What move does the options market price into Chimera Investment's report?

Implied ±7.9%, either direction.

How often does Chimera Investment move more than the options market prices?

4 of the last 8 reports moved at least as far as the implied move.

CIMNYSEReal Estate Investment Trusts

Chimera Investment Corp (CIM) earnings date, market-implied expected move, and options open interest by expiry

8.32

pre 8.31 +0.24%

Pre-market07:00 ETdelayed

Open8.31Volume1.6MMkt cap$694.0MEPS-1.01Div yield20.75%

Day8.31 – 8.3150%52-wk8.11 – 12.974%

CIM

Chimera Investment Corp

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±7.9%implied · straddle

7.638.95

spot 8.29exp Nov 20ATM strike 8ATM straddle 0.77IV 54%

Nov 3 close

Expected move

Inputs

Next report

Nov 5

before open · in 1 day

est.Q3 FY26

Calendar

Next report

Last report

−6.40%

vs ±7.0% implied · ×0.92

shaded = implied · ▲▼ = realized

Aug 5 '26 · confirmed

Implied vs realized

Largest filed tie

filed ties

13F top-10 QoQ

+5.01%

shares held · 10 largest managers

13F · Jun 30 '26127d lag

194 managers

Top fund weight

0.04%

CIM weight · IWM

N-PORTJun 30 '26

3 funds

Last reportshaded = implied▲▼ = realized× = |realized| ÷ implied

Chimera Investment (CIM) is expected to report on Nov 5 before open (estimated date).

Implied vs realized

8 reports

4 of 8≥ implied

avg implied: ±5.3%
avg realized: ±5.0%

Nov 6 '24Nov 6 '24confirmed±5.8%0.00%×0.00

Feb 12 '25Feb 12 '25confirmed±3.9%▼−7.82%×1.98

May 8 '25May 8 '25confirmed±4.1%▲+6.58%×1.61

Aug 6 '25Aug 6 '25confirmed±4.7%▼−2.58%×0.55

Nov 6 '25Nov 6 '25confirmed±4.7%▼−9.63%×2.03

Feb 11 '26Feb 11 '26confirmed±4.9%▲+6.42%×1.32

Q1 FY26May 7 '26confirmed±7.3%▼−0.66%×0.09

Q2 FY26Aug 5 '26confirmed±7.0%▼−6.40%×0.92

quarterimplied−10%0+10%realized×

Q2 FY26±7.0%▼−6.40%×0.92

Q1 FY26±7.3%

Shaded = implied · tick ▲▼ = realized · × = |realized| ÷ impliedSource: options EOD · implied at prior close · realized close to close

Implied vs realized

Positioning

OI · 3 expiries · Nov 2 close

6.00OI · 3 expiries · Nov 2 closeP/C open interest · Nov 20 · first expiry after the report

PUTS · chgexpiry · days · P/CCALLS · chgP/C

2,7220%Nov 2016d454+12%

9530%Dec 1844d0.243,9920%0.24

1,072−1%Mar 19135d0.0523,4530%0.05

ExpiryPutsCallsP/C

Nov 2016d2,7220%454+12%6.00

Dec 1844d9530%3,9920%0.24

Mar 19135d1,072−1%23,4530%0.05

Hatched = puts · solid = calls · bars scaled per expiry · chg = OI vs prior sessionSource: options EOD

Positioning

Linked exposure

scenario · straddle±7.9%

Funds 3

IWM±0.0%

UWM±0.0%

VTI±0.0%

Dashed = straddleMethod Source: SEC filings · N-PORT · market data

Linked exposure

Revenue flow

as filedQ2 FY26

23.94%as filednet margin · revenue +560.49% QoQ · +7.67% YoY

Revenue$73M+560.49%

Pre-tax income$17M+137.13%

Net income$17M23.94%+139.56%

Tax−$301,000+85.42%

Source: SEC filings · standardized · QE Jun 30 '26 · bars = % of revenue

Revenue flow

Intraday

No trades yet today.

Intraday

Event sensitivity

FOMC ×1.28· ±1.8% vs ±1.4% · 24 releases

eventrelease day|move|up · n×base

FOMCrate decision±1.8%12 of 24×1.28

NFPjobs report±1.7%5 of 10×1.24

CPIconsumer prices±1.3%4 of 10×0.94

PPIproducer prices±1.3%5 of 10×0.91

CPROFcorporate profits±1.0%5 of 12×0.71

GDPgross domestic product±0.9%8 of 19×0.68

PCEpersonal income & outlays±0.9%8 of 19×0.68

Bar = avg |move| to ±2% · tick = ±1.4% avg day · ×base = |move| ÷ ±1.4% · min 6 releases

Earnings history

EPS -0.05 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Aug 5 '26 · confirmed	-0.05	—
Q1 FY26	May 7 '26 · confirmed	-0.78	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod