
41.5%
B/E move
3.0%

30Δ

Calls
Pseudo strike
1437.24
IV
42.4%
B/E move
2.9%
Puts
Pseudo strike
1380.29
IV
42.7%
B/E move
2.7%

35Δ

Calls
Pseudo strike
1430.11
IV
43.3%
B/E move
2.5%
Puts
Pseudo strike
1387.39
IV
43.7%
B/E move
2.4%

40Δ

Calls
Pseudo strike
1422.82
IV
43.5%
B/E move
2.2%
Puts
Pseudo strike
1395.06
IV
42.0%
B/E move
2.0%

45Δ

Calls
Pseudo strike
1415.46
IV
42.6%
B/E move
1.9%
Puts
Pseudo strike
1402.00
IV
40.9%
B/E move
1.7%

50Δ

Calls
Pseudo strike
1408.66
IV
42.0%
B/E move
1.6%
Puts
Pseudo strike
1408.41
IV
39.9%
B/E move
1.4%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1414.31
IV
37.3%
B/E move
1.1%

60Δ

Calls
Pseudo strike
1394.71
IV
43.3%
B/E move
1.2%
Puts
Pseudo strike
1421.60
IV
40.2%
B/E move
1.0%

65Δ

Calls
Pseudo strike
1387.56
IV
43.0%
B/E move
1.0%
Puts
Pseudo strike
1427.94
IV
39.5%
B/E move
0.8%

70Δ

Calls
Pseudo strike
1379.66
IV
43.8%
B/E move
0.8%
Puts
Pseudo strike
1433.17
IV
36.8%
B/E move
0.6%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1443.17
IV
39.8%
B/E move
0.5%

80Δ

Calls
Pseudo strike
1363.47
IV
42.6%
B/E move
0.5%
Puts
Pseudo strike
1454.15
IV
41.7%
B/E move
0.4%

Options history

IV · four-Friday blend34.19%
Daily close
LLY25.7%45.4%65.2%2026-08-05: 40.39%2026-08-06: 39.25%2026-08-07: 31.43%2026-08-10: 33.28%2026-08-11: 32.79%2026-08-12: 31.77%2026-08-13: 31.56%2026-08-14: 28.42%2026-08-17: 31.68%2026-08-18: 32.22%2026-08-19: 32.97%2026-08-20: 31.62%2026-08-21: 30.79%2026-08-24: 32.05%2026-08-25: 32.81%2026-08-26: 33.52%2026-08-27: 32.18%2026-08-28: 29.94%2026-08-31: 31.47%2026-09-01: 31.92%2026-09-02: 31.63%2026-09-03: 31.10%2026-09-04: 30.11%2026-09-08: 34.53%2026-09-09: 33.13%2026-09-10: 33.38%2026-09-11: 30.65%2026-09-14: 32.63%2026-09-15: 33.84%2026-09-16: 33.96%2026-09-17: 32.53%2026-09-18: 30.52%2026-09-21: 32.75%2026-09-22: 32.24%2026-09-23: 32.32%2026-09-24: 32.87%2026-09-25: 31.28%2026-09-28: 33.68%2026-09-29: 33.14%2026-09-30: 33.87%2026-10-01: 32.41%2026-10-02: 32.51%2026-10-05: 34.67%2026-10-06: 35.55%2026-10-07: 35.75%2026-10-08: 36.26%2026-10-09: 36.61%2026-10-12: 39.33%2026-10-13: 40.42%2026-10-14: 42.16%2026-10-15: 41.14%2026-10-16: 42.35%2026-10-19: 44.09%2026-10-20: 45.80%2026-10-21: 45.67%2026-10-22: 47.45%2026-10-23: 47.95%2026-10-26: 54.27%2026-10-27: 58.61%2026-10-28: 62.46%2026-10-29: 37.43%2026-10-30: 34.19%Aug 5Sep 17Oct 30
62 observations2026-08-05 — 2026-10-30
Table
DateIV (%)
40.39%
39.25%
31.43%
33.28%
32.79%
31.77%
31.56%
28.42%
31.68%
32.22%
32.97%
31.62%
30.79%
32.05%
32.81%
33.52%
32.18%
29.94%
31.47%
31.92%
31.63%
31.10%
30.11%
34.53%
33.13%
33.38%
30.65%
32.63%
33.84%
33.96%
32.53%
30.52%
32.75%
32.24%
32.32%
32.87%
31.28%
33.68%
33.14%
33.87%
32.41%
32.51%
34.67%
35.55%
35.75%
36.26%
36.61%
39.33%
40.42%
42.16%
41.14%
42.35%
44.09%
45.80%
45.67%
47.45%
47.95%
54.27%
58.61%
62.46%
37.43%
34.19%