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Eli Lilly and Company LLY

HEALTHCARE · DRUG MANUFACTURERS - GENERAL
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Market dataready · fetched 2026-10-16T00:15:21.638Z

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

Calculation methodology

PriceAlpaca · sip · 2026-10-15T23:59:40.649322437Z

FundamentalsAlpha Vantage · quarter 2026-06-30 · fetched 2026-10-16T00:15:20.556642+00:00

Share price$1,252.99
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$11.94$53.44$94.95$136.45$177.95$1056.52$1154.82$1253.11$1351.40$1449.7020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive LLY spot · $1252.99LLY PRICE$16.43$21.38$27.88$35.05$42.03$49.80$58.43$68.74$79.72$91.98$106.15$120.40$140.96$19.39$26.46$32.25$41.00$48.32$57.47$68.20$80.13$91.29$108.48$125.21$144.22$165.99
PutsExpensive1.28×
CallsExpensive1.19×
SkewNeutral-0.06 pp
Implied moveBearish±$126.63
TiltBearish8.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ1407.5139.5%13.6%1136.9141.4%10.8%
25Δ1375.2138.6%11.5%1160.5542.1%9.5%
30Δ1352.6739.5%10.2%1186.6240.2%7.9%
35Δ1331.8840.5%9.1%1206.7941.1%7.0%
40Δ1309.1740.2%7.8%1228.1040.0%5.8%
45Δ1288.2040.1%6.8%1247.9139.9%5.0%
50Δ1267.9440.2%5.9%1267.8340.1%4.3%
55Δ1247.9740.7%5.1%1288.1140.2%3.6%
60Δ1227.6241.0%4.3%1308.0239.4%2.9%
65Δ1206.7341.2%3.6%1331.7040.3%2.4%
70Δ1184.7641.5%3.0%1355.0840.3%1.8%
75Δ1162.8041.0%2.4%1380.4040.1%1.3%
80Δ1136.0141.8%1.9%1407.9839.7%0.9%

20Δ

Calls
Pseudo strike
1407.51
IV
39.5%
B/E move
13.6%
Puts
Pseudo strike
1136.91
IV
41.4%
B/E move
10.8%

25Δ

Calls
Pseudo strike
1375.21
IV
38.6%
B/E move
11.5%
Puts
Pseudo strike
1160.55
IV
42.1%
B/E move
9.5%

30Δ

Calls
Pseudo strike
1352.67
IV
39.5%
B/E move
10.2%
Puts
Pseudo strike
1186.62
IV
40.2%
B/E move
7.9%

35Δ

Calls
Pseudo strike
1331.88
IV
40.5%
B/E move
9.1%
Puts
Pseudo strike
1206.79
IV
41.1%
B/E move
7.0%

40Δ

Calls
Pseudo strike
1309.17
IV
40.2%
B/E move
7.8%
Puts
Pseudo strike
1228.10
IV
40.0%
B/E move
5.8%

45Δ

Calls
Pseudo strike
1288.20
IV
40.1%
B/E move
6.8%
Puts
Pseudo strike
1247.91
IV
39.9%
B/E move
5.0%

50Δ

Calls
Pseudo strike
1267.94
IV
40.2%
B/E move
5.9%
Puts
Pseudo strike
1267.83
IV
40.1%
B/E move
4.3%

55Δ

Calls
Pseudo strike
1247.97
IV
40.7%
B/E move
5.1%
Puts
Pseudo strike
1288.11
IV
40.2%
B/E move
3.6%

60Δ

Calls
Pseudo strike
1227.62
IV
41.0%
B/E move
4.3%
Puts
Pseudo strike
1308.02
IV
39.4%
B/E move
2.9%

65Δ

Calls
Pseudo strike
1206.73
IV
41.2%
B/E move
3.6%
Puts
Pseudo strike
1331.70
IV
40.3%
B/E move
2.4%

70Δ

Calls
Pseudo strike
1184.76
IV
41.5%
B/E move
3.0%
Puts
Pseudo strike
1355.08
IV
40.3%
B/E move
1.8%

75Δ

Calls
Pseudo strike
1162.80
IV
41.0%
B/E move
2.4%
Puts
Pseudo strike
1380.40
IV
40.1%
B/E move
1.3%

80Δ

Calls
Pseudo strike
1136.01
IV
41.8%
B/E move
1.9%
Puts
Pseudo strike
1407.98
IV
39.7%
B/E move
0.9%