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Earnings within a week — IV crush risk
Lilly (Eli) (LLY) operates in the Health Care sector and has actively traded listed options. LLY scores 62/100 for premium selling conditions. See Walls for support and resistance levels.
LLY Edge Score: 62/100 — data coverage is strong, but current trading conditions are unfavorable.
Earnings in 5 days. Premium selling is risky around binary events. Consider waiting until after the announcement.
See full analysis →LLY conditions are unfavorable — but other tickers may have edge today
When conditions are weak for one stock, others in the S&P 500 often show strong setups. Check today's top-ranked candidates instead of forcing a trade here.
Why two RV values? Yang-Zhang RV (50.2%, OHLC-based) captures intraday volatility, while ORATS RV (37.5%, close-to-close) uses only closing prices. For LLY, YZ is higher — suggesting significant intraday movement not captured in closing prices. VRP is computed using ORATS RV to match the IV source. Gap: 12.7pp. Full IV Analysis →
Earnings impact: Raw VRP (+9.2pp) includes an IV premium from upcoming earnings (5d). Excluding this premium, VRP is -0.7pp. The 10pp gap is earnings-driven — not a structural edge.
Weak — Unfavorable for premium selling
EM = Price × RV₂₀d × √(t/252). Uses Yang-Zhang 20d realized volatility (not implied). ±1σ (68% confidence).
Conditions are weak — explore alternatives or wait for a better setup.
Volatility
IV Rank, IV vs RV comparison
Volatility Risk Premium edge
Volatility smile & skew shifts
IV curve across expirations
Strategy
P&L calculator for any strategy
Ranked strategies & selling conditions
Best CC strikes, premiums & scores
CSP → assignment → CC calculator
Early assignment probability & alerts
Flow & Events
Support & resistance from OI
IV crush & historical earnings
Price range & strike placement
Historical expected move hit rates
Quantitative screening, not investment advice. Verify with your broker. Disclaimer
Edge Score = weighted composite of VRP, IV Rank, RV Regime, Earnings Proximity, Term Structure, and Liquidity. Ranges: Defensive (0–39), Selective (40–64), Favorable (65–100).IV Rank, VRP, RV Ratio, days to earnings, backwardation/contango, bid-ask spread quality
ORATS institutional options data, updated daily after market close (~6:00 PM ET)
The score reflects current market conditions and changes daily. A high score indicates favorable conditions for premium selling, not guaranteed profit. Always verify execution quality with your broker.
Lilly (Eli) shows moderately favorable conditions for premium selling. Yang-Zhang realized volatility reads 50.2% over 20 days versus a 37.9% 60-day baseline. The RV Ratio (HV 20d / IV 30d) is 0.80, indicating calming conditions relative to implied expectations. A health care sector component tracked by volradar. For premium sellers tracking LLY, this ratio suggests options are likely priced for more movement than the stock is currently delivering.
Over the past 20 trading days, LLY's volatility has been dropping sharply. The RV ratio moved from a high of 1.64 down to the current 0.80 — a significant compression that often precedes favorable premium selling windows. During this period, 0 out of 20 days (0%) showed conditions favorable for sellers (ratio below 1.0). This kind of rapid vol compression in a health care name like LLY typically means options haven't fully repriced lower yet — creating a temporary edge.
Based on current realized volatility, traders can expect LLY to move approximately ±$29.52 (3.2%) per day and ±$66.01 (7.1%) over five trading days. At a stock price of $934.07, these ranges are derived from the Yang-Zhang volatility model which accounts for overnight gaps and intraday range — more accurate than simple close-to-close calculations. Premium sellers typically place short strikes outside these 1-standard-deviation ranges to achieve approximately 68%+ probability of profit.
VolRadar's algorithm currently flags LLY in a caution zone. Earnings in 5 days. Stock can gap 10%+ overnight, making premium selling extremely risky. This doesn't mean LLY is a bad stock — it means current volatility conditions don't offer the statistical edge that premium sellers look for. Conditions can change quickly; VolRadar updates this assessment daily before market open.
Lilly (Eli) reports earnings in approximately 5 trading days. Earnings events are the single largest source of overnight gap risk for option sellers. LLY's earnings reactions, while typically more contained than high-beta names, can still exceed the implied move. Most premium selling approaches are designed for gradual time decay — not binary events. Consider closing existing positions or significantly widening strikes.
VolRadar tracks LLY daily as part of the S&P 500 universe, providing Yang-Zhang (OHLC-based) realized volatility across 10, 20, and 60-day windows, RV ratio analysis, expected move calculations, and premium selling condition assessments. Note: RV values on this page use the Yang-Zhang estimator (captures overnight gaps); VRP and RV Ratio use ORATS close-to-close RV to match the IV data source. Data is updated daily after market close (~6:00 PM ET). All analysis is for educational purposes only and does not constitute financial advice. Options trading involves significant risk of loss.
More about LLY
Lilly (Eli) currently shows a weak premium selling signal because earnings in 5 days. Consider waiting for conditions to improve. The VRP Analysis page tracks historical premium edge trends that may signal when conditions are turning.
Lilly (Eli)'s IV Rank is 40%, indicating relatively cheap options. While premiums are thinner, low IV can present opportunities for option buyers or for sellers who focus on probability rather than absolute premium. See the IV Analysis page for detailed breakdown.
Lilly (Eli) has earnings in 5 days. Earnings are the largest source of gap risk for option positions. The Earnings Crush page shows historical post-earnings IV crush patterns, while the Strategy Builder can help model defined-risk positions around the announcement.
Lilly (Eli) currently shows a weak premium selling signal because earnings in 5 days. Consider waiting for conditions to improve.
Lilly (Eli)'s volatility is measured using two key metrics. The RV Ratio compares realized volatility (ORATS HV 20d) to implied volatility (IV 30d). When the RV Ratio drops below 0.85, realized movement is well below what options are pricing — the sweet spot for premium sellers. VRP (Volatility Risk Premium) measures the gap between IV and HV in percentage points — positive VRP means options are overpriced relative to actual movement. Current RV Ratio: 0.80.
Lilly (Eli)'s snapshot: IV Rank 40% (average premiums), VRP +9.2pp (options overpriced), RV Ratio 0.80 (calming volatility). These three metrics work together — IV Rank shows historical context, VRP shows current overpricing, and RV Ratio shows the volatility trend. See the IV Analysis page for peer comparisons and deeper breakdown.
VolRadar provides 10 analysis pages for Lilly (Eli): Overview (this page), Premium Selling (signal and strategy verdict), VRP Analysis (volatility risk premium history), Expected Move (range and probabilities), IV Analysis (implied volatility breakdown and peer comparison), Earnings Crush (historical post-earnings IV patterns), Options Strategy Builder (18 presets + custom calculator), Covered Call Analysis (ranked by CC Score), Wheel Strategy (CSP calculator and viability), and Support & Resistance Walls (options-derived price levels).
Key risks for Lilly (Eli) right now: earnings in 5 days — the largest source of overnight gap risk that can blow through short strikes. These risks are worse when combined — for example, selling into earnings with negative VRP removes both your statistical edge and your safety margin. Use VolRadar's sub-pages to contextualize: VRP Analysis for edge confirmation, IV Analysis for premium adequacy, and Expected Move for strike distance guidance.
Lilly (Eli) has earnings in approximately 5 days, the largest source of gap risk for option positions. Three VolRadar pages are especially relevant: the Earnings Crush page shows Lilly (Eli)'s historical win rate and implied-vs-actual move pattern; the Premium Selling page reflects whether the signal accounts for event risk; and the Strategy Builder can model defined-risk positions around the announcement.
Lilly (Eli)'s Volatility Risk Premium (VRP) is +9.2pp, meaning implied volatility exceeds realized volatility by that amount. A positive VRP indicates options are overpriced relative to actual stock movement — this is the statistical edge premium sellers seek.
More analysis sections planned — Dark Pool Flow, Unusual Activity, Sector Comparison, and more.