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Ellington Credit Company EARN

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Market datapartial · fetched 2026-10-22T23:20:54.358Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-22T23:00:00.00296234Z

FundamentalsAlpha Vantage · unavailable

Share price$3.58
1D+4.0%
AH$3.44$3.49$3.54$3.59$3.645:30 AM6:30 AM9:00 AM1:00 PM2:00 PMEARN
Sold putSold callAH

Ellington Credit Company options

Live interpolated EARN call and put midpoint premiums by absolute delta.Ellington Credit Company$0.12$1.12$2.12$3.12$4.12$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICEEARN PRICE$0.23$0.31$0.39$0.47$0.55$0.64$0.72$0.80$0.88$0.96$1.05$1.13$1.21$2.49$3.83
PutsExpensive3.91×
CallsExpensive2.42×
SkewBearish+87.03 pp
Implied move——
TiltBullish19.2% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ4.6092.1%34.8%
25Δ4.4398.3%32.5%
30Δ4.27104.6%30.2%
35Δ4.11110.8%27.9%
40Δ3.94117.0%25.6%
45Δ3.78123.2%23.3%
50Δ3.61129.5%21.0%
55Δ3.45135.7%18.7%
60Δ3.29141.9%16.4%
65Δ3.12148.2%14.1%
70Δ2.96154.4%11.8%5.81196.0%7.4%
75Δ2.79160.6%9.5%7.17237.1%6.6%
80Δ2.63166.9%7.3%

20Δ

Calls
Pseudo strike
4.60
IV
92.1%
B/E move
34.8%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
4.43
IV
98.3%
B/E move
32.5%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
4.27
IV
104.6%
B/E move
30.2%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
4.11
IV
110.8%
B/E move
27.9%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
3.94
IV
117.0%
B/E move
25.6%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
3.78
IV
123.2%
B/E move
23.3%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
3.61
IV
129.5%
B/E move
21.0%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
3.45
IV
135.7%
B/E move
18.7%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
3.29
IV
141.9%
B/E move
16.4%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
3.12
IV
148.2%
B/E move
14.1%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
2.96
IV
154.4%
B/E move
11.8%
Puts
Pseudo strike
5.81
IV
196.0%
B/E move
7.4%

75Δ

Calls
Pseudo strike
2.79
IV
160.6%
B/E move
9.5%
Puts
Pseudo strike
7.17
IV
237.1%
B/E move
6.6%

80Δ

Calls
Pseudo strike
2.63
IV
166.9%
B/E move
7.3%
Puts
Pseudo strike
IV
B/E move

Options history

No recorded observations