CHMI Straddle Strategy
CHMI (Cherry Hill Mortgage Investment Corporation), in the Real Estate sector, (REIT - Mortgage industry), listed on NYSE.
Cherry Hill Mortgage Investment Corporation, a residential real estate finance company, acquires, invests in, and manages residential mortgage assets in the United States. The company operates through Investments in RMBS (residential mortgage-backed securities), Investments in Servicing Related Assets, and All Other segments. It manages a portfolio of servicing related assets and RMBS. Cherry Hill Mortgage Investment Corporation qualifies as a real estate investment trust for federal income tax purposes. The company generally would not be subject to federal corporate income taxes if it distributes at least 90% of its taxable income to its stockholders. Cherry Hill Mortgage Investment Corporation was incorporated in 2012 and is based in Farmingdale, New Jersey.
CHMI (Cherry Hill Mortgage Investment Corporation) trades in the Real Estate sector, specifically REIT - Mortgage, with a market capitalization of approximately $92.6M, a trailing P/E of 4.27, a beta of 1.07 versus the broader market, a 52-week range of 2.17-3.12, average daily share volume of 188K, a public-listing history dating back to 2013, approximately 12 full-time employees. These structural characteristics shape how CHMI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.07 places CHMI roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. The trailing P/E of 4.27 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price. CHMI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a straddle on CHMI?
A long straddle buys an ATM call and an ATM put at the same strike, profiting from a large move in either direction; max loss equals the combined debit when the underlying pins to the strike at expiration.
Current CHMI snapshot
As of May 15, 2026, spot at $2.41, ATM IV 43.00%, IV rank 4.57%, expected move 11.47%. The straddle on CHMI below is built from the same end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 34-day expiry.
Why this straddle structure on CHMI specifically: CHMI IV at 43.00% is on the cheap side of its 1-year range, which favors premium-buying structures like a CHMI straddle, with a market-implied 1-standard-deviation move of approximately 11.47% (roughly $0.28 on the underlying). The 34-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CHMI expiries trade a higher absolute premium for lower per-day decay. Position sizing on CHMI should anchor to the underlying notional of $2.41 per share and to the trader's directional view on CHMI stock.
CHMI straddle setup
The CHMI straddle below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With CHMI near $2.41, the first option leg uses a $2.41 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CHMI chain at a 34-day expiry; the cross-strike IV skew is reflected directly in the per-leg values rather than approximated. Quantity sizing assumes one contract per option leg (or 100 CHMI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $2.41 | N/A |
| Buy 1 | Put | $2.41 | N/A |
CHMI straddle risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
Upside max profit is unbounded; downside max profit is bounded at the strike minus the combined call plus put debit (reached at zero). Max loss equals the combined debit times 100 (reached when the underlying pins to the strike). Two breakevens at strike plus debit and strike minus debit.
CHMI straddle payoff curve
Modeled P&L at expiration across a range of underlying prices for the straddle on CHMI. Each row is one sampled price point from the computed payoff curve; the full curve uses 200 price points internally before being summarized into 10 rows here.
When traders use straddle on CHMI
Straddles on CHMI are pure-volatility plays that profit from large moves in either direction; traders typically buy CHMI straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.
CHMI thesis for this straddle
The market-implied 1-standard-deviation range for CHMI extends from approximately $2.13 on the downside to $2.69 on the upside. A CHMI long straddle is a pure-volatility play: it profits when the underlying moves far enough from the strike in either direction to overcome the combined call plus put debit, regardless of direction. Current CHMI IV rank near 4.57% sits in the lower third of its 1-year distribution, where IV often re-expands toward the mean; this favors premium-buying structures and disadvantages premium-selling structures on CHMI at 43.00%. As a Real Estate name, CHMI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CHMI-specific events.
CHMI straddle positions are structurally neutral / high-volatility (long premium); the modeled P&L assumes European-style exercise at expiration and ignores early assignment, transaction costs, dividends paid before expiry on the stock leg (when present), and the bid-ask spread on the listed chain. CHMI positions also carry Real Estate sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CHMI alongside the broader basket even when CHMI-specific fundamentals are unchanged. Always rebuild the position from current CHMI chain quotes before placing a trade.
Frequently asked questions
- What is a straddle on CHMI?
- A straddle on CHMI is the straddle strategy applied to CHMI (stock). The strategy is structurally neutral / high-volatility (long premium): A long straddle buys an ATM call and an ATM put at the same strike, profiting from a large move in either direction; max loss equals the combined debit when the underlying pins to the strike at expiration. With CHMI stock trading near $2.41, the strikes shown on this page are snapped to the nearest listed CHMI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CHMI straddle max profit and max loss calculated?
- Upside max profit is unbounded; downside max profit is bounded at the strike minus the combined call plus put debit (reached at zero). Max loss equals the combined debit times 100 (reached when the underlying pins to the strike). Two breakevens at strike plus debit and strike minus debit. For the CHMI straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 43.00%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CHMI straddle?
- The breakeven for the CHMI straddle priced on this page is no defined breakeven on the modeled curve at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current CHMI market-implied 1-standard-deviation expected move is approximately 11.47%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a straddle on CHMI?
- Straddles on CHMI are pure-volatility plays that profit from large moves in either direction; traders typically buy CHMI straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.
- How does current CHMI implied volatility affect this straddle?
- CHMI ATM IV is at 43.00% with IV rank near 4.57%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.