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PennyMac Mortgage Investment Trust PMT

REAL ESTATE · REIT - MORTGAGE
i

Market dataready · fetched 2026-11-12T02:53:22.440Z

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 · 2026-11-12T00:51:28.154839607Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T02:53:21.706166+00:00

Share price$7.48
1D-5.5%
AH$7.41$7.57$7.72$7.88$8.045:30 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$0.17$0.78$1.39$1.99$2.60$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEPMT PRICE$0.24$0.27$0.30$0.32$0.35$0.38$0.55$0.92$1.30$1.67$2.05$2.42
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ13.97124.6%89.9%
30Δ12.81109.8%74.9%
35Δ11.6695.0%59.8%
40Δ10.5080.2%44.8%
45Δ9.3565.4%29.7%
50Δ8.1950.6%14.7%
55Δ7.3548.7%5.6%
60Δ6.9766.3%5.5%
65Δ6.5884.0%5.4%
70Δ6.20101.6%5.3%
75Δ5.82119.2%5.2%
80Δ5.44136.8%5.1%

20Δ

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

25Δ

Calls
Pseudo strike
13.97
IV
124.6%
B/E move
89.9%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
12.81
IV
109.8%
B/E move
74.9%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
11.66
IV
95.0%
B/E move
59.8%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
10.50
IV
80.2%
B/E move
44.8%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
9.35
IV
65.4%
B/E move
29.7%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
8.19
IV
50.6%
B/E move
14.7%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
7.35
IV
48.7%
B/E move
5.6%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
6.97
IV
66.3%
B/E move
5.5%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
6.58
IV
84.0%
B/E move
5.4%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
6.20
IV
101.6%
B/E move
5.3%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
5.82
IV
119.2%
B/E move
5.2%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
5.44
IV
136.8%
B/E move
5.1%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend45.09%
Daily EOD
PMT45.0%45.1%45.1%2026-10-30: 45.09%Oct 30
1 observations2026-10-30 — 2026-10-30
Table
DateIV (%)
45.09%