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Eli Lilly & Co. LLY

HEALTHCARE · DRUG MANUFACTURERS - GENERAL
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Market dataready · fetched 2026-11-04T00:28:26.940Z

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 · 2026-11-04T00:23:08.019030156Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-04T00:28:25.987339+00:00

Share price$1,409.91
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.$3.99$19.90$35.81$51.72$67.63$1340.65$1376.41$1412.17$1447.93$1483.6920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive LLY spot · $1409.91LLY PRICE$5.71$7.41$9.59$12.21$14.74$17.22$20.05$21.24$27.65$30.25$35.15$39.16$46.59$6.56$8.41$11.09$14.36$16.25$19.51$21.61$25.61$31.26$33.82$42.28$51.75$63.04
PutsExpensive1.38×
CallsCheap0.83×
SkewBearish+4.62 pp
Implied moveBearish±$41.65
TiltBearish9.3% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ1455.9040.7%3.7%1363.7645.1%3.7%
25Δ1445.9039.6%3.1%1374.6143.2%3.1%
30Δ1438.3140.0%2.7%1381.8944.6%2.8%
35Δ1431.9441.4%2.4%1388.9246.5%2.5%
40Δ1424.8241.3%2.1%1397.3543.6%2.0%
45Δ1417.8940.6%1.8%1404.4443.9%1.8%
50Δ1411.2840.2%1.5%1411.3041.4%1.4%
55Δ1405.2936.5%1.2%1418.2241.9%1.2%
60Δ1398.1041.2%1.1%1425.8544.2%1.1%
65Δ1392.1439.1%0.9%1431.9241.5%0.8%
70Δ1385.0039.5%0.7%1441.9544.8%0.7%
75Δ1378.6838.2%0.6%1453.2647.5%0.6%
80Δ1369.4939.4%0.4%1466.4349.8%0.5%

20Δ

Calls
Pseudo strike
1455.90
IV
40.7%
B/E move
3.7%
Puts
Pseudo strike
1363.76
IV
45.1%
B/E move
3.7%

25Δ

Calls
Pseudo strike
1445.90
IV
39.6%
B/E move
3.1%
Puts
Pseudo strike
1374.61
IV
43.2%
B/E move
3.1%

30Δ

Calls
Pseudo strike
1438.31
IV
40.0%
B/E move
2.7%
Puts
Pseudo strike
1381.89
IV
44.6%
B/E move
2.8%

35Δ

Calls
Pseudo strike
1431.94
IV
41.4%
B/E move
2.4%
Puts
Pseudo strike
1388.92
IV
46.5%
B/E move
2.5%

40Δ

Calls
Pseudo strike
1424.82
IV
41.3%
B/E move
2.1%
Puts
Pseudo strike
1397.35
IV
43.6%
B/E move
2.0%

45Δ

Calls
Pseudo strike
1417.89
IV
40.6%
B/E move
1.8%
Puts
Pseudo strike
1404.44
IV
43.9%
B/E move
1.8%

50Δ

Calls
Pseudo strike
1411.28
IV
40.2%
B/E move
1.5%
Puts
Pseudo strike
1411.30
IV
41.4%
B/E move
1.4%

55Δ

Calls
Pseudo strike
1405.29
IV
36.5%
B/E move
1.2%
Puts
Pseudo strike
1418.22
IV
41.9%
B/E move
1.2%

60Δ

Calls
Pseudo strike
1398.10
IV
41.2%
B/E move
1.1%
Puts
Pseudo strike
1425.85
IV
44.2%
B/E move
1.1%

65Δ

Calls
Pseudo strike
1392.14
IV
39.1%
B/E move
0.9%
Puts
Pseudo strike
1431.92
IV
41.5%
B/E move
0.8%

70Δ

Calls
Pseudo strike
1385.00
IV
39.5%
B/E move
0.7%
Puts
Pseudo strike
1441.95
IV
44.8%
B/E move
0.7%

75Δ

Calls
Pseudo strike
1378.68
IV
38.2%
B/E move
0.6%
Puts
Pseudo strike
1453.26
IV
47.5%
B/E move
0.6%

80Δ

Calls
Pseudo strike
1369.49
IV
39.4%
B/E move
0.4%
Puts
Pseudo strike
1466.43
IV
49.8%
B/E move
0.5%

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%