Ticker Options Intelligence

PMT options intelligence

PennyMac Mortgage Investment Trust options pressure, expected move, strike concentration, and Sharemaestro trend context.

Conviction 55 Market data through 12 Aug 2026 Checked 13 Aug 2026 12:04 · complete available chain

Volatility expansion watch

Volatility pressure

PMT currently carries volatility options pressure with a 55/100 conviction score. The nearest-chain expected move is 4.2%, with volume/open-interest participation at 0.01.

Options Intelligence Opportunities Bullish confirmation Risks Unusual flow Vol expansion Repeated pressure Compare Chart Weekly report
Primary read Volatility

Volatility expansion watch

Expected move 4.2%

Near-term move context

Activity / OI 0.01

Current volume is quieter versus prior open interest

Put-call 0.01

Call-side skew

Trend fit 0

Options are not fully confirming trend

Weekly backdrop +2.3%

RS -20.1

Expected move 4.2%
Put-call volume 0.01
Volume / OI 0.01
Reference IV 0.96
Max pain 10.00
Underlying 9.65
Nearest expiry 21 Aug 2026
Contracts 88

Research Brief

PMT has a volatility chain read with 55/100 evidence alignment.

The practical question is whether the underlying confirms the options concentration. The chain prices a reference range of 9.25–10.05; The largest call open-interest concentration is 10.00; the largest put concentration is 10.00. The most active strike by current volume is 2.50.

Priced range9.25–10.05
Call concentration10.00
Put concentration10.00
Max pain reference10.00
What would confirm it
  • A clear directional pressure reading develops and price begins to agree.
What would weaken it
  • Volatility falls and the chain remains directionally mixed.
  • Options and the weekly trend are not yet giving the same message.
  • Front-expiry volatility is rich, so the signal may be event-driven and vulnerable to volatility compression.

Priced Move

Where the chain says movement becomes exceptional

Size, not direction · through 21 Aug

Options imply 9.25 to 10.05. Max pain at 10.00 sits inside that range, 3.6% above spot.

Spot Max pain
9.259.65 ± 0.4010.05
Confirmation level

A close beyond 10.05 or below 9.25 at the 21 Aug expiry would exceed the move currently priced by this chain.

Important limitation

The range is a pricing reference, not a forecast; volatility can reprice sharply after news or as expiry approaches.

Score Construction

Why conviction is 55/100

Evidence alignment, not probability

Pressure is 93/100 toward calls; conviction uses its strength, while the signal label carries its direction.

Directional pressure93 × 42%
+39.2

How strongly activity leans toward calls or puts.

Participation40 × 22%
+8.9

Volume relative to existing open interest and contract-level activity.

Trend agreement0 × 26%
+0.0

How closely the chain read agrees with the underlying trend backdrop.

Volatility73 × 10%
+7.3

The intensity of implied volatility and the priced move.

Reconstructed score55.4Matches stored calculation

Positioning by Strike

Where open interest and current activity concentrate

Full strike map

The largest call open-interest concentration is 10.00; the largest put concentration is 10.00. The most active strike by current volume is 2.50. Open-interest concentrations show where positions exist; they are not proven support, resistance or dealer exposure.

Put open interestStrikeCall open interest
6
2.50-74.1%
10
2
5.00-48.2%
4
50
7.50-22.3%
1
233
10.003.6%
485
2
12.5029.5%
4
1
15.0055.4%
1
0
17.5081.3%
2
0
20.00107.3%
1
Nearest spot strike Max pain strikeBars show relative OI within this expiry

Gamma Profile by Strike

Balanced gamma proxy

Reported + model-estimated Greeks · 90% coverage

Call- and put-side gamma sensitivity is broadly balanced across the retained chain. Individual strike concentrations may still matter more than the chain-wide net.

Net profile+$34,215Delta change / 1% move
Positive peak10.00+$55,513
Negative peak7.50-$26,597
Nearest balance8.31Interpolated sign change
StrikeNegativePositiveNet / 1% move
2.50-74.1%
+$5
5.00-48.2%
-$1,134
7.50-22.3%
-$26,597
10.003.6%
+$55,513
12.5029.5%
+$5,528
15.0055.4%
+$3,983
17.5081.3%
-$1,043
20.00107.3%
-$2,040
Positive call-side proxy Negative put-side proxyHighlighted row is nearest spot strike

Scenario proxy = gamma × open interest × 100 shares × spot² × 1%. Calls are positive and puts negative by convention. Missing Greeks use a Black-Scholes estimate from stored IV with zero rate and dividend assumptions. Open interest does not reveal who is long or short, so this is not observed dealer positioning or a forecast.

Volatility Curve

Front-loaded volatility

3.01× front/back

Near-term options are materially richer than later expirations, consistent with concentrated event or immediate-risk pricing.

0.96 21 Aug 9d
0.41 18 Sep 37d
0.51 16 Oct 65d
0.44 18 Dec 128d
0.32 15 Jan 156d

Volatility by Strike

Smile incomplete

Nearest expiry, within 20% of spot

There is not enough comparable OTM call and put volatility to classify the smile.

10
Put IV Call IV

Historical Replay

How matured reads behaved through expiry

0 matured · 0 directional

Forward validation is building. The earliest eligible stored read expires 21 Aug 2026; its result will appear after the matched closing reference is stored.

Directional follow-through-
Moves contained by pricing-
Average expiry move-
Validation readiness
  • Auditable calculationoriginal version retained
  • Independent entryone read per market session
  • Point-in-time referencerequired at entry
  • Matched expiry closereported only after maturity

Eligible snapshots must have a dated market session, stored signal, and point-in-time market reference. Each observation uses one read per market session and the first stored weekly close on or immediately after expiry; its original calculation version is retained. It is an evidence audit, not an executable strategy or evidence of future performance.

Evidence Quality

High

A97/100
Retained chain100%
Implied volatility100%
Two-sided quotes100%
Open interest100%
Chain status
Complete available chain
Market date
12 Aug 2026
Calculation
v2.0
Contracts
88 / 88
  • No material coverage gap was detected in the retained chain.

Aggregate chain data supports concentration, participation and pricing analysis. It does not identify trade aggressor, opening versus closing activity, multi-leg intent or dealer inventory.

Options Intent Radar

Volatility expansion bet

80/100
Primary intent Volatility expansion bet

The strongest message is movement risk: expected move and implied volatility are carrying more signal than direction.

Flow vs price divergence Volatility flow versus price

Options are pricing movement more than direction; compare expected move with the stock's actual weekly change.

Why this matters

Volatility expansion bet matters because it connects the options headline to the actual evidence: $32,580 of estimated gross traded notional, calls · 46-90 days · itm, and a volatility flow versus price backdrop. Use it as a research priority signal, then validate the chart, liquidity, event calendar, and risk before acting.

Options pressure+93
1W price+2.3%
Call premium99%
Put premium1%
Notional split C 99% / P 1% Estimated gross traded notional uses volume × contract multiplier × midpoint, or last price when no valid midpoint is available.
Freshness 0.01 Volume divided by open interest across the visible chain.
Trend fit 0/100 Agreement between options pressure and Sharemaestro market context.
Aggregate chain data does not identify trade aggressor or opening versus closing activity; call/put concentration is not proof of market direction.
Conviction clusters Calls · 46-90 days · ITM
Calls · 46-90 days · ITM calls cluster with 110 contracts traded, $22,550 estimated gross traded notional, and 69% of visible notional.
$22,550
Calls · 91+ days · OTM calls cluster with 218 contracts traded, $7,668 estimated gross traded notional, and 24% of visible notional.
$7,668
Calls · 22-45 days · ITM calls cluster with 10 contracts traded, $2,150 estimated gross traded notional, and 7% of visible notional.
$2,150
Puts · 46-90 days · ITM puts cluster with 2 contracts traded, $195 estimated gross traded notional, and 1% of visible notional.
$195
Calls · 46-90 days · OTM calls cluster with 1 contracts traded, $18 estimated gross traded notional, and 0% of visible notional.
$18

Setup Classification

Opportunity and risk frame

Context, not advice
Warning Volatility expansion

The tape is pricing or displaying unusually elevated activity.

Negative Options disagreement

Options positioning is not confirming the underlying trend context.

Activity Anomaly

Warming up

-

9 of 10 completed market sessions are available. More session history is needed before activity can be compared with a reliable normal.

Baseline: 9 completed sessions

Volume rank-
Volume/OI rank-
IV rank-

Market Context

Underlying confirmation

Sharemaestro weekly
Close9.65
1W+2.3%
RS-20.1
Fair value-7.7%
Options pressure93
Speculation40
Volatility73
Trend fit0

Today Versus Normal

Stored-options context

View history
Expected move 4.2% history building
30d avg - · 9/10 sessions -
90d avg - · 9/30 sessions -
180d avg - · 9/60 sessions -
IV 0.96 history building
30d avg - · 9/10 sessions -
90d avg - · 9/30 sessions -
180d avg - · 9/60 sessions -
Put-call 0.01 history building
30d avg - · 9/10 sessions -
90d avg - · 9/30 sessions -
180d avg - · 9/60 sessions -
Volume/OI 0.01 history building
30d avg - · 9/10 sessions -
90d avg - · 9/30 sessions -
180d avg - · 9/60 sessions -

Pressure Trail

Recent pressure and volatility

Open trail
29 Jul 11:14 Bullish
Pressure 65
Move 8.0%
30 Jul 11:01 Volatility
Pressure -83
Move 6.9%
31 Jul 10:42 Bullish
Pressure 76
Move 11.1%
2 Aug 11:17 Bullish
Pressure 31
Move 9.3%
4 Aug 10:25 Volatility
Pressure 93
Move 7.0%
5 Aug 11:00 Bullish
Pressure 36
Move 6.7%
6 Aug 11:05 Bullish
Pressure 81
Move 6.7%
10 Aug 10:45 Bullish
Pressure 42
Move 6.0%

Strike Map

Where activity is clustering

Full strike map
Strike2.50
Calls · V 0 · OI 10
Puts · V 0 · OI 6
Strike5.00
Calls · V 0 · OI 4
Puts · V 0 · OI 2
Strike7.50
Calls · V 0 · OI 1
Puts · V 0 · OI 50
Strike10.00
Calls · V 0 · OI 485
Puts · V 0 · OI 233
Strike12.50
Calls · V 0 · OI 4
Puts · V 0 · OI 2
Strike15.00
Calls · V 0 · OI 1
Puts · V 0 · OI 1
Strike17.50
Calls · V 0 · OI 2
Puts · V 0 · OI 0
Strike20.00
Calls · V 0 · OI 1
Puts · V 0 · OI 0

Term Structure

Expiration activity

Volume and IV
Expiry21 Aug 2026
Contracts16
Avg IV0.96
Put-call-
Expiry18 Sep 2026
Contracts16
Avg IV0.41
Put-call-
Expiry16 Oct 2026
Contracts20
Avg IV0.51
Put-call0.02
Expiry18 Dec 2026
Contracts20
Avg IV0.44
Put-call-
Expiry15 Jan 2027
Contracts16
Avg IV0.32
Put-call-

Skew

Call/put IV balance

OTM demand
21 Aug 2026Put IV premium
Call IV0.22
Put IV0.77
Skew0.55
18 Sep 2026Put IV premium
Call IV0.10
Put IV0.39
Skew0.28
16 Oct 2026Put IV premium
Call IV0.22
Put IV0.29
Skew0.07
18 Dec 2026Put IV premium
Call IV0.24
Put IV0.41
Skew0.18
15 Jan 2027Put IV premium
Call IV0.20
Put IV0.47
Skew0.27

Contract Tape

Most active contracts

Full contract tape
ContractPMT270115C00010000
SideCall
Expiry15 Jan 2027
Strike10.00
Volume203
OI2811
IV0.20
ContractPMT261016C00007500
SideCall
Expiry16 Oct 2026
Strike7.50
Volume110
OI4
IV0.34
ContractPMT261218C00010000
SideCall
Expiry18 Dec 2026
Strike10.00
Volume15
OI233
IV0.24
ContractPMT260918C00007500
SideCall
Expiry18 Sep 2026
Strike7.50
Volume10
OI-
IV0.71
ContractPMT261016P00010000
SidePut
Expiry16 Oct 2026
Strike10.00
Volume2
OI2470
IV0.44
ContractPMT261016C00010000
SideCall
Expiry16 Oct 2026
Strike10.00
Volume1
OI551
IV0.22
ContractPMT261016P00007500
SidePut
Expiry16 Oct 2026
Strike7.50
Volume-
OI6880
IV0.29
ContractPMT261218P00010000
SidePut
Expiry18 Dec 2026
Strike10.00
Volume-
OI1686
IV0.38

Evidence context