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Elanco Animal Health Incorporated Common Stock ELAN

HEALTHCARE · DRUG MANUFACTURERS - SPECIALTY & GENERIC
i

Market dataready · fetched 2026-11-12T03:19:21.105Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

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 · 2026-11-12T00:00:00.003114838Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T03:19:20.740383+00:00

Share price$26.48
1D-1.7%
AH$26.18$26.38$26.58$26.78$26.995:30 AM6:30 AM9:00 AM1:00 PM2:00 PMELAN
Sold putSold callAH

Elanco Animal Health Incorporated Common Stock options

Live interpolated ELAN call and put midpoint premiums by absolute delta.Elanco Animal Health Incorporated Common Stock$0.15$0.67$1.19$1.72$2.24$20.58$23.55$26.53$29.50$32.4720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ELAN spot · $26.48ELAN PRICE$0.20$0.26$0.32$0.38$0.44$0.55$0.66$0.77$0.88$1.05$1.33$1.60$1.96$0.21$0.29$0.36$0.44$0.54$0.66$0.78$0.90$1.03$1.25$1.47$1.69$2.09
PutsCheap0.38×
CallsCheap0.36×
SkewBearish+1.31 pp
Implied moveBearish±$1.44
TiltBearish5.8% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ28.2846.1%7.6%25.0544.2%6.2%
25Δ27.8442.8%6.1%25.3243.7%5.5%
30Δ27.5441.2%5.2%25.6043.3%4.7%
35Δ27.2439.6%4.3%25.8742.8%4.0%
40Δ26.9638.4%3.5%26.1242.6%3.4%
45Δ26.7538.9%3.1%26.3542.8%3.0%
50Δ26.5539.4%2.8%26.5743.0%2.6%
55Δ26.3439.8%2.4%26.8043.2%2.2%
60Δ26.1340.3%2.0%27.0443.5%1.8%
65Δ25.8741.8%1.7%27.3344.4%1.5%
70Δ25.5445.0%1.5%27.6345.2%1.2%
75Δ25.2148.2%1.3%27.9246.0%0.9%
80Δ24.7952.2%1.0%28.3846.1%0.7%

20Δ

Calls
Pseudo strike
28.28
IV
46.1%
B/E move
7.6%
Puts
Pseudo strike
25.05
IV
44.2%
B/E move
6.2%

25Δ

Calls
Pseudo strike
27.84
IV
42.8%
B/E move
6.1%
Puts
Pseudo strike
25.32
IV
43.7%
B/E move
5.5%

30Δ

Calls
Pseudo strike
27.54
IV
41.2%
B/E move
5.2%
Puts
Pseudo strike
25.60
IV
43.3%
B/E move
4.7%

35Δ

Calls
Pseudo strike
27.24
IV
39.6%
B/E move
4.3%
Puts
Pseudo strike
25.87
IV
42.8%
B/E move
4.0%

40Δ

Calls
Pseudo strike
26.96
IV
38.4%
B/E move
3.5%
Puts
Pseudo strike
26.12
IV
42.6%
B/E move
3.4%

45Δ

Calls
Pseudo strike
26.75
IV
38.9%
B/E move
3.1%
Puts
Pseudo strike
26.35
IV
42.8%
B/E move
3.0%

50Δ

Calls
Pseudo strike
26.55
IV
39.4%
B/E move
2.8%
Puts
Pseudo strike
26.57
IV
43.0%
B/E move
2.6%

55Δ

Calls
Pseudo strike
26.34
IV
39.8%
B/E move
2.4%
Puts
Pseudo strike
26.80
IV
43.2%
B/E move
2.2%

60Δ

Calls
Pseudo strike
26.13
IV
40.3%
B/E move
2.0%
Puts
Pseudo strike
27.04
IV
43.5%
B/E move
1.8%

65Δ

Calls
Pseudo strike
25.87
IV
41.8%
B/E move
1.7%
Puts
Pseudo strike
27.33
IV
44.4%
B/E move
1.5%

70Δ

Calls
Pseudo strike
25.54
IV
45.0%
B/E move
1.5%
Puts
Pseudo strike
27.63
IV
45.2%
B/E move
1.2%

75Δ

Calls
Pseudo strike
25.21
IV
48.2%
B/E move
1.3%
Puts
Pseudo strike
27.92
IV
46.0%
B/E move
0.9%

80Δ

Calls
Pseudo strike
24.79
IV
52.2%
B/E move
1.0%
Puts
Pseudo strike
28.38
IV
46.1%
B/E move
0.7%

Options history

IV · four-Friday blend48.79%
Daily close
ELAN41.4%49.6%57.7%2026-08-13: 45.98%2026-08-14: 46.10%2026-08-17: 46.60%2026-08-18: 45.31%2026-08-20: 56.55%2026-08-21: 44.37%2026-08-24: 44.91%2026-08-25: 44.78%2026-08-26: 43.64%2026-08-27: 43.47%2026-08-28: 43.20%2026-08-31: 45.24%2026-09-01: 44.17%2026-09-02: 42.56%2026-09-03: 42.85%2026-09-04: 42.63%2026-09-08: 44.28%2026-09-09: 43.85%2026-09-10: 45.44%2026-09-11: 43.30%2026-09-14: 48.86%2026-09-15: 45.52%2026-09-16: 50.13%2026-09-17: 55.45%2026-09-18: 45.97%2026-09-21: 46.78%2026-09-22: 44.43%2026-09-23: 44.23%2026-09-24: 43.35%2026-09-25: 43.74%2026-09-28: 44.94%2026-09-29: 44.44%2026-09-30: 44.43%2026-10-01: 45.14%2026-10-02: 44.36%2026-10-05: 44.43%2026-10-06: 44.90%2026-10-07: 45.06%2026-10-08: 45.67%2026-10-09: 43.50%2026-10-12: 47.41%2026-10-13: 50.57%2026-10-16: 47.08%2026-10-19: 46.52%2026-10-20: 48.38%2026-10-21: 47.83%2026-10-22: 48.35%2026-10-23: 48.63%2026-10-26: 48.93%2026-10-27: 49.78%2026-10-28: 49.80%2026-10-29: 48.72%2026-10-30: 48.79%Aug 13Sep 22Oct 30
53 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
45.98%
46.10%
46.60%
45.31%
56.55%
44.37%
44.91%
44.78%
43.64%
43.47%
43.20%
45.24%
44.17%
42.56%
42.85%
42.63%
44.28%
43.85%
45.44%
43.30%
48.86%
45.52%
50.13%
55.45%
45.97%
46.78%
44.43%
44.23%
43.35%
43.74%
44.94%
44.44%
44.43%
45.14%
44.36%
44.43%
44.90%
45.06%
45.67%
43.50%
47.41%
50.57%
47.08%
46.52%
48.38%
47.83%
48.35%
48.63%
48.93%
49.78%
49.80%
48.72%
48.79%