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Annaly Capital Management, Inc. NLY

REAL ESTATE · REIT - MORTGAGE
i

Market dataready · fetched 2026-10-21T17:49:04.153Z

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

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-21T17:48:54.458272103Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-21T17:49:02.522385+00:00

Share price$18.19
1D-2.8%
$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$2.90$5.80$8.69$11.59$15.31$17.17$19.04$20.90$22.7720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive NLY spot · $18.18NLY PRICE$0.52$1.06$1.01$0.91$0.82$0.72$0.62$0.52$0.42$0.33$0.66$1.12$1.44$0.90$0.72$0.36$0.12$0.15$0.19$0.23$0.27$0.31$0.35$0.39$4.34$10.74
PutsExpensive3.80×
CallsExpensive5.91×
SkewBullish-123.96 pp
Implied moveBullish±$0.85
TiltBearish30.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ24.30383.7%36.5%14.50473.2%25.2%
25Δ28.50646.3%62.6%15.43365.8%19.1%
30Δ25.03521.9%43.2%16.92174.5%9.0%
35Δ24.09456.0%37.5%18.0234.6%1.6%
40Δ23.14390.2%31.7%18.0835.2%1.4%
45Δ22.19324.3%26.0%18.1535.7%1.3%
50Δ21.25258.5%20.2%18.2136.2%1.1%
55Δ20.30192.6%14.5%18.2836.7%1.0%
60Δ19.35126.7%8.8%18.3437.3%0.8%
65Δ18.4160.9%3.0%18.4137.8%0.7%
70Δ17.7069.7%1.0%18.4738.3%0.5%
75Δ17.28102.7%1.2%22.25219.1%1.5%
80Δ16.92114.7%1.0%28.33512.3%3.3%

20Δ

Calls
Pseudo strike
24.30
IV
383.7%
B/E move
36.5%
Puts
Pseudo strike
14.50
IV
473.2%
B/E move
25.2%

25Δ

Calls
Pseudo strike
28.50
IV
646.3%
B/E move
62.6%
Puts
Pseudo strike
15.43
IV
365.8%
B/E move
19.1%

30Δ

Calls
Pseudo strike
25.03
IV
521.9%
B/E move
43.2%
Puts
Pseudo strike
16.92
IV
174.5%
B/E move
9.0%

35Δ

Calls
Pseudo strike
24.09
IV
456.0%
B/E move
37.5%
Puts
Pseudo strike
18.02
IV
34.6%
B/E move
1.6%

40Δ

Calls
Pseudo strike
23.14
IV
390.2%
B/E move
31.7%
Puts
Pseudo strike
18.08
IV
35.2%
B/E move
1.4%

45Δ

Calls
Pseudo strike
22.19
IV
324.3%
B/E move
26.0%
Puts
Pseudo strike
18.15
IV
35.7%
B/E move
1.3%

50Δ

Calls
Pseudo strike
21.25
IV
258.5%
B/E move
20.2%
Puts
Pseudo strike
18.21
IV
36.2%
B/E move
1.1%

55Δ

Calls
Pseudo strike
20.30
IV
192.6%
B/E move
14.5%
Puts
Pseudo strike
18.28
IV
36.7%
B/E move
1.0%

60Δ

Calls
Pseudo strike
19.35
IV
126.7%
B/E move
8.8%
Puts
Pseudo strike
18.34
IV
37.3%
B/E move
0.8%

65Δ

Calls
Pseudo strike
18.41
IV
60.9%
B/E move
3.0%
Puts
Pseudo strike
18.41
IV
37.8%
B/E move
0.7%

70Δ

Calls
Pseudo strike
17.70
IV
69.7%
B/E move
1.0%
Puts
Pseudo strike
18.47
IV
38.3%
B/E move
0.5%

75Δ

Calls
Pseudo strike
17.28
IV
102.7%
B/E move
1.2%
Puts
Pseudo strike
22.25
IV
219.1%
B/E move
1.5%

80Δ

Calls
Pseudo strike
16.92
IV
114.7%
B/E move
1.0%
Puts
Pseudo strike
28.33
IV
512.3%
B/E move
3.3%

Options history

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