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PennyMac Financial Services, Inc. Common Stock PFSI

FINANCIAL SERVICES · MORTGAGE FINANCE
i

Market dataready · fetched 2026-11-12T15:11:18.374Z

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 · 2026-11-12T15:09:59.105730303Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T15:11:17.813208+00:00

Share price$62.65
1D-0.1%
$62.61$62.68$62.76$62.84$62.915:30 AM6:30 AM9:00 AM1:00 PMPFSI
Sold putSold call

PennyMac Financial Services, Inc. Common Stock options

Live interpolated PFSI call and put midpoint premiums by absolute delta.PennyMac Financial Services, Inc. Common Stock$0.47$2.12$3.77$5.41$7.06$55.33$58.82$62.30$65.78$69.2720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive PFSI spot · $62.65PFSI PRICE$0.65$0.85$1.06$1.26$1.52$1.80$2.08$2.36$2.63$2.91$3.19$3.58$4.62$0.92$1.22$1.52$1.77$1.95$2.13$2.30$2.48$2.66$2.84$3.02$4.77$6.58
PutsExpensive1.31×
CallsExpensive1.60×
SkewBearish+8.24 pp
Implied moveBearish±$4.38
TiltBearish9.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ68.5061.7%10.4%57.0775.3%10.4%
25Δ67.4160.9%9.0%58.1976.2%9.1%
30Δ66.3160.1%7.5%59.3177.1%7.8%
35Δ65.2259.3%6.1%60.2675.9%6.6%
40Δ64.4858.0%5.3%60.9371.3%5.9%
45Δ63.8256.6%4.7%61.6066.6%5.1%
50Δ63.1755.2%4.1%62.2862.0%4.3%
55Δ62.5253.8%3.5%62.9557.3%3.5%
60Δ61.8652.4%2.9%63.6352.7%2.7%
65Δ61.2151.0%2.3%64.3048.0%1.9%
70Δ60.5549.6%1.7%64.9743.4%1.1%
75Δ59.8248.6%1.2%66.8153.7%1.0%
80Δ58.6350.1%1.0%68.6964.7%0.9%

20Δ

Calls
Pseudo strike
68.50
IV
61.7%
B/E move
10.4%
Puts
Pseudo strike
57.07
IV
75.3%
B/E move
10.4%

25Δ

Calls
Pseudo strike
67.41
IV
60.9%
B/E move
9.0%
Puts
Pseudo strike
58.19
IV
76.2%
B/E move
9.1%

30Δ

Calls
Pseudo strike
66.31
IV
60.1%
B/E move
7.5%
Puts
Pseudo strike
59.31
IV
77.1%
B/E move
7.8%

35Δ

Calls
Pseudo strike
65.22
IV
59.3%
B/E move
6.1%
Puts
Pseudo strike
60.26
IV
75.9%
B/E move
6.6%

40Δ

Calls
Pseudo strike
64.48
IV
58.0%
B/E move
5.3%
Puts
Pseudo strike
60.93
IV
71.3%
B/E move
5.9%

45Δ

Calls
Pseudo strike
63.82
IV
56.6%
B/E move
4.7%
Puts
Pseudo strike
61.60
IV
66.6%
B/E move
5.1%

50Δ

Calls
Pseudo strike
63.17
IV
55.2%
B/E move
4.1%
Puts
Pseudo strike
62.28
IV
62.0%
B/E move
4.3%

55Δ

Calls
Pseudo strike
62.52
IV
53.8%
B/E move
3.5%
Puts
Pseudo strike
62.95
IV
57.3%
B/E move
3.5%

60Δ

Calls
Pseudo strike
61.86
IV
52.4%
B/E move
2.9%
Puts
Pseudo strike
63.63
IV
52.7%
B/E move
2.7%

65Δ

Calls
Pseudo strike
61.21
IV
51.0%
B/E move
2.3%
Puts
Pseudo strike
64.30
IV
48.0%
B/E move
1.9%

70Δ

Calls
Pseudo strike
60.55
IV
49.6%
B/E move
1.7%
Puts
Pseudo strike
64.97
IV
43.4%
B/E move
1.1%

75Δ

Calls
Pseudo strike
59.82
IV
48.6%
B/E move
1.2%
Puts
Pseudo strike
66.81
IV
53.7%
B/E move
1.0%

80Δ

Calls
Pseudo strike
58.63
IV
50.1%
B/E move
1.0%
Puts
Pseudo strike
68.69
IV
64.7%
B/E move
0.9%

Options history

IV · four-Friday blend39.04%
Daily EOD
PFSI38.5%42.6%46.7%2026-10-19: 45.04%2026-10-20: 44.08%2026-10-21: 45.92%2026-10-22: 42.11%2026-10-23: 45.65%2026-10-26: 46.14%2026-10-27: 45.76%2026-10-28: 45.47%2026-10-29: 44.04%2026-10-30: 39.04%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
45.04%
44.08%
45.92%
42.11%
45.65%
46.14%
45.76%
45.47%
44.04%
39.04%