Eli Lilly & Co LLY 1417.99 8.61 0.61% Regime: Vol Expansion (65%)
Expected move
November 04, 2026 close · $1422.05| Horizon | Expected move | Typical range | 2 in 3 closes | 9 in 10 closes |
|---|---|---|---|---|
| Next session | ±1.4% ±$19.76 | $1402.28 – $1441.81 | $1398.44 – $1445.65 | $1379.81 – $1464.28 |
| 2 sessions | ±1.9% ±$27.44 | $1394.60 – $1449.49 | $1388.77 – $1455.32 | $1362.89 – $1481.20 |
| 3 sessions | ±2.5% ±$35.41 | $1386.64 – $1457.46 | $1379.67 – $1464.42 | $1346.54 – $1497.56 |
| 1 week | ±3.2% ±$46.07 | $1375.97 – $1468.12 | $1365.73 – $1478.36 | $1323.93 – $1520.17 |
| 2 weeks | ±4.5% ±$63.42 | $1358.62 – $1485.47 | $1343.55 – $1500.54 | $1286.67 – $1557.43 |
| 3 weeks | ±5.5% ±$77.78 | $1344.26 – $1499.83 | $1325.35 – $1518.75 | $1257.66 – $1586.44 |
| 1 month | ±6.5% ±$92.86 | $1329.19 – $1514.91 | $1306.15 – $1537.94 | $1225.24 – $1618.86 |
Earnings: priced against what happened
Average implied move
±6.15%
Average actual move
8.40%
Beyond the implied move
4 / 6
Median IV change
-23.62%
| Reaction session | Implied | Actual | Used | ATM IV before → after |
|---|---|---|---|---|
| October 29, 2026 | ±6.17% | +6.63% | 1.07× | 46.6% → 35.6% |
| August 05, 2026 | ±7.71% | +4.86% | 0.63× | 51.1% → 36.4% |
| April 30, 2026 | ±6.39% | +9.80% | 1.53× | 51.7% → 42.3% |
| August 07, 2025 | ±6.34% | -14.14% | 2.23× | — |
| May 01, 2025 | ±5.03% | -11.66% | 2.32× | 41.3% → 41.9% |
| February 06, 2025 | ±5.26% | +3.35% | 0.64× | 39.1% → 25.7% |