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Eli Lilly & Co. LLY

i

Market dataready · fetched 2026-11-07T01:12:57.102Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-07T00:58:26.224445622Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-07T01:12:56.483333+00:00

Share price$1,357.00
1D+0.3%
AH$1,342$1,350$1,359$1,368$1,3765:30 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.$4.41$20.20$35.99$51.78$67.57$1262.14$1313.75$1365.36$1416.98$1468.5920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive LLY spot · $1357.00LLY PRICE$6.12$8.69$11.26$13.88$16.69$19.30$23.50$28.43$32.90$38.50$45.81$52.06$63.02$8.41$11.76$14.18$17.25$20.63$24.01$28.64$33.14$38.67$45.29$50.23
Puts——
CallsCheap0.75×
Skew——
Implied moveBearish±$52.14
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ1406.5029.4%4.1%1299.4939.0%4.9%
25Δ1400.1531.7%3.8%1309.4340.7%4.4%
30Δ1391.5432.2%3.4%1322.5138.4%3.6%
35Δ1382.8532.1%2.9%1332.6137.9%3.1%
40Δ1374.6631.9%2.5%1342.1137.4%2.6%
45Δ1366.6831.1%2.1%1351.1736.5%2.2%
50Δ1359.3432.2%1.9%1359.7937.0%1.9%
55Δ1351.5733.5%1.7%1368.4636.7%1.6%
60Δ1343.5733.5%1.4%1377.5136.9%1.3%
65Δ1335.0034.1%1.2%1387.2337.4%1.1%
70Δ1325.1635.4%1.0%1395.7136.0%0.8%
75Δ1315.9534.9%0.8%
80Δ1302.8336.7%0.7%

20Δ

Calls
Pseudo strike
1406.50
IV
29.4%
B/E move
4.1%
Puts
Pseudo strike
1299.49
IV
39.0%
B/E move
4.9%

25Δ

Calls
Pseudo strike
1400.15
IV
31.7%
B/E move
3.8%
Puts
Pseudo strike
1309.43
IV
40.7%
B/E move
4.4%

30Δ

Calls
Pseudo strike
1391.54
IV
32.2%
B/E move
3.4%
Puts
Pseudo strike
1322.51
IV
38.4%
B/E move
3.6%

35Δ

Calls
Pseudo strike
1382.85
IV
32.1%
B/E move
2.9%
Puts
Pseudo strike
1332.61
IV
37.9%
B/E move
3.1%

40Δ

Calls
Pseudo strike
1374.66
IV
31.9%
B/E move
2.5%
Puts
Pseudo strike
1342.11
IV
37.4%
B/E move
2.6%

45Δ

Calls
Pseudo strike
1366.68
IV
31.1%
B/E move
2.1%
Puts
Pseudo strike
1351.17
IV
36.5%
B/E move
2.2%

50Δ

Calls
Pseudo strike
1359.34
IV
32.2%
B/E move
1.9%
Puts
Pseudo strike
1359.79
IV
37.0%
B/E move
1.9%

55Δ

Calls
Pseudo strike
1351.57
IV
33.5%
B/E move
1.7%
Puts
Pseudo strike
1368.46
IV
36.7%
B/E move
1.6%

60Δ

Calls
Pseudo strike
1343.57
IV
33.5%
B/E move
1.4%
Puts
Pseudo strike
1377.51
IV
36.9%
B/E move
1.3%

65Δ

Calls
Pseudo strike
1335.00
IV
34.1%
B/E move
1.2%
Puts
Pseudo strike
1387.23
IV
37.4%
B/E move
1.1%

70Δ

Calls
Pseudo strike
1325.16
IV
35.4%
B/E move
1.0%
Puts
Pseudo strike
1395.71
IV
36.0%
B/E move
0.8%

75Δ

Calls
Pseudo strike
1315.95
IV
34.9%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
1302.83
IV
36.7%
B/E move
0.7%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend34.19%
Daily close
LLY25.7%45.4%65.2%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 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
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%