LLY wheel: cash-secured put & covered-call yields
Eli Lilly & Co. · Healthcare · $1,427.28 close on Nov 12, 2026
What the Nov 12, 2026 close says about LLY
At 32.2% implied volatility, the options market is pricing a one-standard-deviation move of about $144.45 (10.1%) in LLY by Dec 18, 2026, 36 days out.
Selling the $1360 put (−0.28Δ) for $26.93 means assignment would leave a cost basis of $1,333.07, 6.6% below the $1,427.28 close.
The 64-day 0.30Δ put pays 1.6× the premium of the 36-day one for 1.8× the time — more premium per day on the 36-day contract ($0.748 vs $0.658).
At 0.30Δ on the Dec 18 expiry the put yields 1.98% on its strike and the call 1.88% on spot: puts and calls pay within 10% of each other on LLY this session.
Moving down to the $1320 put (−0.20Δ) buys 2.8% more room below spot and keeps 64% of the 0.30Δ premium.
Open interest in the stored window totals 22,574 contracts; the largest single line is the $1500 call expiring Jan 15 with 1,199 (5.3% of the window).
LLY goes ex-dividend on Nov 13, 2026 ($1.73 declared), inside the Dec 18 covered-call window. A short call that is in the money before an ex-date can be assigned early.
By options volume LLY ranks #111 of 679 names in our universe.
Near-the-money options volume (1.9k) is 379% above its 5-session average.
The builder re-quotes every leg from the live chain when it opens; tracking is free to start.
Cash-secured puts on LLY
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $1360 | −0.28 | $26.93 Nov 12 | $2,693.00 | $136,000 | 1.98% | 20.1% | $1,333.07 | 407 | 37 |
| 0.20Δ | $1320 | −0.20 | $17.25 Nov 12 | $1,725.00 | $132,000 | 1.31% | 13.2% | $1,302.75 | 602 | 17 |
Snapshot #9418 · session 2026-11-12 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 36
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $1360 | −0.32 | $42.08 Nov 12 | $4,208.00 | $136,000 | 3.09% | 17.6% | $1,317.92 | 187 | 51 |
| 0.20Δ | $1300 | −0.21 | $24.91 Nov 12 | $2,491.00 | $130,000 | 1.92% | 10.9% | $1,275.09 | 397 | 35 |
Snapshot #9418 · session 2026-11-12 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 64
Covered calls on LLY
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $1520 | 0.30 | $26.81 Nov 12 | $2,681.00 | 1.88% | 19.0% | 8.37% | 84.9% | 397 | 96 |
| 0.20Δ | $1560 | 0.21 | $16.75 Nov 12 | $1,675.00 | 1.17% | 11.9% | 10.47% | 106.2% | 335 | 127 |
Snapshot #9418 · session 2026-11-12 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 36
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $1560 | 0.30 | $33.21 Nov 12 | $3,321.00 | 2.33% | 13.3% | 11.63% | 66.3% | 630 | 32 |
| 0.20Δ | $1620 | 0.20 | $20.15 Nov 12 | $2,015.00 | 1.41% | 8.1% | 14.91% | 85.1% | 245 | 22 |
Snapshot #9418 · session 2026-11-12 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 64
LLY volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 32.2%session 2026-11-12
- IV rank / IV percentile
- Unavailable1
- Next earnings
- Unavailable2
- Next ex-dividend
- Ex-div Nov 13, 2026 · $1.73 declaredchecked Nov 9, 2026
- Open interest, stored window
- 22,574 contractssession 2026-11-12
- Largest open-interest line
- $1500 call · Jan 15 · 1,199
- Bid/ask spread
- Unavailable3
- Options liquidity rank
- #111 of 679 optionable names by options volume
How these numbers are made
One end-of-day snapshot per session from a 15-minute-delayed feed. A premium is a contract’s last trade, used only if it printed that session, sits above intrinsic value and is in order with its neighbours; deltas are the feed’s own. Expiries are the first at least 30 and 60 days out, and nothing under 30 days is annualized. Not investment advice. Full methodology.
- We are building our own daily implied-volatility history (34 of 252 sessions so far); IV rank and percentile need a full year of it.
- Our data provider does not license announced earnings dates, and we do not publish estimates.
- Our data feed carries last trades, not live bid/ask quotes, so we cannot show a spread.