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Ellington Residential Mortgage EARN

FINANCIAL SERVICES · ASSET MANAGEMENT
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Market datapartial · fetched 2026-10-24T04:26:13.732Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-10-23T23:00:00.0039871Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-24T04:26:13.126769+00:00

Share price$3.63
1D+1.8%
AH$3.51$3.54$3.58$3.61$3.645:30 AM6:30 AM9:00 AM1:00 PM2:00 PMEARN
Sold putSold callAH

Ellington Residential Mortgage options

Live interpolated EARN call and put midpoint premiums by absolute delta.Ellington Residential Mortgage$0.32$1.23$2.14$3.05$3.96$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICEEARN PRICE$0.42$0.59$0.76$0.92$1.09$1.26$1.43$1.59$1.76$2.38$3.04$3.70
PutsExpensive3.51×
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ2.58177.8%40.4%
25Δ2.88174.0%36.8%
30Δ3.18170.2%33.2%
35Δ3.48166.5%29.6%
40Δ3.78162.7%25.9%
45Δ4.08158.9%22.3%
50Δ4.38155.1%18.7%
55Δ4.68151.3%15.1%
60Δ4.98147.6%11.5%
65Δ5.66153.0%9.5%
70Δ6.39159.2%7.7%
75Δ7.11165.5%5.9%
80Δ

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.58
IV
177.8%
B/E move
40.4%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.88
IV
174.0%
B/E move
36.8%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.18
IV
170.2%
B/E move
33.2%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.48
IV
166.5%
B/E move
29.6%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.78
IV
162.7%
B/E move
25.9%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.08
IV
158.9%
B/E move
22.3%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.38
IV
155.1%
B/E move
18.7%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.68
IV
151.3%
B/E move
15.1%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.98
IV
147.6%
B/E move
11.5%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.66
IV
153.0%
B/E move
9.5%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.39
IV
159.2%
B/E move
7.7%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.11
IV
165.5%
B/E move
5.9%

80Δ

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

Options history

No recorded observations