Options/MFA

MFAMFA Financial, Inc

Options Analysis Report•REAL ESTATE INVESTMENT TRUSTS

Market Cap $893M|NYSE

● 2026-08-31$8.83

BEARISH

Analysis: 2026-08-28 EOD data

1Y -11.6%YTD -7.3%7D -1.2%

Options Vol

2,242

30D

Implied Move

±4.6%

IV Rank

17%

MFA Options Overview

bearish flow with unusual activity. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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MFA Gamma Walls

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Value

Is IV priced right?

4.5

ExpensiveCheap

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

levels.

Risk Checks3/9 checks passed

IV Rank

≤35%

IV Rank 42.6% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.91x — IV premium over HV

Sector Relative≤50%

Sector percentile 61% — above sector median

Term Structure

<1.1x

Front/Back 0.44x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 28.7% — normal range

Spread-Adjusted Value

<80%

Effective IV 99.5% (ATM 28.7% + spread 35.4% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 42.75% (spread 35.42% + slippage 7.33%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.62 (vega 2.182 / spread 35.42%) — spread drag

Sentiment

Bullish or bearish?

1.2

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Moderate signal (Conviction: -74%, Raw: -69%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -74% (strong bearish) — Raw: -69%

OI Skew Magnitude

≥15%

|OI skew| 3.7% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -96.9%, OI skew -3.7% — 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: +33%, ATM: -85%, OTM: +0% — bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 99% — very bearish vs sector

Activity

Unusual activity?

7.7

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks6/8 checks passed

Volume Surge

≥1.5x

Volume 5.1x avg — hot

Turnover Rate

≥15%

Vol/OI 27.3% — high turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +5.5% (5d) — building

Sector Relative≥60%

Sector activity percentile 97% — very active vs sector

Trade Quality

≥30%

Large trade volume 98% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 35% — patient

Flow Conviction

≥30

Conviction -74 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

2.9

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks2/8 checks passed

Tradeable Spread

≤5.0%

Spread 35.4% — wide

Adequate OI

≥10,000

OI 8,229 — thin

Active Volume

≥500

Volume 2,242/day — adequate

Reasonable Cost

≤$0.50

$1.77 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 82% — much wider than sector

Order Book Depth

≥100 contracts

Depth 407.59999999999997 contracts (bid:257.4 ask:150.2) — adequate

Execution Quality

<1.0%

Avg slippage 7.33% — poor

Timing

Is now a good time?

7.7

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -55.9% — contango

IV Percentile Clarity

<30 or >70

IV percentile 43% — neutral

Event Detection

≥10pts kink

IV kink -14.9pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1363.50 — favors income trades

Expiration Distribution

≥3 expirations

3 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 -74% @ 87% consistency — STRONG directional (bearish)

Smart Money Timing

≥40 composite score

Score 128 (ITM 20% + inst 98%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls3.6

bullishIV fair, bearish flow

Long Puts7.2

bearishIV fair, bearish flow

Premium Sellers

Cash-Secured Put3.8

bullishIV fair, bearish flow

Covered Call6.4

bearishIV fair, 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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