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Ellington Credit Company EARN

i

Market datapartial · fetched 2026-11-14T02:13:19.167Z

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 · 2026-11-14T00:00:00.002091217Z

FundamentalsAlpha Vantage · unavailable

Share price$3.25
1D-0.8%
AH$3.09$3.14$3.19$3.24$3.295:30 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$0.10$0.48$0.87$1.25$1.64$2.29$2.76$3.24$3.71$4.1920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive EARN spot · $3.25EARN PRICE$0.14$0.18$0.23$0.27$0.31$0.36$0.40$0.45$0.49$0.53$0.58$0.62$0.66$0.28$0.38$0.49$0.59$0.69$0.80$0.90$1.00$1.11$1.21$1.32$1.42$1.52
PutsExpensive1.61×
CallsExpensive1.37×
SkewBearish+5.09 pp
Implied moveBearish±$1.30
TiltBearish38.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ4.62189.0%46.5%2.86155.0%20.5%
25Δ4.48185.9%43.4%3.01158.4%19.1%
30Δ4.33182.8%40.2%3.16161.7%17.8%
35Δ4.18179.6%37.1%3.31165.1%16.4%
40Δ4.04176.5%33.9%3.45168.5%15.0%
45Δ3.89173.3%30.7%3.60171.9%13.7%
50Δ3.75170.2%27.6%3.75175.3%12.3%
55Δ3.60167.1%24.4%3.90178.7%10.9%
60Δ3.45163.9%21.3%4.05182.1%9.6%
65Δ3.31160.8%18.1%4.20185.4%8.2%
70Δ3.16157.6%15.0%4.35188.8%6.8%
75Δ3.01154.5%11.8%4.49192.2%5.4%
80Δ2.87151.3%8.7%4.64195.6%4.1%

20Δ

Calls
Pseudo strike
4.62
IV
189.0%
B/E move
46.5%
Puts
Pseudo strike
2.86
IV
155.0%
B/E move
20.5%

25Δ

Calls
Pseudo strike
4.48
IV
185.9%
B/E move
43.4%
Puts
Pseudo strike
3.01
IV
158.4%
B/E move
19.1%

30Δ

Calls
Pseudo strike
4.33
IV
182.8%
B/E move
40.2%
Puts
Pseudo strike
3.16
IV
161.7%
B/E move
17.8%

35Δ

Calls
Pseudo strike
4.18
IV
179.6%
B/E move
37.1%
Puts
Pseudo strike
3.31
IV
165.1%
B/E move
16.4%

40Δ

Calls
Pseudo strike
4.04
IV
176.5%
B/E move
33.9%
Puts
Pseudo strike
3.45
IV
168.5%
B/E move
15.0%

45Δ

Calls
Pseudo strike
3.89
IV
173.3%
B/E move
30.7%
Puts
Pseudo strike
3.60
IV
171.9%
B/E move
13.7%

50Δ

Calls
Pseudo strike
3.75
IV
170.2%
B/E move
27.6%
Puts
Pseudo strike
3.75
IV
175.3%
B/E move
12.3%

55Δ

Calls
Pseudo strike
3.60
IV
167.1%
B/E move
24.4%
Puts
Pseudo strike
3.90
IV
178.7%
B/E move
10.9%

60Δ

Calls
Pseudo strike
3.45
IV
163.9%
B/E move
21.3%
Puts
Pseudo strike
4.05
IV
182.1%
B/E move
9.6%

65Δ

Calls
Pseudo strike
3.31
IV
160.8%
B/E move
18.1%
Puts
Pseudo strike
4.20
IV
185.4%
B/E move
8.2%

70Δ

Calls
Pseudo strike
3.16
IV
157.6%
B/E move
15.0%
Puts
Pseudo strike
4.35
IV
188.8%
B/E move
6.8%

75Δ

Calls
Pseudo strike
3.01
IV
154.5%
B/E move
11.8%
Puts
Pseudo strike
4.49
IV
192.2%
B/E move
5.4%

80Δ

Calls
Pseudo strike
2.87
IV
151.3%
B/E move
8.7%
Puts
Pseudo strike
4.64
IV
195.6%
B/E move
4.1%

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations