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Eli Lilly and Company LLY

HEALTHCARE · DRUG MANUFACTURERS - GENERAL
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Market dataready · fetched 2026-10-15T21:01:45.247Z

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

Calculation methodology

PriceAlpaca · sip · 2026-10-15T20:57:02.627796804Z

FundamentalsAlpha Vantage · quarter 2026-06-30 · fetched 2026-10-15T21:01:44.799599+00:00

Share price$1,250.00
1D+1.9%
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$1.54$11.44$21.34$31.24$41.14$1198.55$1223.46$1248.36$1273.27$1298.1720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔATM · $1250.00OPTION PRICELive LLY spot · $1250.00LLY PRICE$3.21$4.13$5.21$6.57$8.10$9.83$11.97$14.94$18.55$20.52$24.73$33.44$38.28$2.61$3.44$4.19$4.93$5.73$7.12$8.52$9.97$11.43$12.88$14.33$15.81$17.29
PutsCheap0.92×
CallsCheap0.82×
SkewBullish-17.75 pp
Implied moveBullish±$20.49
TiltBullish25.6% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ1275.1544.4%2.3%1230.9735.3%1.7%
25Δ1269.4842.7%1.9%1235.0334.9%1.5%
30Δ1265.0542.3%1.6%1238.8433.4%1.2%
35Δ1261.3643.0%1.4%1242.2031.7%1.0%
40Δ1257.7343.7%1.3%1245.2830.4%0.8%
45Δ1254.1344.7%1.1%1247.7931.4%0.7%
50Δ1250.4846.5%1.0%1250.3132.2%0.7%
55Δ1246.3849.7%0.9%1252.9832.2%0.6%
60Δ1241.7053.5%0.8%1255.6232.0%0.5%
65Δ1237.8151.6%0.7%1258.1931.2%0.4%
70Δ1232.2053.9%0.6%1260.7030.2%0.3%
75Δ1222.9563.3%0.5%1263.0828.8%0.2%
80Δ1216.4162.5%0.4%1265.4227.3%0.2%

20Δ

Calls
Pseudo strike
1275.15
IV
44.4%
B/E move
2.3%
Puts
Pseudo strike
1230.97
IV
35.3%
B/E move
1.7%

25Δ

Calls
Pseudo strike
1269.48
IV
42.7%
B/E move
1.9%
Puts
Pseudo strike
1235.03
IV
34.9%
B/E move
1.5%

30Δ

Calls
Pseudo strike
1265.05
IV
42.3%
B/E move
1.6%
Puts
Pseudo strike
1238.84
IV
33.4%
B/E move
1.2%

35Δ

Calls
Pseudo strike
1261.36
IV
43.0%
B/E move
1.4%
Puts
Pseudo strike
1242.20
IV
31.7%
B/E move
1.0%

40Δ

Calls
Pseudo strike
1257.73
IV
43.7%
B/E move
1.3%
Puts
Pseudo strike
1245.28
IV
30.4%
B/E move
0.8%

45Δ

Calls
Pseudo strike
1254.13
IV
44.7%
B/E move
1.1%
Puts
Pseudo strike
1247.79
IV
31.4%
B/E move
0.7%

50Δ

Calls
Pseudo strike
1250.48
IV
46.5%
B/E move
1.0%
Puts
Pseudo strike
1250.31
IV
32.2%
B/E move
0.7%

55Δ

Calls
Pseudo strike
1246.38
IV
49.7%
B/E move
0.9%
Puts
Pseudo strike
1252.98
IV
32.2%
B/E move
0.6%

60Δ

Calls
Pseudo strike
1241.70
IV
53.5%
B/E move
0.8%
Puts
Pseudo strike
1255.62
IV
32.0%
B/E move
0.5%

65Δ

Calls
Pseudo strike
1237.81
IV
51.6%
B/E move
0.7%
Puts
Pseudo strike
1258.19
IV
31.2%
B/E move
0.4%

70Δ

Calls
Pseudo strike
1232.20
IV
53.9%
B/E move
0.6%
Puts
Pseudo strike
1260.70
IV
30.2%
B/E move
0.3%

75Δ

Calls
Pseudo strike
1222.95
IV
63.3%
B/E move
0.5%
Puts
Pseudo strike
1263.08
IV
28.8%
B/E move
0.2%

80Δ

Calls
Pseudo strike
1216.41
IV
62.5%
B/E move
0.4%
Puts
Pseudo strike
1265.42
IV
27.3%
B/E move
0.2%