Options/AGNC

AGNCAGNC Investment Corp. Common Stock

Options Analysis Report•REAL ESTATE INVESTMENT TRUSTS

Market Cap $12.9B|NASDAQ

● 2026-08-31$10.90

BEARISH

Analysis: 2026-08-28 EOD data

1Y +11.7%YTD -0.3%7D -0.7%

Options Vol

48,110

30D

Implied Move

±5.3%

IV Rank

16%

AGNC Options Overview

IV is low with bearish flow and unusual activity. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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AGNC Gamma Walls

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AGNC Hedge Radar

No action needed

Full Hedge Radar

Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where AGNC sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.67) — downside puts carry 0.7 IV points more than at-the-money, and implied vol sits in the 19th percentile of its own past year, measured against this name's own rolling 21-trading-day realized moves (483 overlapping windows). Fragility reads resilient (3.69): it is trading 5% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

2.67/ 10cheap

Basis: cross_sectional

Fragility

3.69/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

7.1

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 21.8% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.41x — IV premium over HV

Sector Relative≤50%

Sector percentile 14% — below sector median

Term Structure

<1.1x

Front/Back 0.83x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 20.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 34.8% (ATM 20.0% + spread 7.4% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 14.86% (spread 7.40% + slippage 7.46%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 1.29 (vega 0.956 / spread 7.40%) — spread drag

Sentiment

Bullish or bearish?

1.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -70%, Raw: -65%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -70% (strong bearish) — Raw: -65%

OI Skew Magnitude

≥15%

|OI skew| 10.5% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -19.6%, OI skew -10.5% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 0%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -70%, ATM: -39%, OTM: -75% — strong bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 81% — very bearish vs sector

Activity

Unusual activity?

6.5

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks4/8 checks passed

Volume Surge

≥1.5x

Volume 2.2x avg — hot

Turnover Rate

≥15%

Vol/OI 9.4% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change +4.5% (5d) — building

Sector Relative≥60%

Sector activity percentile 92% — very active vs sector

Trade Quality

≥30%

Large trade volume 62% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 42% — patient

Flow Conviction

≥30

Conviction -70 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

4.9

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 7.4% — wide

Adequate OI

≥10,000

OI 509,101 — deep

Active Volume

≥500

Volume 48,110/day — active

Reasonable Cost

≤$0.50

$0.37 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 61% — wider than sector

Order Book Depth

≥100 contracts

Depth 862.6 contracts (bid:437.1 ask:425.5) — deep

Execution Quality

<1.0%

Avg slippage 7.46% — poor

Timing

Is now a good time?

7.7

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks8/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -17.3% — contango

IV Percentile Clarity

<30 or >70

IV percentile 22% — buyer opportunity

Event Detection

≥10pts kink

IV kink -2.0pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 367.81 — favors income trades

Expiration Distribution

≥3 expirations

4 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -70% @ 85% consistency — STRONG directional (bearish)

Smart Money Timing

≥40 composite score

Score 92 (ITM 20% + inst 62%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls4.7

bullishIV cheap, bearish flow

Long Puts8.1

bearishIV cheap, bearish flow

Premium Sellers

Cash-Secured Put3.4

bullishIV too cheap, bearish flow

Covered Call6.1

bearishIV too cheap, bearish flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

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