LLY options: IV rank, expected move and trade screens
ELI LILLY & Co · Healthcare
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LLY last closed at $1,443.50 with 30-day implied volatility of 31.7%. That is near the bottom of its one-year range (IV rank 20), so options on LLY are cheap compared with its own recent history. Measured by IV percentile, IV is higher than 16% of the past year's readings. Options expiring Dec 11 (28 days out) price a one standard deviation move of about $126.73, or 8.8%.
The price is above both its 50-day (+16.3%) and 200-day (+30.1%) moving averages. It is trading within 0.0% of its 52-week high. The 14-day RSI of 69.7 is between 30 and 70, neither overbought nor oversold. The 14-day average true range is $44.31, about 3.1% of the price, a measure of a typical day's range.
Option volume at the close (25.7K contracts) was 0.7x its average, quieter than usual. A beta of 0.31 means LLY has tended to move about 0.3 times as much as the broad market. None of our preset screens found trades on LLY at the close.
LLY stats at the close
- Price
- $1,443.50
- Market cap $1.36T
- Implied volatility
- 31.7%
- 30-day, at the money
- IV rank
- 20
- IV sits 20% of the way from its one-year low to its one-year high.
- IV percentile
- 16
- IV is higher than 16% of the past year's readings.
- ATR (14-day)
- $44.31
- 3.1% of the price on a typical day
- RSI (14-day)
- 69.7
- Between 30 and 70, neutral
- 52-week range
- +0.0% from high
- +69.6% from the 52-week low
- Moving averages
- +16.3% vs 50-day
- +30.1% vs the 200-day
- Beta
- 0.31
- Sensitivity to the broad market
- Option volume
- 0.7x avg
- 25.7K contracts vs 36K average
LLY expected move by expiration
Expected move = price x at-the-money IV x the square root of (days to expiration / 365), a one standard deviation range. The straddle is the at-the-money call plus put, the market's own price for a move. Compare expected moves across stocks.
| Expiration | IV | Expected move | 1 SD range | Straddle |
|---|---|---|---|---|
| Nov 20, 20267 days | 29.7% | ±$59.29 (4.1%) | $1,384.21 to $1,502.79 | $47.38 |
| Dec 11, 202628 days | 31.7% | ±$126.73 (8.8%) | $1,316.77 to $1,570.23 | $101.00 |
| Jan 15, 202763 days | 31.5% | ±$188.64 (13.1%) | $1,254.86 to $1,632.14 | $150.10 |
| Feb 19, 202798 days | 35.8% | ±$267.61 (18.5%) | $1,175.89 to $1,711.11 | $212.33 |
Each expiration has its own implied volatility, and short-dated IV reacts more to near-term events, so the nearest expiration can differ a lot from the 30-day figure.
Trades that pass our screens as of the close
LLY options FAQ
- What is LLY's IV rank?
- At the last close, LLY's IV rank was 20 with 30-day implied volatility of 31.7%. IV sits 20% of the way from its one-year low to its one-year high. Its IV percentile was 16: IV is higher than 16% of the past year's readings.
- What is the expected move for LLY?
- Based on the last close, options expiring Dec 11, 2026 priced a one standard deviation move of $126.73 (8.8%), a range of $1,316.77 to $1,570.23. Roughly two times in three, the stock would finish inside that range if the options are priced fairly.
- Is LLY option volume above average?
- At the last close, LLY option volume was 0.7x its average, quieter than usual.
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Market data as of the prior close, for information and education only. Not investment advice. Options involve substantial risk and are not suitable for every investor. See our Terms of Service.