thetaOwl
HomeOptionsLLYReports

LLY

Eli Lilly and CompanyClose $1018.87EOD only
Max Pain
$975.00
Next expiry May 22, 2026
Expected Move
±$24.27
2.4% from close
Price Gap
-43.87
Distance to max pain
IV Rank
18
Low premium
P/C OI
1.23
Slightly put-heavy
Consensus
4/4
Partial coverage
Published snapshot: May 20, 2026 close
End-of-day snapshot

This page reflects LLY options positioning from the latest published market-close snapshot. Intraday price and contract changes are not displayed.

Published Snapshot
May 20, 2026 close
LLY Earnings Report
Analysis based on market close March 31, 2026
DirectionalTheta GangFlowEarningsConsensus

Historical consensus-supported lens with full content, report chain context, and metric rail.

Earnings Verdict

Earnings expected around 4/30, 30 days out. IV is elevated, creating a strong crush setup. Historical data shows LLY consistently beats EPS estimates and tends to gap up, favoring directional call strategies or defined-risk premium selling.

Confidence:
6.5 / 10
base 5; +1 strong historical beat rate; +0.5 clear IV kink confirming date; -0.5 high absolute IV (48%)
Most important: IV term structure shows a sharp kink at the 5/01 expiration (49.7% vs 43.6% before), confirming earnings are priced for that week. The 4/10 expiration (45.3%) is the first unaffected post-earnings expiry.
📅Earnings inferred for week of 4/30, likely before 5/01 expiration. Confirm official date when released.
📈Flow regime is extremely bullish (P/C 0.37). Consensus is positioned for a beat and rally.
⚠️Gamma regime is 'Trending' (negative GEX). This can exacerbate moves in either direction post-earnings.

Regime Classification

Vol Regime
Normal (IV 48%)
Gamma Regime
Trending (GEX $-2.7M — pro-cyclical)
Flow Regime
Bullish (net prem +$71.2M, P/C 0.37)
Spot vs MP
At max pain $920
Gamma flip: ~$400.00 — Gamma flip ~$400 is far below spot, indicating dealer hedging is minimal near current price. GEX negative suggests dealers amplify moves (pro-cyclical).

Earnings Overview

Next earnings: 2026-04-30 (30 days)inferred (IV kink at 5/01, explicit EPS est for 4/30)

Expected moves:

  • 5/01 (31d): ±$111.00 (12.1%)
  • 4/24 (24d): ±$84.30 (9.2%)

IV Setup

Term structure: Sharp kink at 5/01 expiration (49.7% IV) vs 43.6% on 4/24 and 45.3% on 4/10. Elevated IV isolated to earnings week.

Crush estimate: ~15-20 vol pts post-earnings, back to ~30-35% range (aligning with 4/10 expiry IV of 45.3% for a 10d hold).

Skew: Flow is overwhelmingly bullish (P/C 0.37, net prem +$71M). Unusual activity in OTM calls ($1050, $1100) suggests large bullish bets.

Historical Context

Beat rate: 75% (3/4 quarters, with one small miss)

Avg move vs expected: Data incomplete for price moves, but EPS surprise magnitude is large: +9%, +19%, +13% in last three beats.

Directional bias: Insufficient price history provided, but strong EPS beats suggest upward bias.

Key Levels

1$920 (spot & near-term max pain)
2$1000 (major call OI wall)
3$890 (Jun max pain, put OI)
4EM 5/01: $810 - $1030

Flow Highlights

Massive bullish premium flow: $950C net +$7.7M, $1000C net +$5.5M, $960C net +$3.8M.

Institutional accumulation of upside calls, targeting moves to $1000+.

Unusual volume in 4/10 $1050C (4,180 vol vs 227 OI) and 4/02 $1100C (1,305 vol vs 113 OI).

Aggressive OTM call buying for post-earnings moves, using near-dated expiries to leverage high IV.

Strategies

Short Iron Condor (Premium Sell)
Sell 5/01 $820 PUT / Buy 5/01 $800 PUT // Sell 5/01 $1030 CALL / Buy 5/01 $1050 CALL
Credit: $8.50-$10.50
Max loss: $11.50
Max gain: $9.50
BE: 823.0 / 1027.0
Trigger: Enter 5-7 days before earnings (around 4/23)
IV is elevated and will crush post-earnings. Strikes are placed just outside the 31-day expected move to provide a buffer, calibrated to available strikes.
Outperforms: Stock stays within the wide expected move bounds ($820-$1030). High IV crush provides cushion.
Underperforms: Stock gaps beyond short strikes by more than the credit received.
Bull Call Spread (Directional Upside)
Buy 5/01 $920 CALL / Sell 5/01 $1000 CALL
Max loss: Debit paid (~$45-50 est)
Max gain: $35.00
BE: ~$965-970
Trigger: On any pullback to $900-$910 before earnings
Aligns with overwhelmingly bullish flow and historical EPS beat tendency. Defined risk, capitalizes on both directional move and high IV if bought before crush.
Outperforms: LLY beats and raises guidance, pushing toward the $1000 call wall.
Underperforms: Stock sells off post-earnings or IV crush outweighs directional move.
Calendar Spread (IV Crush Play)
Sell 5/01 $920 CALL / Buy 6/18 $920 CALL
Credit: $12.00-$16.00
Max loss: Unlimited above, limited below
Max gain: Full credit received
BE: Complex; best if stock near $920 at 5/01 expiry with IV crush on short leg.
Trigger: Enter 1-2 weeks before earnings
Exploits the steep IV kink at the 5/01 expiration. Max pain and spot are at $920, increasing pin risk. Aims to profit from the decay of elevated short-term IV.
Outperforms: Stock pins near $920 with massive IV crush in the May expiration relative to June.
Underperforms: Large directional move away from $920, especially to the upside.

Risk Assessment

!Gap risk: High. 12.1% expected move is wide. Biotech/pharma stocks can react violently to trial data or guidance not fully priced in.
!IV crush: Significant. ~50% IV will likely drop 15+ points, punishing long premium positions entered just before earnings.
!Liquidity: Excellent. High OI/volume across many strikes and expirations.
!Sizing: Use reduced size due to wide expected move and high notional value of contracts.

What to Watch

?IV trajectory on the 5/01 expiration into the event.
?Spot price relative to $920 max pain and the $1000 call OI wall.
?Any unusual put flow developing as a hedge against bullish consensus.
How to Use These Reports
This earnings reflects the market close on March 31, 2026.
What the reports do

Each report translates the same market-close options snapshot into a specific lens such as directional bias, premium-selling posture, flow quality, or earnings setup.

How traders use them

Reports are most useful for narrowing the playbook, surfacing entry and risk context, and deciding which raw data page to inspect next.

What to remember

These are interpretation layers, not execution guarantees. Validate the setup against chain liquidity, expected move, and exposure before sizing risk.

If the report conviction and the raw data disagree, slow down and resolve the mismatch before sizing risk.