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Cherry Hill Mortgage Investment Corp CHMI

REAL ESTATE · REIT - MORTGAGE
i

Market dataready · fetched 2026-10-23T03:51:55.169Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-22T23:00:00.003823692Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-23T03:51:52.178845+00:00

Share price$2.54
1D+0.8%
AH$2.51$2.52$2.54$2.55$2.575:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCHMI
Sold putSold callAH

Cherry Hill Mortgage Investment Corp options

Live interpolated CHMI call and put midpoint premiums by absolute delta.Cherry Hill Mortgage Investment Corp$0.13$1.42$2.72$4.02$5.31$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICECHMI PRICE$0.81$0.27$0.94$1.60$2.27$2.94$3.60$4.27$4.94
PutsExpensive1.85×
CallsExpensive3.29×
SkewBullish-103.67 pp
Implied move——
TiltBearish92.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ2.6529.1%6.4%
45Δ3.3245.2%6.0%
50Δ4.0061.2%5.6%
55Δ4.6877.3%5.2%
60Δ5.30189.0%140.5%5.3693.4%4.8%
65Δ6.03109.5%4.4%
70Δ6.71125.5%4.0%
75Δ7.39141.6%3.6%
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
2.65
IV
29.1%
B/E move
6.4%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.32
IV
45.2%
B/E move
6.0%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.00
IV
61.2%
B/E move
5.6%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.68
IV
77.3%
B/E move
5.2%

60Δ

Calls
Pseudo strike
5.30
IV
189.0%
B/E move
140.5%
Puts
Pseudo strike
5.36
IV
93.4%
B/E move
4.8%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.03
IV
109.5%
B/E move
4.4%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.71
IV
125.5%
B/E move
4.0%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.39
IV
141.6%
B/E move
3.6%

80Δ

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

Options history

No recorded observations