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Ellington Credit Company EARN

i

Market datapartial · fetched 2026-11-04T09:31:11.449Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-03-19

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 · 2026-11-04T00:00:00.003223415Z

FundamentalsAlpha Vantage · unavailable

Share price$3.35
1D+0.9%
AH$3.29$3.30$3.32$3.34$3.365:30 AM6:30 AM9:00 AM1:00 PM2:00 PMEARN
Sold putSold callAH

Ellington Credit Company options

Live interpolated EARN call and put midpoint premiums by absolute delta.Ellington Credit Company$0.09$0.84$1.60$2.35$3.11$2.30$2.91$3.52$4.13$4.7420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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 PRICELive EARN spot · $3.35EARN PRICE$0.17$0.23$0.28$0.34$0.40$0.45$0.51$0.57$0.62$0.68$0.74$0.80$0.85$0.52$0.72$0.91$1.11$1.30$1.50$1.69$1.89$2.89
Puts——
CallsExpensive1.15×
Skew——
Implied moveBearish±$2.01
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ4.6141.5%42.7%
25Δ4.4641.9%39.8%2.73106.6%34.1%
30Δ4.3042.4%36.9%3.04105.9%30.8%
35Δ4.1542.9%34.0%3.34105.3%27.5%
40Δ4.0043.4%31.1%3.65104.7%24.2%
45Δ3.8443.9%28.2%3.95104.1%21.0%
50Δ3.6944.3%25.3%4.26103.5%17.7%
55Δ3.5344.8%22.4%4.56102.9%14.4%
60Δ3.3845.3%19.5%4.86102.3%11.2%
65Δ3.2245.8%16.6%5.94115.8%8.9%
70Δ3.0746.3%13.7%
75Δ2.9246.7%10.8%
80Δ2.7647.2%7.9%

20Δ

Calls
Pseudo strike
4.61
IV
41.5%
B/E move
42.7%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
4.46
IV
41.9%
B/E move
39.8%
Puts
Pseudo strike
2.73
IV
106.6%
B/E move
34.1%

30Δ

Calls
Pseudo strike
4.30
IV
42.4%
B/E move
36.9%
Puts
Pseudo strike
3.04
IV
105.9%
B/E move
30.8%

35Δ

Calls
Pseudo strike
4.15
IV
42.9%
B/E move
34.0%
Puts
Pseudo strike
3.34
IV
105.3%
B/E move
27.5%

40Δ

Calls
Pseudo strike
4.00
IV
43.4%
B/E move
31.1%
Puts
Pseudo strike
3.65
IV
104.7%
B/E move
24.2%

45Δ

Calls
Pseudo strike
3.84
IV
43.9%
B/E move
28.2%
Puts
Pseudo strike
3.95
IV
104.1%
B/E move
21.0%

50Δ

Calls
Pseudo strike
3.69
IV
44.3%
B/E move
25.3%
Puts
Pseudo strike
4.26
IV
103.5%
B/E move
17.7%

55Δ

Calls
Pseudo strike
3.53
IV
44.8%
B/E move
22.4%
Puts
Pseudo strike
4.56
IV
102.9%
B/E move
14.4%

60Δ

Calls
Pseudo strike
3.38
IV
45.3%
B/E move
19.5%
Puts
Pseudo strike
4.86
IV
102.3%
B/E move
11.2%

65Δ

Calls
Pseudo strike
3.22
IV
45.8%
B/E move
16.6%
Puts
Pseudo strike
5.94
IV
115.8%
B/E move
8.9%

70Δ

Calls
Pseudo strike
3.07
IV
46.3%
B/E move
13.7%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
2.92
IV
46.7%
B/E move
10.8%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
2.76
IV
47.2%
B/E move
7.9%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations