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On September 25, 2025,
(LLY) recorded a trading volume of $3.68 billion, marking a 121.05% increase from the previous day's volume. This surge placed the stock at the 21st position in terms of trading activity among listed equities. Meanwhile, share price fell by 3.67% during the session.The heightened liquidity in
appears tied to broader institutional activity and market positioning shifts. Analysts noted that the volume spike exceeded typical patterns observed in biotech and pharmaceutical sectors, suggesting potential portfolio rebalancing or derivative-related trading. However, no specific earnings reports, regulatory updates, or partnership announcements were disclosed to directly correlate with the price movement.Market participants remain cautious about the sustainability of the volume spike, as post-session data showed mixed positioning across key derivative contracts. Open interest in LLY options remained stable, with no significant directional bias emerging in put/call ratios. This contrasts with prior instances where similar volume surges were followed by extended price trends.
To run this back-test accurately, I need to pin down a few practical details: Universe • Do you want to screen the entire U.S. stock universe each day, or restrict it to a subset (e.g., only stocks in the S&P 500, Russell 3000, NASDAQ, etc.)? • Should ADRs, ETFs, and penny stocks be excluded? Ranking metric • “Top 500 by daily trading volume” – do you mean share volume or dollar volume (volume × close price)? • Equal-weight the 500 names each day, or weight by volume (or something else)? Trading assumptions • Any transaction-cost estimate you’d like us to include (e.g., 5 bp per side)? • Slippage assumptions, or is “point-in-time close-to-close” good enough? Data availability vs. run-time • Pulling and processing volume data for thousands of stocks over 3+ years can be heavy. • If you prefer a quicker first pass, we can limit the universe (e.g., Russell 1000) and refine later. Let me know which way you’d like to go. Once I have these details, I’ll generate a data-retrieval plan and run the back-test for you.

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