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Ellington Financial Inc. Common Stock EFC

i

Market datapartial · fetched 2026-11-12T02:40:40.649Z

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: 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 · 2026-11-12T00:00:00.002525417Z

FundamentalsAlpha Vantage · unavailable

Share price$11.17
1D-1.4%
AH$11.14$11.21$11.27$11.34$11.415:30 AM6:30 AM9:00 AM1:00 PM2:00 PMEFC
Sold putSold callAH

Ellington Financial Inc. Common Stock options

Live interpolated EFC call and put midpoint premiums by absolute delta.Ellington Financial Inc. Common Stock$0.18$0.51$0.83$1.15$1.47$9.42$10.29$11.17$12.05$12.9220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive EFC spot · $11.17EFC PRICE$0.39$0.47$0.55$0.64$0.72$0.80$0.88$0.96$1.04$1.12$1.20$0.22$0.32$0.43$0.54$0.64$0.75$0.85$0.96$1.06$1.17$1.28$1.38
Puts——
Calls——
Skew——
Implied moveBearish±$1.57
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ10.2236.5%10.5%
25Δ10.4136.9%9.7%
30Δ11.7826.2%9.0%10.6137.2%8.9%
35Δ11.6227.0%8.3%10.8137.5%8.1%
40Δ11.4627.7%7.6%11.0037.9%7.2%
45Δ11.3028.5%6.9%11.2038.2%6.4%
50Δ11.1529.3%6.2%11.3938.5%5.6%
55Δ10.9930.0%5.5%11.5938.9%4.8%
60Δ10.8330.8%4.8%11.7939.2%4.0%
65Δ10.6731.6%4.1%11.9839.5%3.2%
70Δ10.5132.3%3.4%12.1839.9%2.4%
75Δ10.3533.1%2.7%12.3740.2%1.6%
80Δ10.2033.9%2.0%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
10.22
IV
36.5%
B/E move
10.5%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
10.41
IV
36.9%
B/E move
9.7%

30Δ

Calls
Pseudo strike
11.78
IV
26.2%
B/E move
9.0%
Puts
Pseudo strike
10.61
IV
37.2%
B/E move
8.9%

35Δ

Calls
Pseudo strike
11.62
IV
27.0%
B/E move
8.3%
Puts
Pseudo strike
10.81
IV
37.5%
B/E move
8.1%

40Δ

Calls
Pseudo strike
11.46
IV
27.7%
B/E move
7.6%
Puts
Pseudo strike
11.00
IV
37.9%
B/E move
7.2%

45Δ

Calls
Pseudo strike
11.30
IV
28.5%
B/E move
6.9%
Puts
Pseudo strike
11.20
IV
38.2%
B/E move
6.4%

50Δ

Calls
Pseudo strike
11.15
IV
29.3%
B/E move
6.2%
Puts
Pseudo strike
11.39
IV
38.5%
B/E move
5.6%

55Δ

Calls
Pseudo strike
10.99
IV
30.0%
B/E move
5.5%
Puts
Pseudo strike
11.59
IV
38.9%
B/E move
4.8%

60Δ

Calls
Pseudo strike
10.83
IV
30.8%
B/E move
4.8%
Puts
Pseudo strike
11.79
IV
39.2%
B/E move
4.0%

65Δ

Calls
Pseudo strike
10.67
IV
31.6%
B/E move
4.1%
Puts
Pseudo strike
11.98
IV
39.5%
B/E move
3.2%

70Δ

Calls
Pseudo strike
10.51
IV
32.3%
B/E move
3.4%
Puts
Pseudo strike
12.18
IV
39.9%
B/E move
2.4%

75Δ

Calls
Pseudo strike
10.35
IV
33.1%
B/E move
2.7%
Puts
Pseudo strike
12.37
IV
40.2%
B/E move
1.6%

80Δ

Calls
Pseudo strike
10.20
IV
33.9%
B/E move
2.0%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend26.98%
Daily close
EFC22.4%49.9%77.5%2026-09-16: 73.71%2026-09-18: 26.17%2026-09-21: 47.03%2026-09-23: 27.37%2026-09-24: 26.98%Sep 16Sep 21Sep 24
5 observations2026-09-16 — 2026-09-24
Table
DateIV (%)
73.71%
26.17%
47.03%
27.37%
26.98%