Option Greeks measure how Pennant Investment Corp (PNNT) option prices respond to changes in the stock price (delta and gamma), the passage of time (theta), implied volatility (vega), and interest rates (rho). These charts plot each Greek by strike, so you can see where an expiration's price risk, time decay, and volatility exposure are concentrated.
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PNNT Option Greeks FAQ
What are option Greeks?
Option Greeks measure how an option's price responds to changes in the stock price (delta and gamma), time (theta), implied volatility (vega), and interest rates (rho).
How do I read the PNNT Greeks charts?
Gamma, theta, and vega are largest for strikes near the Pennant Investment stock price and shrink for strikes far above or below it. Theta grows as expiration gets closer, while vega is larger for expirations further out. Call delta runs from 0 to 1 and put delta from -1 to 0, near 0.50 and -0.50 at the money, and roughly estimates the chance that an option finishes in the money.
How does implied volatility affect PNNT's Greeks?
Pennant Investment IV rank is 52, so implied volatility is near the middle of its one-year range. Higher implied volatility raises option premiums and daily time decay (theta), and spreads delta and gamma across a wider range of strikes. Over the past year, 30-day implied volatility ranged from 20.1% to 237.7%. See the PNNT implied volatility history for a longer view.
How much gamma and delta do PNNT options carry in total?
Across all open Pennant Investment options on Nov 9, 2026, net gamma exposure was $754 and net delta exposure was -$29.27K per 1% move in the stock. The PNNT gamma exposure chart shows where that gamma sits by strike.
What is Pennant Investment Corp?
Pennant Park Investment Corp is a closed-end, non-diversified investment company.