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Annaly Capital Management. Inc. NLY

i

Market datapartial · fetched 2026-11-10T22:27:31.446Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

Calculation methodology

Options historyIV: ThetaData historical Greeks, 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: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-10T22:14:10.575250215Z

FundamentalsAlpha Vantage · unavailable

Share price$18.75
1D-1.0%
AH$18.65$18.73$18.80$18.88$18.965:30 AM6:30 AM9:00 AM1:00 PM2:00 PMNLY
Sold putSold callAH

Annaly Capital Management. Inc. options

Live interpolated NLY call and put midpoint premiums by absolute delta.Annaly Capital Management. Inc.$0.09$0.26$0.44$0.62$0.79$18.10$18.40$18.70$19.00$19.2920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive NLY spot · $18.75NLY PRICE$0.14$0.19$0.24$0.29$0.33$0.38$0.43$0.54$0.64$0.74$0.11$0.13$0.15$0.17$0.19$0.21$0.23$0.25
Puts——
Calls——
Skew——
Implied moveBullish±$0.47
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ18.4831.9%2.0%
35Δ18.8926.6%1.5%18.5430.8%1.8%
40Δ18.8229.2%1.4%18.6029.5%1.6%
45Δ18.7631.7%1.3%18.6628.1%1.4%
50Δ18.6934.3%1.2%18.7126.8%1.2%
55Δ18.6336.9%1.1%18.7725.5%1.0%
60Δ18.5639.5%1.0%18.8224.1%0.8%
65Δ18.5042.0%0.9%18.8822.8%0.6%
70Δ18.3743.2%0.8%
75Δ18.2444.4%0.7%
80Δ18.1145.6%0.5%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
18.48
IV
31.9%
B/E move
2.0%

35Δ

Calls
Pseudo strike
18.89
IV
26.6%
B/E move
1.5%
Puts
Pseudo strike
18.54
IV
30.8%
B/E move
1.8%

40Δ

Calls
Pseudo strike
18.82
IV
29.2%
B/E move
1.4%
Puts
Pseudo strike
18.60
IV
29.5%
B/E move
1.6%

45Δ

Calls
Pseudo strike
18.76
IV
31.7%
B/E move
1.3%
Puts
Pseudo strike
18.66
IV
28.1%
B/E move
1.4%

50Δ

Calls
Pseudo strike
18.69
IV
34.3%
B/E move
1.2%
Puts
Pseudo strike
18.71
IV
26.8%
B/E move
1.2%

55Δ

Calls
Pseudo strike
18.63
IV
36.9%
B/E move
1.1%
Puts
Pseudo strike
18.77
IV
25.5%
B/E move
1.0%

60Δ

Calls
Pseudo strike
18.56
IV
39.5%
B/E move
1.0%
Puts
Pseudo strike
18.82
IV
24.1%
B/E move
0.8%

65Δ

Calls
Pseudo strike
18.50
IV
42.0%
B/E move
0.9%
Puts
Pseudo strike
18.88
IV
22.8%
B/E move
0.6%

70Δ

Calls
Pseudo strike
18.37
IV
43.2%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
18.24
IV
44.4%
B/E move
0.7%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
18.11
IV
45.6%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend25.84%
Daily close
NLY11.3%54.2%97.2%2026-08-17: 28.08%2026-08-18: 17.19%2026-08-21: 20.81%2026-08-24: 29.22%2026-08-25: 29.15%2026-08-27: 56.30%2026-08-28: 18.08%2026-08-31: 27.78%2026-09-10: 23.67%2026-09-11: 24.78%2026-09-14: 26.85%2026-09-15: 32.25%2026-09-16: 50.22%2026-09-18: 30.87%2026-09-21: 29.57%2026-09-22: 36.72%2026-09-23: 39.16%2026-09-25: 36.06%2026-09-28: 57.36%2026-09-29: 66.45%2026-09-30: 39.71%2026-10-01: 91.26%2026-10-02: 32.40%2026-10-05: 26.60%2026-10-06: 26.10%2026-10-07: 32.18%2026-10-09: 27.93%2026-10-12: 28.06%2026-10-13: 49.72%2026-10-14: 32.73%2026-10-15: 34.00%2026-10-16: 30.00%2026-10-19: 32.43%2026-10-20: 30.87%2026-10-21: 29.26%2026-10-22: 62.40%2026-10-23: 26.76%2026-10-26: 26.54%2026-10-27: 25.51%2026-10-28: 82.22%2026-10-29: 40.10%2026-10-30: 25.84%Aug 17Sep 30Oct 30
42 observations2026-08-17 — 2026-10-30
Table
DateIV (%)
28.08%
17.19%
20.81%
29.22%
29.15%
56.30%
18.08%
27.78%
23.67%
24.78%
26.85%
32.25%
50.22%
30.87%
29.57%
36.72%
39.16%
36.06%
57.36%
66.45%
39.71%
91.26%
32.40%
26.60%
26.10%
32.18%
27.93%
28.06%
49.72%
32.73%
34.00%
30.00%
32.43%
30.87%
29.26%
62.40%
26.76%
26.54%
25.51%
82.22%
40.10%
25.84%