Eli Lilly and Company (LLY)
Overview · Option chain · Volatility · Expected-move history · Earnings
Cboe delayed options data · as of 12:38 UTC · Figures derived from the full chain (3,976 contracts, 18 expirations) · IV own-history percentile appears after 60 recorded days (28 so far)
Expected move · Nov 20, 2026 (32 days)
Methodology →Read from option prices: the at-the-money straddle costs this much, so the market is pricing a move of about that size in either direction by this date. It is an estimate of movement, not a prediction of direction.
Options are pricing a move of about ±10.1% (range 1,119.85–1,370.15) by Nov 20, 2026. ATM straddle: 125.15 @ strike 1,240 · ATM IV: 40.2%.
Probability distribution
Model & assumptions →The curve shows where a lognormal model, fed with current implied volatility, puts the range of outcomes at this expiration. Shaded: the expected-move band.
| Level | vs price | P(above)Model-estimated chance the stock finishes above a level at expiration, derived from current IV under a lognormal model with stated assumptions — an estimate, not a prediction. | P(below) |
|---|---|---|---|
| 1,120.50 | -10% | 79.5% | 20.5% |
| 1,182.75 | -5% | 64.5% | 35.5% |
| 1,245.00 | +0% | 47.6% | 52.4% |
| 1,307.25 | +5% | 31.9% | 68.1% |
| 1,369.50 | +10% | 19.5% | 80.5% |
Model-estimated probabilities of finishing above/below each level at expiration: estimates under stated assumptions, not predictions.
Probability explorer
Drag the slider to any level and see the model-estimated chance the stock finishes above or below it at the selected expiration.
Horizon: Nov 20, 2026 · lognormal model with zero drift: an estimate, not a prediction. Assumptions
Expirations
Open the chain →| Expires | DTEDays to expiration, in calendar days. | Implied move | ATM IV | Open int. |
|---|---|---|---|---|
| Oct 23, 2026 | 4 | ±3.6% | 31.1% | 33.7K |
| Oct 30, 2026 | 11 | ±7.9% | 49.8% | 15.0K |
| Nov 06, 2026 | 18 | ±9.1% | 46.9% | 9,456 |
| Nov 13, 2026 | 25 | ±9.7% | 43.3% | 5,224 |
| Nov 20, 2026 | 32 | ±10.1% | 40.2% | 34.2K |
| Nov 27, 2026 | 39 | ±10.6% | 38.9% | 2,024 |
| Dec 18, 2026 | 60 | ±12.7% | 38.0% | 40.7K |
| Jan 15, 2027 | 88 | ±14.6% | 36.1% | 60.4K |
| Feb 19, 2027 | 123 | ±17.6% | 37.3% | 2,555 |
| Mar 19, 2027 | 151 | ±19.5% | 37.4% | 18.8K |
| Apr 16, 2027 | 179 | ±21.1% | 37.3% | 4,376 |
Open interest by strike · Nov 20
Where option positions are concentrated. Teal bars are calls, red bars are puts; the dashed line is the current price.
Largest open-interest concentrations (all expirations ≤ 60 days): 1,000 P · 4,0461,600 C · 3,6561,300 C · 3,6531,400 C · 2,9191,100 P · 2,436
IV term structure
Volatility page →At-the-money implied volatility for each expiration. A hump around a date often marks a scheduled event the market is pricing.
When does open interest expire?
Implied vs realized volatility
HV from our stored daily closes (annualized); IV30 interpolated from the chain. Method
Price, last 60 sessions
Daily closes; Financial Modeling Prep.
Track record
Full history →Of 93 recorded snapshot-versus-outcome comparisons so far, the close landed inside the expected range 92.5% of the time.
Past earnings reactions
Avg |reaction| 6.3% · median 4.7% (20 reports). Two-session close-to-close window; definition
About Eli Lilly and Company
Eli Lilly and Company is a prominent global pharmaceutical firm dedicated to the research, development, and commercialization of human medicines across the world. Its therapeutic offerings include a comprehensive suite of diabetes medications. This encompasses various insulin formulations like Basaglar, the Humalog family (e.g., Mix 75/25, U-100, U-200, Mix 50/50), insulin lispro products (including protamine and mix 75/25), and the Humulin line (e.g., 70/30, N, R, U-500). Furthermore, Eli Lilly provides specialized treatments for type 2 diabetes, such as Jardiance, Trajenta, and Trulicity. In oncology, Eli Lilly offers a robust portfolio targeting various cancers. These include Alimta for non-small cell lung cancer (NSCLC) and malignant pleural mesothelioma; Cyramza, indicated for metastatic gastric cancer, gastro-esophageal junction adenocarcinoma, metastatic NSCLC, metastatic colorectal cancer, and hepatocellular carcinoma; Erbitux for colorectal and various head and neck cancers; Retevmo, used in metastatic NSCLC, medullary thyroid, and other thyroid cancers; Tyvyt for relapsed or refractory classic Hodgkin's lymphoma and non-squamous NSCLC; and Verzenio, prescribed for HR+, HE
Healthcare · Drug Manufacturers - General · NYSE · Profile: Financial Modeling Prep
LLY news
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CNBC · Oct 16, 15:52 UTC ↗Related securities · Healthcare
MRNA · IV 110.6%UNH · IV 31.7%HIMS · IV 89.0%PFE · IV —JNJ · IV 24.5%MRK · IV 36.9%