ThetaOwl

LLY Theta Gang Report

Analysis based on market close March 31, 2026

DirectionalTheta GangFlowEarnings

Theta Verdict

Attractiveness6.5 / 10
Sizing: Moderate
Primary: Sell put spreads near OI support, favoring 30-45 DTE.
Invalidation: Close below $890 (major OI support) or above $1000 (call wall).
Confidence:
5 / 10
base 4; +1 normal IV; +1 spot at max pain; -1 trending GEX; -1 liquidity constraints

IV Environment

IV Regime
Normal
IV vs VIX
IV 48% — Normal for LLY. No VIX comparison provided.
Favorable?
Yes

Term structure: Humped at 4/02 (52.2%), dips to 41.7% by 4/17, rises again for May expirations.

💰IV ~48% provides decent premium for selling.
📅Term structure hump at 4/02 offers high IV for short-dated defined-risk spreads.

Pin Risk Assessment

Spot vs MP: At max pain ($920.00). Spot is $919.77.

GEX regime: Trending (GEX -$2.7M — pro-cyclical)

Gamma flip: ~$400.00 — Gamma flip estimated at ~$400, far below spot. Negative GEX suggests dealers amplify moves, increasing trend risk.

OI concentrations: Major Put OI: $400 (3,177), $790 (2,908). Major Call OI: $1000 (2,262), $1100 (1,726).

Verdict: Mixed. Spot at max pain is favorable for pinning, but negative GEX warns of trending moves. The $400 put wall is a distant magnet.

Premium Opportunities

#1
put spread
Sell $890/$880 put spread 2026-04-24 (24 DTE)
Sells into high OI support at $890 (OI: 1,676). 24 DTE captures decent theta decay while avoiding the IV hump of the 4/02 expiry. Max pain for 4/24 is $920, providing a buffer.
Credit: $1.80-$2.20
Max loss: $8.00
BE: $888.20
Mgmt: Close at 65% profit. Exit if LLY closes below $890. Roll down/out if tested, but be mindful of earnings on 4/30.
#2
call spread
Sell $1000/$1010 call spread 2026-04-17 (17 DTE)
Defined-risk play against the major call wall at $1000 (OI: 2,262). IV of 41.7% for 4/17 is favorable. Flow data shows massive net premium to calls at $1000, suggesting strong seller interest there.
Credit: $1.50-$1.90
Max loss: $8.50
BE: $1001.50
Mgmt: Close at 50% profit. Exit if LLY closes above $995. Do not hold through earnings (4/30).
#3
iron condor
Sell $890/$880P x $1000/$1010C 2026-04-17 (17 DTE)
Combines the OI-defined support ($890) and resistance ($1000) into one trade. Collects premium from both sides in a range-bound, max-pain pinning scenario. 17 DTE offers faster theta decay.
Credit: $2.80-$3.40
Max loss: $7.20
BE: 882.20 / 1007.20
Mgmt: Close at 50% profit. Manage wings independently; roll tested side. Exit entirely if spot breaches either short strike.
#4
cash-secured put
Sell $850 put 2026-05-15 (45 DTE)
For capital-secure sellers. Strikes below $850 have minimal OI, suggesting a potential cliff. 45 DTE collects substantial premium (IV 47.1%) and allows time for management. Max pain for 5/15 is $980, far above.
Credit: $18.00-$22.00
Max loss: $832.00
BE: $832.00
Mgmt: Roll down/out at 21 DTE if challenged. Be prepared to take assignment well below current price. Close before earnings (4/30) to avoid IV crush.

Risk Alerts

!Earnings estimated 2026-04-30 — Close all short premium positions at least 1 week prior to avoid event risk and IV crush.
!Trending Gamma Regime (GEX -$2.7M) — Negative gamma means price moves can accelerate, increasing risk for naked or wide spreads.
!High Unusual Call Volume at $1050 (4/10) and $1100 (4/02) — Indicates institutional bullish bets that could push price toward those strikes.
!Falling Max Pain Trend — Long-term max pain drifts from $920 down to $850-$890, indicating put accumulation and a potential bearish bias over time.
!Moderate Liquidity — Bid-ask spreads may be wide, especially on multi-leg strategies. Use limit orders and assume mid-point for credit estimates.

Read the Theta Gang analysis for LLY for 2026-03-31. This AI-generated report covers regime classification, key price levels, strategy recommendations, and actionable trade ideas drawn from end-of-day options data including gamma exposure, delta exposure, and implied volatility.