LLY wheel: cash-secured put & covered-call yields
Eli Lilly & Co. · Healthcare · $1,184.78 close on Sep 28, 2026
What the Sep 28, 2026 close says about LLY
At 41.7% implied volatility, the options market is pricing a one-standard-deviation move of about $146.29 (12.3%) in LLY by Oct 30, 2026, 32 days out.
Selling the $1130 put (−0.31Δ) for $33.89 means assignment would leave a cost basis of $1,096.11, 7.5% below the $1,184.78 close.
The 81-day 0.30Δ put pays 1.2× the premium of the 32-day one for 2.5× the time — more premium per day on the 32-day contract ($1.059 vs $0.501).
At 0.30Δ on the Oct 30 expiry the put yields 3.00% on its strike and the call 2.19% on spot: puts pay 1.4× what calls do on LLY this session.
Moving down to the $1080 put (−0.20Δ) buys 4.2% more room below spot and keeps 50% of the 0.30Δ premium.
Open interest in the stored window totals 15,196 contracts; the largest single line is the $1200 call expiring Dec 18 with 1,211 (8.0% of the window).
By options volume LLY ranks #172 of 441 names in our universe.
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 | $1130 | −0.31 | $33.89 Sep 28 | $3,389.00 | $113,000 | 3.00% | 34.2% | $1,096.11 | 6 | 3 |
| 0.20Δ | $1080 | −0.20 | $16.90 Sep 28 | $1,690.00 | $108,000 | 1.56% | 17.8% | $1,063.10 | 17 | 4 |
Snapshot #167 · session 2026-09-28 · captured 22:31 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 32
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $1100 | −0.29 | $40.55 Sep 28 | $4,055.00 | $110,000 | 3.69% | 16.6% | $1,059.45 | 997 | 44 |
| 0.20Δ | $1040 | −0.20 | $25.00 Sep 28 | $2,500.00 | $104,000 | 2.40% | 10.8% | $1,015.00 | 431 | 16 |
Snapshot #167 · session 2026-09-28 · captured 22:31 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 81
Covered calls on LLY
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $1280 | 0.29 | $26.00 Sep 28 | $2,600.00 | 2.19% | 25.0% | 10.23% | 116.7% | 21 | 1 |
| 0.20Δ | $1320 | 0.21 | $16.79 Sep 28 | $1,679.00 | 1.42% | 16.2% | 12.83% | 146.3% | 19 | 2 |
Snapshot #167 · session 2026-09-28 · captured 22:31 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 32
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $1320 | 0.32 | $39.30 Sep 28 | $3,930.00 | 3.32% | 14.9% | 14.73% | 66.4% | 134 | 4 |
| 0.20Δ | $1400 | 0.20 | $24.45 Sep 28 | $2,445.00 | 2.06% | 9.3% | 20.23% | 91.2% | 732 | 4 |
Snapshot #167 · session 2026-09-28 · captured 22:31 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 81
LLY volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 41.7%session 2026-09-28
- IV rank / IV percentile
- Unavailable1
- Next earnings
- Unavailable2
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 15,196 contractssession 2026-09-28
- Largest open-interest line
- $1200 call · Dec 18 · 1,211
- Bid/ask spread
- Unavailable3
- Options liquidity rank
- #172 of 441 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 (1 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.