Eli Lilly and Company (LLY) Volatility Skew
Implied volatility skew shows how IV varies across strike prices for a given expiration. Steeper skews indicate higher demand for downside protection relative to upside speculation.
Eli Lilly and Company (LLY) operates in the Healthcare sector, specifically the Drug Manufacturers - General industry, with a market capitalization near $956.74B, listed on NYSE, employing roughly 47,000 people, carrying a beta of 0.48 to the broader market. Eli Lilly and Company discovers, develops, and markets human pharmaceuticals worldwide. Led by David A. Ricks, public since 1972-06-01.
Snapshot as of May 14, 2026.
- Spot Price
- $1007.39
- ATM IV
- 33.8%
- IV Skew 25Δ
- 0.017
- IV Rank
- 36.0%
- IV Percentile
- 29.4%
- Term Structure Slope
- 0.003
As of May 14, 2026, Eli Lilly and Company (LLY) at-the-money implied volatility is 33.8%. IV rank is 36.0% (where 0% is the 52-week low and 100% is the 52-week high). IV percentile is 29.4%. The 25-delta skew is +0.017: skew is roughly flat across the 25-delta wings. High IV rank typically favors premium-selling strategies; low IV rank favors premium-buying.
LLY Strategy Selection at Current Volatility Levels
For Eli Lilly and Company options at 33.8% ATM IV, mid-range IV rank (36.0%) is the regime where directional conviction matters more than vol-regime positioning; strategy choice should follow the event calendar and the dealer-positioning view rather than IV rank alone. Pair the vol-rank read with the dealer-gamma view and the upcoming-events calendar to confirm the strategy fits both the structural regime and the path-dependent risk. The variance risk premium - the persistent gap between implied and subsequently realized vol - is positive in equity markets on average; high IV rank typically reflects a stretch where the premium is wider than usual.
Learn how volatility skew is reported and how to read the data →
Frequently asked LLY volatility skew questions
- What is the current LLY ATM implied volatility?
- As of May 14, 2026, Eli Lilly and Company (LLY) at-the-money implied volatility is 33.8%. IV rank is 36.0% on a 0-100% scale anchored to the 1-year IV range. ATM IV is the volatility input that makes a Black-Scholes-equivalent model reproduce the listed at-the-money option prices.
- Is LLY IV high or low historically?
- IV is near its 1-year median, a regime where strategy choice depends on directional conviction and event calendar rather than vol regime.
- What does LLY volatility skew tell options traders?
- Volatility skew is the pattern by which IV varies across strikes for a given expiration. Eli Lilly and Company skew is roughly flat across the 25-delta wings. Skew matters for risk-defined strategy selection: when downside puts are rich, put-credit spreads capture more premium; when upside calls are rich, call-credit spreads or covered-call writes harvest more.