The Molineux outfit made the decision to sack Lage on Sunday night after just more than a year in the hot seat.
Wolves have made a slow start to the campaign, having picked up six points from their opening eight Premier League games.
And after suffering a 2-0 loss to West Ham United, the axe has been wielded on Lage.
Wolves are now on the lookout for a new manager, with Sporting Lisbon chief Ruben Amorim the current favourite with the bookmakers.
However, whoever succeeds Lage will not be able to recall Coady, LiverpoolWorld understands.
The centre-back joined Everton on a season-long loan from the midlands outfit in August.
He's made a huge impact at Goodison Park already and scored his first goal in the Toffees’ 2-1 defeat of Southampton on Saturday.
More impressively, the England international has ensured Frank Lampard’s side boast the best defensive record in the top flight, conceding seven goals from as many games.
And it's understood that Wolves have no option to bring back Coady from Everton during the course of the season.
In addition, the Blues have the option to buy the 29-year-old on a permanent basis.
Speaking after the victory over Southampton, Coady told Everton’s website: “We want to go again - we want to get better.
“The gaffer has spoken about this being the start not the end of where we want to get to and I think that’s the best way to look at it.
“We’re trying to get better and the manager is improving us. We need to keep listening to him every day because he’s a brilliant manager.
“We’ll enjoy today, we’ll recover and then we’ll go again for what is a big game next week.”