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Annaly Capital Management, Inc. NLY

REAL ESTATE · REIT - MORTGAGE
i

Market dataready · fetched 2026-10-21T17:02:06.376Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-10-23

Calculation methodology

Options historyIV: ThetaData daily EOD, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-21T17:02:03.703087014Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-21T17:02:05.871000+00:00

Share price$18.17
1D-2.9%
$17.98$18.17$18.37$18.56$18.755:30 AM6:30 AM9:00 AM1:00 PMNLY
Sold putSold call

Annaly Capital Management, Inc. options

Live interpolated NLY call and put midpoint premiums by absolute delta.Annaly Capital Management, Inc.$0.00$2.52$5.04$7.56$10.08$15.60$17.32$19.05$20.77$22.4920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive NLY spot · $18.17NLY PRICE$0.39$1.06$1.01$0.90$0.80$0.69$0.59$0.48$0.37$0.40$0.84$1.19$1.52$0.83$0.75$0.44$0.12$0.15$0.18$0.22$0.25$0.29$0.33$0.36$0.40$9.34
PutsExpensive3.31×
CallsExpensive5.57×
SkewBullish-127.12 pp
Implied moveBullish±$0.80
TiltBearish14.3% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ22.76294.1%27.4%14.71434.8%23.6%
25Δ28.59646.1%63.3%15.29381.2%20.0%
30Δ24.99516.1%43.1%16.63209.4%10.9%
35Δ23.95445.2%36.8%17.9737.5%1.7%
40Δ22.92374.3%30.6%18.0634.2%1.4%
45Δ21.88303.4%24.3%18.1234.4%1.2%
50Δ20.85232.5%18.0%18.1934.5%1.1%
55Δ19.81161.6%11.7%18.2534.7%0.9%
60Δ18.7890.6%5.4%18.3134.8%0.8%
65Δ17.9147.9%0.8%18.3734.9%0.7%
70Δ17.5690.6%1.3%18.4435.1%0.5%
75Δ17.20109.1%1.2%18.5035.2%0.4%
80Δ16.84122.1%1.0%27.00440.6%2.8%

20Δ

Calls
Pseudo strike
22.76
IV
294.1%
B/E move
27.4%
Puts
Pseudo strike
14.71
IV
434.8%
B/E move
23.6%

25Δ

Calls
Pseudo strike
28.59
IV
646.1%
B/E move
63.3%
Puts
Pseudo strike
15.29
IV
381.2%
B/E move
20.0%

30Δ

Calls
Pseudo strike
24.99
IV
516.1%
B/E move
43.1%
Puts
Pseudo strike
16.63
IV
209.4%
B/E move
10.9%

35Δ

Calls
Pseudo strike
23.95
IV
445.2%
B/E move
36.8%
Puts
Pseudo strike
17.97
IV
37.5%
B/E move
1.7%

40Δ

Calls
Pseudo strike
22.92
IV
374.3%
B/E move
30.6%
Puts
Pseudo strike
18.06
IV
34.2%
B/E move
1.4%

45Δ

Calls
Pseudo strike
21.88
IV
303.4%
B/E move
24.3%
Puts
Pseudo strike
18.12
IV
34.4%
B/E move
1.2%

50Δ

Calls
Pseudo strike
20.85
IV
232.5%
B/E move
18.0%
Puts
Pseudo strike
18.19
IV
34.5%
B/E move
1.1%

55Δ

Calls
Pseudo strike
19.81
IV
161.6%
B/E move
11.7%
Puts
Pseudo strike
18.25
IV
34.7%
B/E move
0.9%

60Δ

Calls
Pseudo strike
18.78
IV
90.6%
B/E move
5.4%
Puts
Pseudo strike
18.31
IV
34.8%
B/E move
0.8%

65Δ

Calls
Pseudo strike
17.91
IV
47.9%
B/E move
0.8%
Puts
Pseudo strike
18.37
IV
34.9%
B/E move
0.7%

70Δ

Calls
Pseudo strike
17.56
IV
90.6%
B/E move
1.3%
Puts
Pseudo strike
18.44
IV
35.1%
B/E move
0.5%

75Δ

Calls
Pseudo strike
17.20
IV
109.1%
B/E move
1.2%
Puts
Pseudo strike
18.50
IV
35.2%
B/E move
0.4%

80Δ

Calls
Pseudo strike
16.84
IV
122.1%
B/E move
1.0%
Puts
Pseudo strike
27.00
IV
440.6%
B/E move
2.8%

Options history

NLY30.2931.4332.572026-10-19: 32.41%2026-10-20: 30.45%Oct 19Oct 20
Table
DateIV
32.41%
30.45%