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CHERRY HILL MORTGAGE INVESTMENT CORPORATION CHMI

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Market datapartial · fetched 2026-11-12T03:15:48.890Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-03-19

Calculation methodology

Options historyIV: ThetaData historical Greeks, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-12T00:00:00.003750124Z

FundamentalsAlpha Vantage · unavailable

Share price$2.23
1D-3.0%
AH$2.20$2.23$2.26$2.29$2.325:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCHMI
Sold putSold callAH

CHERRY HILL MORTGAGE INVESTMENT CORPORATION options

Live interpolated CHMI call and put midpoint premiums by absolute delta.CHERRY HILL MORTGAGE INVESTMENT CORPORATION$0.70$1.20$1.71$2.21$2.71$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICECHMI PRICE$0.75$0.76$0.77$0.77$1.07$1.37$1.67$1.97$2.27$2.57
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ
45Δ2.58105.9%18.8%
50Δ2.93107.3%16.4%
55Δ6.93265.0%244.5%3.28108.7%14.0%
60Δ4.77217.1%148.2%3.64110.1%11.6%
65Δ2.61169.1%51.9%3.99111.5%9.3%
70Δ4.34112.9%6.9%
75Δ4.70114.4%4.5%
80Δ

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.58
IV
105.9%
B/E move
18.8%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.93
IV
107.3%
B/E move
16.4%

55Δ

Calls
Pseudo strike
6.93
IV
265.0%
B/E move
244.5%
Puts
Pseudo strike
3.28
IV
108.7%
B/E move
14.0%

60Δ

Calls
Pseudo strike
4.77
IV
217.1%
B/E move
148.2%
Puts
Pseudo strike
3.64
IV
110.1%
B/E move
11.6%

65Δ

Calls
Pseudo strike
2.61
IV
169.1%
B/E move
51.9%
Puts
Pseudo strike
3.99
IV
111.5%
B/E move
9.3%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.34
IV
112.9%
B/E move
6.9%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.70
IV
114.4%
B/E move
4.5%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations