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Chimera Investment Corp. CIM

REAL ESTATE · REIT - MORTGAGE
i

Market dataready · fetched 2026-11-05T22:12:25.715Z

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 · 2026-11-05T21:54:49.171345631Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-05T22:12:23.303308+00:00

Share price$7.94
1D+0.8%
AH$7.65$7.83$8.02$8.21$8.395:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCIM
Sold putSold callAH

Chimera Investment Corp. options

Live interpolated CIM call and put midpoint premiums by absolute delta.Chimera Investment Corp.$0.03$0.59$1.15$1.71$2.27$6.62$7.22$7.82$8.41$9.0120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive CIM spot · $7.94CIM PRICE$0.22$0.25$0.29$0.32$0.54$0.75$0.97$1.18$1.40$1.61$0.09$0.11$0.14$0.16$0.19$0.22$0.24$0.45$0.79$1.12$1.45$1.78$2.11
PutsCheap0.69×
Calls——
Skew——
Implied moveBullish±$0.56
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ7.2842.3%9.4%
25Δ7.3941.2%8.3%
30Δ7.5140.0%7.2%
35Δ8.3649.9%8.0%7.6238.9%6.1%
40Δ8.2451.3%7.0%7.7337.7%5.0%
45Δ8.1252.6%5.9%7.8436.6%3.9%
50Δ8.0054.0%4.9%7.9635.5%2.8%
55Δ7.7662.0%4.4%8.2239.3%2.2%
60Δ7.5170.1%4.0%8.5746.2%2.0%
65Δ7.2678.3%3.6%8.9253.2%1.7%
70Δ7.0186.4%3.1%9.2760.1%1.5%
75Δ6.7694.6%2.7%9.6267.0%1.2%
80Δ6.51102.7%2.3%9.9874.0%0.9%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.28
IV
42.3%
B/E move
9.4%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.39
IV
41.2%
B/E move
8.3%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.51
IV
40.0%
B/E move
7.2%

35Δ

Calls
Pseudo strike
8.36
IV
49.9%
B/E move
8.0%
Puts
Pseudo strike
7.62
IV
38.9%
B/E move
6.1%

40Δ

Calls
Pseudo strike
8.24
IV
51.3%
B/E move
7.0%
Puts
Pseudo strike
7.73
IV
37.7%
B/E move
5.0%

45Δ

Calls
Pseudo strike
8.12
IV
52.6%
B/E move
5.9%
Puts
Pseudo strike
7.84
IV
36.6%
B/E move
3.9%

50Δ

Calls
Pseudo strike
8.00
IV
54.0%
B/E move
4.9%
Puts
Pseudo strike
7.96
IV
35.5%
B/E move
2.8%

55Δ

Calls
Pseudo strike
7.76
IV
62.0%
B/E move
4.4%
Puts
Pseudo strike
8.22
IV
39.3%
B/E move
2.2%

60Δ

Calls
Pseudo strike
7.51
IV
70.1%
B/E move
4.0%
Puts
Pseudo strike
8.57
IV
46.2%
B/E move
2.0%

65Δ

Calls
Pseudo strike
7.26
IV
78.3%
B/E move
3.6%
Puts
Pseudo strike
8.92
IV
53.2%
B/E move
1.7%

70Δ

Calls
Pseudo strike
7.01
IV
86.4%
B/E move
3.1%
Puts
Pseudo strike
9.27
IV
60.1%
B/E move
1.5%

75Δ

Calls
Pseudo strike
6.76
IV
94.6%
B/E move
2.7%
Puts
Pseudo strike
9.62
IV
67.0%
B/E move
1.2%

80Δ

Calls
Pseudo strike
6.51
IV
102.7%
B/E move
2.3%
Puts
Pseudo strike
9.98
IV
74.0%
B/E move
0.9%

Options history

IV · four-Friday blend61.89%
Daily EOD
CIM36.7%50.2%63.8%2026-10-19: 48.43%2026-10-20: 38.54%2026-10-21: 60.88%2026-10-22: 45.00%2026-10-23: 40.11%2026-10-26: 45.71%2026-10-27: 58.69%2026-10-28: 39.92%2026-10-29: 42.47%2026-10-30: 61.89%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
48.43%
38.54%
60.88%
45.00%
40.11%
45.71%
58.69%
39.92%
42.47%
61.89%