What are the CHMI aggregate Greek exposures?

As of Jun 30, 2026, Cherry Hill Mortgage Investment Corporation (CHMI) snapshot Greeks are net delta -$30.9K, net gamma $1.4K, net vega -$176. These aggregate the dealer book across all listed strikes and expirations under the standard customer-versus-dealer sign convention.

What does the CHMI net dealer delta tell us?

Net dealer delta of -$30.9K represents the directional exposure dealers carry from their option inventory. Dealers continuously hedge this exposure with stock, futures, or correlated instruments, so the size of net delta is also the size of hedge flow that will execute as spot moves.

How do CHMI Greeks inform hedging?

Delta tracks first-order directional exposure; gamma tracks how quickly delta changes; vega tracks IV sensitivity. Aggregated dealer Greeks let traders read the dealer-positioning regime: long-gamma regimes mean-revert moves; short-gamma regimes amplify them. Vega exposure indicates how dealer P&L responds to vol shocks and hence the direction of vol-shock hedging flows.

Cherry Hill Mortgage Investment Corporation (CHMI) Options Greeks

Options Greeks measure sensitivity to various factors: Delta (price), Gamma (delta change), Theta (time decay), and Vega (volatility). They are essential for risk management and position sizing.

Cherry Hill Mortgage Investment Corporation (CHMI) operates in the Real Estate sector, specifically the REIT - Mortgage industry, with a market capitalization near $91.1M, listed on NYSE, employing roughly 12 people, carrying a beta of 1.02 to the broader market. Cherry Hill Mortgage Investment Corporation (CHMI) is a financial entity specializing in residential real estate, dedicated to the acquisition, investment, and oversight of home loan-backed assets across the United States. Led by Jeffrey Lown, public since 2013-10-04.

Snapshot as of Jun 30, 2026.

Spot Price: $2.33
Net Gamma: $1.4K
Net Delta: -$30.9K
Net Vega: -$176
ATM IV: 52.6%
Gamma Concentration: 0.99

As of Jun 30, 2026, Cherry Hill Mortgage Investment Corporation (CHMI) aggregate Greeks are net delta -$30.9K, net gamma $1.4K, net vega -$176, ATM IV 52.6%. Gamma concentration is 0.99: dealer gamma is tightly clustered at a few strikes, which tends to pin price. Delta measures directional exposure, gamma measures the rate of delta change, and vega measures sensitivity to implied volatility. Net aggregate Greeks summarize the total dealer book across all strikes and expirations.

How CHMI options greeks Data Feeds Strategy Selection

Strategy selection on Cherry Hill Mortgage Investment Corporation options does not derive from any single metric in isolation. The options greeks view above sits inside a broader read: ATM IV currently sits at 52.6% and dealer gamma exposure is positive, so dealer hedging is mechanically mean-reverting. Combine the options greeks data here with the volatility-skew surface, dealer-gamma exposure, max-pain level, and upcoming-events calendar to build a positioning thesis. Risk-defined structures (credit spreads, debit spreads, iron condors) are usually safer than naked positions while the regime is uncertain; the data on this page anchors the inputs but does not by itself constitute a trade thesis.

How to read the CHMI Greeks profile

The chart above shows per-strike dealer-Greek exposures aggregated across calls and puts for the front expiration. Current net dealer gamma is $1.4K - a positive (mean-reverting) hedging regime. Net dealer delta of -$30.9K indicates short-delta dealer book - dealers are net short the underlying. Net vega of -$176 measures dealer P&L sensitivity to IV shifts - a 1-point IV move shifts book value by approximately $176.

CHMI Greeks regime and dealer hedging

Aggregate dealer Greeks compress 4 sensitivities (delta, gamma, theta, vega) into a single read on hedging behavior. In the current positive-gamma regime, dealer hedging is structurally mean-reverting: as CHMI moves higher, dealers sell into rallies; as it moves lower, dealers buy into dips. This is the mechanical basis for the "pin to max pain" pattern. Gamma decays as expiration approaches; near-dated Greek exposures dominate the hedging flow.

Using CHMI Greeks data for strategy selection

The Greeks profile is the input to most quantitative options strategies. Premium-selling structures (covered calls, iron condors, cash-secured puts) are negative-gamma, positive-theta, negative-vega - they pay you for being patient about realized volatility but get hit when realized exceeds implied. Premium-buying structures (long calls, long puts, long straddles, ratio backspreads) are positive-gamma, negative-theta, positive-vega - they pay you when realized exceeds implied but bleed time decay otherwise. With CHMI IV rank at 6.7%, premium-buying has structural tailwind from cheap implied; pair with a directional thesis or event catalyst. Combine the regime read with the Greeks decomposition on this page to size structures correctly.

Learn how options Greeks is reported and how to read the data →

Frequently asked CHMI options greeks questions

What are the CHMI aggregate Greek exposures?: As of Jun 30, 2026, Cherry Hill Mortgage Investment Corporation (CHMI) snapshot Greeks are net delta -$30.9K, net gamma $1.4K, net vega -$176. These aggregate the dealer book across all listed strikes and expirations under the standard customer-versus-dealer sign convention.
What does the CHMI net dealer delta tell us?: Net dealer delta of -$30.9K represents the directional exposure dealers carry from their option inventory. Dealers continuously hedge this exposure with stock, futures, or correlated instruments, so the size of net delta is also the size of hedge flow that will execute as spot moves.
How do CHMI Greeks inform hedging?: Delta tracks first-order directional exposure; gamma tracks how quickly delta changes; vega tracks IV sensitivity. Aggregated dealer Greeks let traders read the dealer-positioning regime: long-gamma regimes mean-revert moves; short-gamma regimes amplify them. Vega exposure indicates how dealer P&L responds to vol shocks and hence the direction of vol-shock hedging flows.