What move does the options market price into ELI Lilly's report?

Implied ±13.2%, either direction · provisional.

How often does ELI Lilly move more than the options market prices?

5 of the last 8 reports moved at least as far as the implied move.

LLYNYSEPharmaceutical Preparations

ELI Lilly & Co (LLY) earnings date, market-implied expected move, and options open interest by expiry

1,412.87

+39.17 · +2.85%

post 1,417.05 +0.30%

Closed19:59 ET

Open1,387.00Volume5.0MMkt cap$1.3TP/E45.92EPS30.86Div yield0.47%

Day1,387.00 – 1,434.8563%52-wk828.96 – 1,449.6895%

LLY

ELI Lilly & Co

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±13.2%implied · straddle

1,229.841,605.24

spot 1,417.54exp Feb 19ATM strike 1420ATM straddle 220.83IV 36%

Oct 30 closeprovisional

Expected move

Inputs

Next report

Feb 3

before open · in 95 days

est.Q4 FY26

Calendar

Next report

Last report

+6.63%

vs ±5.1% implied · ×1.29

shaded = implied · ▲▼ = realized

Oct 29 '26 · confirmed

Implied vs realized

Linked news

13hPRQR · supplierProQR Therapeutics incorporates prior 6‑Ks into Form F‑3 registration statements
21hOGN · customerOrganon furnishes non‑GAAP supplemental metrics for quarter ended September 30, 2026
1dTLX · supplierTelix seeks shareholder approval to acquire ITM for US$1.65B; up to US$700M more

News

Largest filed tie

13F top-10 QoQ

−0.14%

shares held · 10 largest managers

13F · Jun 30 '26123d lag

4,650 managers

Top fund weight

16.51%

LLY weight · XLV

N-PORTJun 30 '26

14 funds

Last reportshaded = implied▲▼ = realized× = |realized| ÷ implied

ELI Lilly (LLY) is expected to report on Feb 3 before open (estimated date).

Implied vs realized

8 reports

5 of 8≥ implied

avg implied: ±5.2%
avg realized: ±8.1%

Feb 6 '25Feb 6 '25confirmed±4.5%▲+3.35%×0.75

May 1 '25May 1 '25confirmed±4.3%▼−11.66%×2.68

Aug 7 '25Aug 7 '25confirmed±5.5%▼−14.14%×2.56

Q3 FY25Oct 30 '25confirmed±4.8%▲+3.81%×0.80

Feb 4 '26Feb 4 '26confirmed±6.1%▲+10.33%×1.70

Q1 FY26Apr 30 '26confirmed±5.3%▲+9.80%×1.84

Q2 FY26Aug 5 '26confirmed±6.2%▲+4.86%×0.78

Q3 FY26Oct 29 '26confirmed±5.1%▲+6.63%×1.29

quarterimplied−15%0+15%realized×

Q3 FY26±5.1%▲+6.63%×1.29

Q2 FY26±6.2%

Shaded = implied · tick ▲▼ = realized · × = |realized| ÷ impliedSource: options EOD · implied at prior close · realized close to close

Implied vs realized

Positioning

OI · 10 expiries · Oct 28 close

0.91OI · 10 expiries · Oct 28 closeP/C open interest · Feb 19 · first expiry after the report

PUTS · chgexpiry · days · P/CCALLS · chgP/C

5 nearer expiries

9,248+4%Nov 66d1.855,007+3%1.85

6,120+4%Nov 1313d2.092,924+3%2.09

18,620+2%Nov 2020d0.9519,6650%0.95

1,588+13%Nov 2727d2.04778+34%2.04

237+42%Dec 434d2.3999+71%2.39

25,251+13%Dec 1848d1.3019,374+14%1.30

36,435+1%Jan 1576d1.3926,186+1%1.39

report · Feb 3 · before open · est.

ExpiryPutsCallsP/C

5 nearer expiries

Nov 66d9,248+4%5,007+3%1.85

Nov 1313d6,120+4%2,924+3%2.09

Nov 2020d18,620+2%19,665

Hatched = puts · solid = calls · bars scaled per expiry · chg = OI vs prior sessionSource: options EOD

Positioning

Linked exposure

scenario · straddle±13.2%

Funds 4

XLV±2.2%

VIG±0.5%

VUG±0.4%

GLO±0.2%

Suppliers 1

SDGR±5.5%×0.42

Dashed = straddle · × = co-movement · max 500dMethod 2 more funds Source: SEC filings · N-PORT · market data

Linked exposure

Revenue flow

as filedQ3 FY26

26.44%as filednet margin · revenue +6.19% QoQ · +38.61% YoY

Revenue

$24.4B+6.19% QoQ

Gross profit

$20.5B+3.85% QoQ

83.88% margin

Operating income

$8.6B−4.12% QoQ

35.28% margin

Pre-tax income

$8.4B−9.09% QoQ

Net income

$6.5B−9.08% QoQ

26.44% margin

Cost of revenue

$3.9B+20.35% QoQ

Operating expenses

$11.9B+10.51% QoQ

R&D $8.4B

SG&A $3.1B

Other operating $303M

Other expense

$202M

Tax

$2.0B−9.15% QoQ

Revenue$24.4B+6.19%

Gross profit

$20.5B+3.85%

83.88% margin

Operating income

$8.6B−4.12%

35.28% margin

Pre-tax income

$8.4B−9.09%

Net income

$6.5B−9.08%

26.44% margin

Cost of revenue

$3.9B+20.35%

Operating expenses

$11.9B+10.51%

R&D $8.4B

SG&A $3.1B

Other operating $303M

Other expense

$202M

Tax$2.0B−9.15%

flow · deduction · signed % = QoQSource: SEC filings · standardized · QE Sep 30 '26 · width = $

Revenue flow

Intraday

15m bars

Long dash = implied range · Oct 30 close · Hatch = extended hours · ▯ up · ▮ down · bars = volume, 15mSource: market data · 19:45 ET

Intraday

Event sensitivity

PCE ×1.43· ±2.2% vs ±1.6% · 19 releases

eventrelease day|move|up · n×base

PCEpersonal income & outlays±2.2%11 of 19×1.43

GDPgross domestic product±2.1%9 of 19×1.34

PPIproducer prices±1.5%6 of 11×0.96

CPROFcorporate profits±1.5%6 of 12×0.95

CPIconsumer prices±1.3%5 of 11×0.83

NFPjobs report±1.2%3 of 10×0.75

FOMCrate decision±0.9%12 of 25×0.60

Bar = avg |move| to ±3% · tick = ±1.6% avg day · ×base = |move| ÷ ±1.6% · min 6 releases

Earnings history

EPS 7.22 · consensus —

Quarter	Reported	EPS	Consensus
Q3 FY26	Oct 29 '26 · confirmed	7.22	—
Q2 FY26	Aug 5 '26 · confirmed	7.94	—
Q1 FY26	Apr 30 '26 · confirmed	8.26	—
Q3 FY25	Oct 30 '25 · confirmed	6.21	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod