IntraAlpha
Create free account Start free

Eli Lilly and Company LLY

HEALTHCARE · DRUG MANUFACTURERS - GENERAL
i

Market dataready · fetched 2026-10-15T20:32:57.533Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-10-16

Calculation methodology

PriceAlpaca · sip · 2026-10-15T20:30:43.239463056Z

FundamentalsAlpha Vantage · quarter 2026-06-30 · fetched 2026-10-15T20:32:56.862871+00:00

Share price$1,251.61
1D+2.1%
AH$1,222$1,236$1,251$1,265$1,2795:30 AM6:30 AM9:00 AM1:00 PM2:00 PMLLY
Sold putSold callAH

Eli Lilly and Company options

Live interpolated LLY call and put midpoint premiums by absolute delta.Eli Lilly and Company$1.76$10.85$19.93$29.02$38.11$1198.19$1223.78$1249.37$1274.96$1300.5520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔATM · $1251.61OPTION PRICELive LLY spot · $1251.61LLY PRICE$3.08$3.96$4.98$6.21$7.59$9.12$11.08$13.51$16.62$19.98$20.82$28.88$35.49$2.74$3.60$4.42$5.21$6.38$7.87$9.43$11.03$12.69$14.38$16.19$18.20$20.36
PutsFair1.02×
CallsCheap0.75×
SkewBullish-10.71 pp
Implied moveBullish±$20.51
TiltBullish15.6% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ1275.7242.4%2.2%1231.6237.0%1.8%
25Δ1270.2840.9%1.8%1235.8736.5%1.5%
30Δ1266.0040.3%1.5%1239.9635.1%1.3%
35Δ1262.3340.5%1.4%1243.4233.5%1.1%
40Δ1258.8641.0%1.2%1246.4533.4%0.9%
45Δ1255.4641.5%1.0%1249.1334.8%0.8%
50Δ1252.0042.7%0.9%1251.9835.4%0.7%
55Δ1248.3144.8%0.8%1254.9135.8%0.6%
60Δ1244.1747.8%0.7%1257.8535.3%0.5%
65Δ1239.6550.1%0.6%1260.7834.8%0.4%
70Δ1236.8045.4%0.5%1263.7034.0%0.3%
75Δ1228.2554.4%0.4%1266.7033.1%0.2%
80Δ1220.5758.2%0.4%1269.7732.1%0.2%

20Δ

Calls
Pseudo strike
1275.72
IV
42.4%
B/E move
2.2%
Puts
Pseudo strike
1231.62
IV
37.0%
B/E move
1.8%

25Δ

Calls
Pseudo strike
1270.28
IV
40.9%
B/E move
1.8%
Puts
Pseudo strike
1235.87
IV
36.5%
B/E move
1.5%

30Δ

Calls
Pseudo strike
1266.00
IV
40.3%
B/E move
1.5%
Puts
Pseudo strike
1239.96
IV
35.1%
B/E move
1.3%

35Δ

Calls
Pseudo strike
1262.33
IV
40.5%
B/E move
1.4%
Puts
Pseudo strike
1243.42
IV
33.5%
B/E move
1.1%

40Δ

Calls
Pseudo strike
1258.86
IV
41.0%
B/E move
1.2%
Puts
Pseudo strike
1246.45
IV
33.4%
B/E move
0.9%

45Δ

Calls
Pseudo strike
1255.46
IV
41.5%
B/E move
1.0%
Puts
Pseudo strike
1249.13
IV
34.8%
B/E move
0.8%

50Δ

Calls
Pseudo strike
1252.00
IV
42.7%
B/E move
0.9%
Puts
Pseudo strike
1251.98
IV
35.4%
B/E move
0.7%

55Δ

Calls
Pseudo strike
1248.31
IV
44.8%
B/E move
0.8%
Puts
Pseudo strike
1254.91
IV
35.8%
B/E move
0.6%

60Δ

Calls
Pseudo strike
1244.17
IV
47.8%
B/E move
0.7%
Puts
Pseudo strike
1257.85
IV
35.3%
B/E move
0.5%

65Δ

Calls
Pseudo strike
1239.65
IV
50.1%
B/E move
0.6%
Puts
Pseudo strike
1260.78
IV
34.8%
B/E move
0.4%

70Δ

Calls
Pseudo strike
1236.80
IV
45.4%
B/E move
0.5%
Puts
Pseudo strike
1263.70
IV
34.0%
B/E move
0.3%

75Δ

Calls
Pseudo strike
1228.25
IV
54.4%
B/E move
0.4%
Puts
Pseudo strike
1266.70
IV
33.1%
B/E move
0.2%

80Δ

Calls
Pseudo strike
1220.57
IV
58.2%
B/E move
0.4%
Puts
Pseudo strike
1269.77
IV
32.1%
B/E move
0.2%