Options/LLY

LLYEli Lilly & Co.

Options Analysis Report•PHARMACEUTICAL PREPARATIONS

Market Cap $1.05T|NYSE

● 2026-08-28$1176.10

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y +60.7%YTD +8.9%7D -6.3%

Options Vol

45,703

30D

Implied Move

±9.0%

IV Rank

12%

LLY Options Overview

bearish flow with unusual activity. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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LLY Gamma Walls

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LLY Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where LLY sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.27) — near-dated vol is priced 13% below far-dated, and downside puts carry 0.6 IV points more than at-the-money, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (5.05): it is trading 0% below its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

2.27/ 10cheap

Basis: cross_sectional

Fragility

5.05/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

6.4

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 59.5% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.88x — IV ≤ HV

Sector Relative≤50%

Sector percentile 69% — above sector median

Term Structure

<1.1x

Front/Back 0.87x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 34.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 60.6% (ATM 34.0% + spread 13.3% + bias) — good value

Execution Efficiency

<3.0%

Total drag 28.93% (spread 13.29% + slippage 15.64%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 84.18 (vega 111.873 / spread 13.29%) — efficient

Sentiment

Bullish or bearish?

3.5

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: -0%, Raw: +4%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -0% (neutral) — Raw: +4%

OI Skew Magnitude

≥15%

|OI skew| 12.6% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -22.4%, OI skew -12.6% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 24%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +17%, ATM: +8%, OTM: +3% — bullish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 80% — very bearish vs sector

Activity

Unusual activity?

3.8

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.9x avg — normal

Turnover Rate

≥15%

Vol/OI 12.5% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change -7.5% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 95% — very active vs sector

Trade Quality

≥30%

Large trade volume 5% — mostly retail

Execution Urgency

≥60%

Aggressive execution 15% — patient

Flow Conviction

≥30

Conviction -0 (bearish) — mixed

Liquidity

Can I trade efficiently?

3.9

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks2/8 checks passed

Tradeable Spread

≤5.0%

Spread 13.3% — wide

Adequate OI

≥10,000

OI 366,180 — deep

Active Volume

≥500

Volume 45,703/day — active

Reasonable Cost

≤$0.50

$0.66 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 69% — wider than sector

Order Book Depth

≥100 contracts

Depth 80.3 contracts (bid:32.5 ask:47.8) — thin

Execution Quality

<1.0%

Avg slippage 15.64% — poor

Timing

Is now a good time?

7.1

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -12.9% — contango

IV Percentile Clarity

<30 or >70

IV percentile 60% — neutral

Event Detection

≥10pts kink

IV kink -2.4pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 127.80 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -0% @ 50% consistency — unclear

Smart Money Timing

≥40 composite score

Score 35 (ITM 20% + inst 5%) — retail dominated

Directional Strategy Fit

Option Buyers

Long Calls5.1

bullishIV cheap, bearish flow

Long Puts6.2

bearishIV cheap, bearish flow

Premium Sellers

Cash-Secured Put4.1

bullishIV too cheap, bearish flow

Covered Call5.2

bearishIV too cheap, bearish flow

For educational purposes only. Not investment advice.