Options/NLY

NLYAnnaly Capital Management. Inc.

Options Analysis Report•REAL ESTATE INVESTMENT TRUSTS

Market Cap $17.4B|NYSE

● 2026-08-31$23.04

BEARISH

Analysis: 2026-08-28 EOD data

1Y +9.5%YTD +0.6%7D -0.9%

Options Vol

12,490

30D

Implied Move

±4.6%

IV Rank

NLY Options Overview

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

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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NLY Gamma Walls

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NLY Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where NLY sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.83) — downside puts carry 1.5 IV points more than at-the-money, and implied vol sits in the 11th percentile of its own past year, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (4.61): it is trading 2% above its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

2.83/ 10cheap

Basis: cross_sectional

Fragility

4.61/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

7.5

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 17.4% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.32x — IV premium over HV

Sector Relative≤50%

Sector percentile 7% — below sector median

Term Structure

<1.1x

Front/Back 0.89x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 18.2% — normal range

Spread-Adjusted Value

<80%

Effective IV 67.9% (ATM 18.2% + spread 24.9% + bias) — fair

Execution Efficiency

<3.0%

Total drag 37.04% (spread 24.87% + slippage 12.17%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.49 (vega 1.231 / spread 24.87%) — spread drag

Sentiment

Bullish or bearish?

1.5

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Weak signal (Conviction: -72%, Raw: -66%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -72% (strong bearish) — Raw: -66%

OI Skew Magnitude

≥15%

|OI skew| 1.8% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -63.3%, OI skew +1.8% — divergent (opposite)

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: +0%, ATM: +13%, OTM: -93% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 91% — very bearish vs sector

Activity

Unusual activity?

6.5

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks5/8 checks passed

Volume Surge

≥1.5x

Volume 1.8x avg — elevated

Turnover Rate

≥15%

Vol/OI 9.9% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +18.8% (5d) — building

Sector Relative≥60%

Sector activity percentile 92% — very active vs sector

Trade Quality

≥30%

Large trade volume 76% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 43% — patient

Flow Conviction

≥30

Conviction -72 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

3.5

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 24.9% — wide

Adequate OI

≥10,000

OI 126,081 — deep

Active Volume

≥500

Volume 12,490/day — active

Reasonable Cost

≤$0.50

$1.24 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 58% — neutral vs sector

Order Book Depth

≥100 contracts

Depth 528.8 contracts (bid:219.1 ask:309.7) — deep

Execution Quality

<1.0%

Avg slippage 12.17% — poor

Timing

Is now a good time?

7.9

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks8/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -10.8% — contango

IV Percentile Clarity

<30 or >70

IV percentile 17% — buyer opportunity

Event Detection

≥10pts kink

IV kink -1.2pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 82.07 — favors income trades

Expiration Distribution

≥3 expirations

5 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 -72% @ 86% consistency — STRONG directional (bearish)

Smart Money Timing

≥40 composite score

Score 106 (ITM 20% + inst 76%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls4.9

bullishIV cheap, bearish flow

Long Puts8.2

bearishIV cheap, bearish flow

Premium Sellers

Cash-Secured Put3.2

bullishIV too cheap, bearish flow

Covered Call5.6

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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