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Chimera Investment Corp. CIM

i

Market datapartial · fetched 2026-11-06T20:51:58.781Z

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 · 2026-11-06T20:51:55.233795519Z

FundamentalsAlpha Vantage · unavailable

Share price$7.30
1D-7.0%
$7.20$7.39$7.57$7.76$7.955:30 AM6:30 AM9:00 AM1:00 PMCIM
Sold putSold call

Chimera Investment Corp. options

Live interpolated CIM call and put midpoint premiums by absolute delta.Chimera Investment Corp.$0.00$1.29$2.59$3.88$5.17$5.20$6.19$7.18$8.17$9.1620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive CIM spot · $7.29CIM PRICE$0.29$0.30$0.32$0.33$0.35$0.37$0.39$0.40$0.42$2.04$0.08$0.11$0.16$0.62$1.08$1.55$2.01$2.47$2.94$3.40$3.87$4.33$4.79
PutsExpensive1.62×
Calls——
Skew——
Implied moveBearish±$2.36
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ6.5953.6%10.8%
25Δ6.8048.9%8.2%
30Δ8.58121.1%21.6%7.0345.7%5.7%
35Δ8.0398.8%14.2%7.5163.1%5.5%
40Δ7.8790.4%12.2%7.9980.4%5.3%
45Δ7.7382.7%10.5%8.4797.8%5.1%
50Δ7.5875.1%8.8%8.95115.2%4.8%
55Δ7.4467.5%7.1%9.44132.6%4.6%
60Δ7.3059.8%5.4%9.92150.0%4.4%
65Δ7.1652.2%3.7%10.40167.3%4.1%
70Δ7.0244.5%2.0%10.88184.7%3.9%
75Δ11.36202.1%3.7%
80Δ5.64198.2%5.3%11.84219.5%3.4%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.59
IV
53.6%
B/E move
10.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.80
IV
48.9%
B/E move
8.2%

30Δ

Calls
Pseudo strike
8.58
IV
121.1%
B/E move
21.6%
Puts
Pseudo strike
7.03
IV
45.7%
B/E move
5.7%

35Δ

Calls
Pseudo strike
8.03
IV
98.8%
B/E move
14.2%
Puts
Pseudo strike
7.51
IV
63.1%
B/E move
5.5%

40Δ

Calls
Pseudo strike
7.87
IV
90.4%
B/E move
12.2%
Puts
Pseudo strike
7.99
IV
80.4%
B/E move
5.3%

45Δ

Calls
Pseudo strike
7.73
IV
82.7%
B/E move
10.5%
Puts
Pseudo strike
8.47
IV
97.8%
B/E move
5.1%

50Δ

Calls
Pseudo strike
7.58
IV
75.1%
B/E move
8.8%
Puts
Pseudo strike
8.95
IV
115.2%
B/E move
4.8%

55Δ

Calls
Pseudo strike
7.44
IV
67.5%
B/E move
7.1%
Puts
Pseudo strike
9.44
IV
132.6%
B/E move
4.6%

60Δ

Calls
Pseudo strike
7.30
IV
59.8%
B/E move
5.4%
Puts
Pseudo strike
9.92
IV
150.0%
B/E move
4.4%

65Δ

Calls
Pseudo strike
7.16
IV
52.2%
B/E move
3.7%
Puts
Pseudo strike
10.40
IV
167.3%
B/E move
4.1%

70Δ

Calls
Pseudo strike
7.02
IV
44.5%
B/E move
2.0%
Puts
Pseudo strike
10.88
IV
184.7%
B/E move
3.9%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
11.36
IV
202.1%
B/E move
3.7%

80Δ

Calls
Pseudo strike
5.64
IV
198.2%
B/E move
5.3%
Puts
Pseudo strike
11.84
IV
219.5%
B/E move
3.4%

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%