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PennyMac Mortgage Investment Trust PMT

REAL ESTATE · REIT - MORTGAGE
i

Market dataready · fetched 2026-10-22T23:49:11.341Z

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 · 2026-10-22T23:00:00.00300192Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-22T23:49:10.026551+00:00

Share price$7.01
1D+0.9%
AH$6.93$6.99$7.05$7.11$7.175:30 AM6:30 AM9:00 AM1:00 PM2:00 PMPMT
Sold putSold callAH

PennyMac Mortgage Investment Trust options

Live interpolated PMT call and put midpoint premiums by absolute delta.PennyMac Mortgage Investment Trust$0.05$2.18$4.31$6.44$8.57$3.91$5.41$6.92$8.43$9.9420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive PMT spot · $7.01PMT PRICE$0.72$0.28$0.50$0.71$0.93$1.14$1.36$1.57$1.79$2.01$2.22$0.50$0.51$0.52$0.53$0.54$0.55$0.56$0.57$0.58$0.59$0.60$5.18$7.95
PutsExpensive2.23×
CallsExpensive2.45×
SkewBearish+9.08 pp
Implied moveBullish±$1.49
TiltBearish18.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ5.08187.0%34.7%
25Δ5.32172.3%31.4%
30Δ16.22290.0%141.7%5.56157.6%28.2%
35Δ7.3850.0%9.3%5.80142.9%24.9%
40Δ7.1461.5%8.9%6.04128.2%21.6%
45Δ6.8973.0%8.4%6.28113.5%18.3%
50Δ6.6484.5%8.0%6.5298.8%15.0%
55Δ6.4096.1%7.6%6.7684.2%11.8%
60Δ6.15107.6%7.2%6.9969.5%8.5%
65Δ5.91119.1%6.8%7.2354.8%5.2%
70Δ5.66130.6%6.3%7.4740.1%1.9%
75Δ5.42142.1%5.9%11.80191.0%5.6%
80Δ5.17153.6%5.5%14.64223.9%4.6%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.08
IV
187.0%
B/E move
34.7%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.32
IV
172.3%
B/E move
31.4%

30Δ

Calls
Pseudo strike
16.22
IV
290.0%
B/E move
141.7%
Puts
Pseudo strike
5.56
IV
157.6%
B/E move
28.2%

35Δ

Calls
Pseudo strike
7.38
IV
50.0%
B/E move
9.3%
Puts
Pseudo strike
5.80
IV
142.9%
B/E move
24.9%

40Δ

Calls
Pseudo strike
7.14
IV
61.5%
B/E move
8.9%
Puts
Pseudo strike
6.04
IV
128.2%
B/E move
21.6%

45Δ

Calls
Pseudo strike
6.89
IV
73.0%
B/E move
8.4%
Puts
Pseudo strike
6.28
IV
113.5%
B/E move
18.3%

50Δ

Calls
Pseudo strike
6.64
IV
84.5%
B/E move
8.0%
Puts
Pseudo strike
6.52
IV
98.8%
B/E move
15.0%

55Δ

Calls
Pseudo strike
6.40
IV
96.1%
B/E move
7.6%
Puts
Pseudo strike
6.76
IV
84.2%
B/E move
11.8%

60Δ

Calls
Pseudo strike
6.15
IV
107.6%
B/E move
7.2%
Puts
Pseudo strike
6.99
IV
69.5%
B/E move
8.5%

65Δ

Calls
Pseudo strike
5.91
IV
119.1%
B/E move
6.8%
Puts
Pseudo strike
7.23
IV
54.8%
B/E move
5.2%

70Δ

Calls
Pseudo strike
5.66
IV
130.6%
B/E move
6.3%
Puts
Pseudo strike
7.47
IV
40.1%
B/E move
1.9%

75Δ

Calls
Pseudo strike
5.42
IV
142.1%
B/E move
5.9%
Puts
Pseudo strike
11.80
IV
191.0%
B/E move
5.6%

80Δ

Calls
Pseudo strike
5.17
IV
153.6%
B/E move
5.5%
Puts
Pseudo strike
14.64
IV
223.9%
B/E move
4.6%

Options history

No recorded observations