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Chimera Investment Corp. CIM

REAL ESTATE · REIT - MORTGAGE
i

Market dataready · fetched 2026-11-11T05:54:52.211Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

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 · 2026-11-11T00:55:39.972254837Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-11T05:54:51.833244+00:00

Share price$7.02
1D-3.7%
AH$6.94$7.03$7.13$7.22$7.325:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCIM
Sold putSold callAH

Chimera Investment Corp. options

Live interpolated CIM call and put midpoint premiums by absolute delta.Chimera Investment Corp.$0.04$0.33$0.61$0.89$1.17$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICECIM PRICE$0.41$0.48$0.54$0.61$0.67$0.75$0.84$0.92$1.01$1.09$0.08$0.09$0.11$0.13$0.15$0.17
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ6.3360.1%10.9%
25Δ6.4656.9%9.3%
30Δ6.5953.6%7.8%
35Δ8.09167.9%21.0%6.7250.4%6.3%
40Δ7.87171.3%18.9%6.8447.2%4.7%
45Δ7.59162.9%15.8%6.9743.9%3.2%
50Δ7.31154.6%12.7%
55Δ7.03146.3%9.6%
60Δ6.84140.5%8.1%
65Δ6.66134.9%6.7%
70Δ6.48129.4%5.4%
75Δ6.30123.8%4.1%
80Δ6.12118.3%2.7%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.33
IV
60.1%
B/E move
10.9%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.46
IV
56.9%
B/E move
9.3%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.59
IV
53.6%
B/E move
7.8%

35Δ

Calls
Pseudo strike
8.09
IV
167.9%
B/E move
21.0%
Puts
Pseudo strike
6.72
IV
50.4%
B/E move
6.3%

40Δ

Calls
Pseudo strike
7.87
IV
171.3%
B/E move
18.9%
Puts
Pseudo strike
6.84
IV
47.2%
B/E move
4.7%

45Δ

Calls
Pseudo strike
7.59
IV
162.9%
B/E move
15.8%
Puts
Pseudo strike
6.97
IV
43.9%
B/E move
3.2%

50Δ

Calls
Pseudo strike
7.31
IV
154.6%
B/E move
12.7%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
7.03
IV
146.3%
B/E move
9.6%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
6.84
IV
140.5%
B/E move
8.1%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
6.66
IV
134.9%
B/E move
6.7%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
6.48
IV
129.4%
B/E move
5.4%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
6.30
IV
123.8%
B/E move
4.1%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
6.12
IV
118.3%
B/E move
2.7%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend61.89%
Daily EOD
CIM36.7%50.2%63.8%2026-10-19: 48.43%2026-10-20: 38.54%2026-10-21: 60.88%2026-10-22: 45.00%2026-10-23: 40.11%2026-10-26: 45.71%2026-10-27: 58.69%2026-10-28: 39.92%2026-10-29: 42.47%2026-10-30: 61.89%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
48.43%
38.54%
60.88%
45.00%
40.11%
45.71%
58.69%
39.92%
42.47%
61.89%