What move does the options market price into Ellington Financial's report?

Implied ±8.8%, either direction.

How often does Ellington Financial move more than the options market prices?

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

EFCNYSEReal Estate

Ellington Financial Inc. (EFC) earnings date, market-implied expected move, and options open interest by expiry

11.36

pre 11.51 +1.50%

Pre-market09:19 ETdelayed

Open11.40Volume2.1MMkt cap$1.5BP/E7.19EPS1.60Div yield13.52%

Day11.40 – 11.51100%52-wk10.39 – 13.3937%

EFC

Ellington Financial Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±8.8%implied · straddle

10.3412.34

spot 11.34exp Nov 20ATM strike 12.5ATM straddle 1.18IV 35%

Nov 3 close

Expected move

Inputs

Next report

Today

after close

confirmedQ3 FY26

Calendar

Next report

Last report

+3.50%

vs ±5.3% implied · ×0.66

shaded = implied · ▲▼ = realized

Aug 6 '26 · confirmed

Implied vs realized

Largest filed tie

—

13F top-10 QoQ

+5.67%

shares held · 10 largest managers

13F · Jun 30 '26127d lag

246 managers

Top fund weight

0.05%

EFC weight · IWM

N-PORTJun 30 '26

3 funds

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

Ellington Financial (EFC) reports on Nov 4 after close (confirmed date).

Implied vs realized

8 reports

1 of 8≥ implied

avg implied: ±5.7%
avg realized: ±2.7%

Feb 27 '25Feb 27 '25confirmed±6.1%▲+8.96%×1.48

May 7 '25May 7 '25confirmed±5.0%▲+1.25%×0.25

Jul 21 '25Jul 21 '25confirmed±5.3%▲+0.23%×0.04

Aug 7 '25Aug 7 '25confirmed±6.6%▲+2.53%×0.38

Q3 FY25Nov 5 '25confirmed±7.5%▲+0.80%×0.11

Q1 FY26Feb 25 '26confirmed±4.8%▲+0.48%×0.10

May 5 '26May 5 '26confirmed±4.9%▲+3.51%×0.72

Q2 FY26Aug 6 '26confirmed±5.3%▲+3.50%×0.66

quarterimplied−10%0+10%realized×

Q2 FY26±5.3%▲+3.50%×0.66

May '26±4.9%

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

Implied vs realized

Positioning

OI · 4 expiries · Nov 3 close

0.03OI · 4 expiries · Nov 3 closeP/C open interest · Nov 20 · first expiry after the report

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

64−2%Nov 2016d2,1050%

3,6480%Dec 1844d0.566,523+1%0.56

330+32%Jan 1572d0.814080%0.81

177+7%Apr 16163d0.57309+4%0.57

ExpiryPutsCallsP/C

Nov 2016d64−2%2,1050%0.03

Dec 1844d3,6480%6,523+1%0.56

Jan 1572d330+32%4080%0.81

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

Positioning

Linked exposure

scenario · straddle±8.8%

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

47.13%as filednet margin · revenue −10.30% QoQ · +33.06% YoY

Revenue$123M−10.30%

Pre-tax income$47M−48.17%

Net income$58M47.13%−46.01%

Tax$52,000−94.62%

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

Revenue flow

Intraday

15m bars

Long dash = implied range · Nov 3 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 09:15 ET

Intraday

Event sensitivity

FOMC ×1.34· ±1.2% vs ±0.9% · 24 releases

eventrelease day|move|up · n×base

FOMCrate decision±1.2%8 of 24×1.34

PCEpersonal income & outlays±1.2%7 of 19×1.28

PPIproducer prices±1.0%5 of 10×1.14

NFPjobs report±0.9%6 of 10×1.04

CPROFcorporate profits±0.9%5 of 12×0.95

GDPgross domestic product±0.8%7 of 19×0.85

CPIconsumer prices±0.5%5 of 10×0.51

Bar = avg |move| to ±2% · tick = ±0.9% avg day · ×base = |move| ÷ ±0.9% · min 6 releases

Earnings history

EPS 0.43 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Aug 6 '26 · confirmed	0.43	—
Q1 FY26	Feb 25 '26 · confirmed	0.78	—
Q3 FY25	Nov 5 '25 · confirmed	0.29	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod