PennyMac Mortgage Investment Trust (PMT) Volatility Skew
Implied volatility skew shows how IV varies across strike prices for a given expiration. Steeper skews indicate higher demand for downside protection relative to upside speculation.
PennyMac Mortgage Investment Trust (PMT) operates in the Real Estate sector, specifically the REIT - Mortgage industry, with a market capitalization near $916.5M, listed on NYSE, employing roughly 7 people, carrying a beta of 1.18 to the broader market. PennyMac Mortgage Investment Trust, a specialty finance company, primarily invests in mortgage-related assets in the United States. Led by David A. Spector, public since 2009-07-30.
Snapshot as of May 15, 2026.
- Spot Price
- $10.33
- ATM IV
- 20.2%
- IV Skew 25Δ
- 0.731
- IV Rank
- 4.2%
- IV Percentile
- 21.0%
- Term Structure Slope
- 0.074
As of May 15, 2026, PennyMac Mortgage Investment Trust (PMT) at-the-money implied volatility is 20.2%. IV rank is 4.2% (where 0% is the 52-week low and 100% is the 52-week high). IV percentile is 21.0%. The 25-delta skew is +0.731: calls carry premium over puts, indicating upside speculation or squeeze risk. High IV rank typically favors premium-selling strategies; low IV rank favors premium-buying.
PMT Strategy Selection at Current Volatility Levels
For PennyMac Mortgage Investment Trust options at 20.2% ATM IV, low IV rank (4.2%) favors premium-buying or long-vol structures: long calls or puts, debit spreads, calendar spreads, long straddles. The risk: low-rank regimes can persist for months while time decay eats premium-buyers alive. The 25-delta skew tilts to calls, so call-credit spreads or covered-call writes harvest more premium than put-credit spreads of the same width. Pair the vol-rank read with the dealer-gamma view and the upcoming-events calendar to confirm the strategy fits both the structural regime and the path-dependent risk. The variance risk premium - the persistent gap between implied and subsequently realized vol - is positive in equity markets on average; high IV rank typically reflects a stretch where the premium is wider than usual.
Learn how volatility skew is reported and how to read the data →
PMT highest implied-volatility contracts
| Type | Strike | Expiration | Volume | OI | IV | Bid | Ask |
|---|---|---|---|---|---|---|---|
| PUT | $12.50 | Oct 16, 2026 | 0 | 236 | 830.8% | $2.30 | $3.20 |
| CALL | $10.00 | Oct 16, 2026 | 10 | 234 | 476.4% | $0.70 | $0.95 |
| PUT | $10.00 | Oct 16, 2026 | 0 | 2.4K | 476.4% | $0.45 | $1.05 |
Top 3 contracts from the ORATS-sourced nightly scan; ranked by iv within the broader S&P 500/400/600 + ETF universe.
Frequently asked PMT volatility skew questions
- What is the current PMT ATM implied volatility?
- As of May 15, 2026, PennyMac Mortgage Investment Trust (PMT) at-the-money implied volatility is 20.2%. IV rank is 4.2% on a 0-100% scale anchored to the 1-year IV range. ATM IV is the volatility input that makes a Black-Scholes-equivalent model reproduce the listed at-the-money option prices.
- Is PMT IV high or low historically?
- IV is subdued relative to its 1-year history, conditions that typically favor premium-buying strategies (long calls, long puts, debit spreads, calendar spreads).
- What does PMT volatility skew tell options traders?
- Volatility skew is the pattern by which IV varies across strikes for a given expiration. PennyMac Mortgage Investment Trust shows upside-skewed pricing: 25-delta calls trade richer than 25-delta puts, often reflecting upside speculation or squeeze risk. Skew matters for risk-defined strategy selection: when downside puts are rich, put-credit spreads capture more premium; when upside calls are rich, call-credit spreads or covered-call writes harvest more.