LLYEli Lilly & Co.
Options Analysis Report•PHARMACEUTICAL PREPARATIONS
Market Cap $828.2B|NYSE
● 2026-04-17$927.03
NEUTRAL
Analysis: 2026-04-16 EOD data
1Y +13.3%YTD -14.2%7D -1.3%
Options Vol
36,985
30D
Implied Move
±14.3%
IV Rank
47%
LLY Options Overview
Mixed signals. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
3.9
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks5/9 checks passed
IV Rank
≤35%IV Rank 69.0% — elevated vs history
IV/HV Ratio
<1.05xIV/HV 1.47x — IV premium over HV
Sector Relative≤50%
Sector percentile 71% — above sector median
Term Structure
<1.1xFront/Back 0.88x — contango
Skew Normal
<1.25xPut/Call IV 1.16x — elevated
Absolute IV
<80%ATM IV 41.6% — normal range
Spread-Adjusted Value
<80%Effective IV 64.8% (ATM 41.6% + spread 11.6% + bias) — good value
Execution Efficiency
<3.0%Total drag 22.90% (spread 11.59% + slippage 11.31%) — high friction
Vega Efficiency
≥5.0Vega efficiency 457.32 (vega 530.040 / spread 11.59%) — efficient
Sentiment
Bullish or bearish?
5.2
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksNeutral - Very weak signal (Conviction: -7%, Raw: -11%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: -7% (neutral) — Raw: -11%
OI Skew Magnitude
≥15%|OI skew| 8.1% — balanced
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew +19.9%, OI skew -8.1% — divergent (opposite)
Conviction Quality
≥2/3 conditions0-DTE 54%, far-OTM 15%, avg DTE 30
OI Momentum
|change| ≥3%OI change +0.0% (5d) — stable
Smart Money Flow
|weighted flow| ≥20%ITM: -7%, ATM: +5%, OTM: -17% — neutral (ITM/ATM divergent)
Sector Relative≤40% or ≥60%
Sector P/C percentile 46% — neutral vs sector
Activity
Unusual activity?
4.4
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks2/9 checks passed
Volume Surge
≥1.5xVolume 1.0x avg — normal
Turnover Rate
≥15%Vol/OI 10.4% — normal turnover
Strike Concentration
≥60%Top 3 strikes = 50% — dispersed
Multi-Day Persistence
≥2 days1 day(s) elevated — may be one-day event
OI Build
≥5%OI change +11.4% (5d) — building
Sector Relative≥60%
Sector activity percentile 93% — very active vs sector
Trade Quality
≥30%Large trade volume 4% — mostly retail
Execution Urgency
≥60%Aggressive execution 22% — patient
Flow Conviction
≥30Conviction -7 (bearish) — mixed
Liquidity
Can I trade efficiently?
4.1
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks2/8 checks passed
Tradeable Spread
≤5.0%Spread 11.6% — wide
Adequate OI
≥10,000OI 354,061 — deep
Active Volume
≥500Volume 36,985/day — active
Reasonable Cost
≤$0.50$0.58 to cross — expensive
Strike Coverage
≥5 strikes0 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 73% — wider than sector
Order Book Depth
≥100 contractsDepth 99.1 contracts (bid:39.3 ask:59.8) — thin
Execution Quality
<1.0%Avg slippage 11.31% — poor
Timing
Is now a good time?
6.9
RiskyFavorable
Considers earnings proximity,
time decay
, and event calendar for optimal entry timing.Risk Checks5/9 checks passed
Term Structure Clarity
|slope| ≥5%Slope -12.0% — contango
IV Percentile Clarity
<30 or >70IV percentile 69% — neutral
Event Detection
≥10pts kinkIV kink -8.6pts — no clear event
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 3786.00 — favors income trades
Expiration Distribution
≥3 expirations5 liquid expirations — flexible
Event Risk
≥60% (safe)acceptable: Earnings in 13d
Spread Momentum
<1.2 ratioSpread ratio 1.00x — stable
Flow Momentum
≥25% strength + ≥50% consistencyFlow -7% @ 53% consistency — unclear
Smart Money Timing
≥40 composite scoreScore 34 (ITM 20% + inst 4%) — retail dominated
Directional Strategy Fit
Option Buyers
Long Calls4.9
bullishIV expensive, mixed flow
Long Puts4.7
bearishIV expensive, mixed flow
Premium Sellers
Cash-Secured Put5.5
bullishIV rich premium, mixed flow
Covered Call5.4
bearishIV rich premium, mixed flow
For educational purposes only. Not investment advice.