Eli Lilly & Co. (NYSE: LLY) November weekly call option implied volatility is at 78, December is at 70, January is at 49; compared to its 52-week range of 14 to 64 into the solanezumab data for Alzheimer's.

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Eli Lilly (LLY) PT Cut to $92 at Leerink PartnersNovember 23, 2016 2:57 PM BMO Capital Downgrades Eli Lilly (LLY) to Market Perform Following Sola's FailureNovember 23, 2016 1:48 PM Eli Lilly & Co. (LLY) AD Portfolio Uncertain Following Sola Failure - LeerinkNovember 23, 2016 7:48 AM Eli Lilly & Co. (LLY) CEO Lechleite Not Concerned About Dividend - CNBCNovember 23, 2016 7:22 AM Eli Lilly & Co. (LLY) Sinks 11% on Solanezumab FailureNovember 23, 2016 6:54 AM