What move does the options market price into Morgan Stanley Direct Lending Fund's report?

Implied ±3.8%, either direction.

MSDLNYSE

Morgan Stanley Direct Lending Fund (MSDL) earnings date, market-implied expected move, and options open interest by expiry

13.88

Closed16:00 ET

Open13.91Volume429,422Mkt cap$1.2BP/E7.03Div yield13.34%

Day13.80 – 13.9264%52-wk12.71 – 15.8337%

MSDL

Morgan Stanley Direct Lending Fund

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±3.8%implied · report alone

13.3414.40

straddle ±4.6%

spot 13.87exp Nov 20ATM strike 14ATM straddle 0.75IV 28%

Oct 30 closereport share · term structure

Expected move

Inputs

Next report

Nov 5

after close · in 5 days

est.Q3 FY26

Calendar

Next report

Last report

—

Largest filed tie

filed ties

13F top-10 QoQ

+8.83%

shares held · 10 largest managers

13F · Jun 30 '26123d lag

139 managers

Top fund weight

—

Morgan Stanley Direct Lending Fund (MSDL) is expected to report on Nov 5 after close (estimated date).

Implied vs realized

No reported quarters.

Implied vs realized

Positioning

OI · 4 expiries · Oct 21 close

21.08OI · 4 expiries · Oct 21 closeP/C open interest · Nov 20 · first expiry after the report

PUTS · chgexpiry · days · P/CCALLS · chgP/C

5,059+8%Nov 2020d2400%

495+3%Dec 1848d1.902610%1.90

2,3560%Jan 1576d0.982,4040%0.98

1,135+385%Mar 19139d3.023760%3.02

ExpiryPutsCallsP/C

Nov 2020d5,059+8%2400%21.08

Dec 1848d495+3%2610%1.90

Jan 1576d2,3560%2,4040%0.98

Hatched = puts · solid = calls · bars scaled per expiry · chg = OI vs prior sessionSource: options EOD

Positioning

Linked exposure

No linked exposure.

Linked exposure

Revenue flow

as filedQ2 FY26

43.66%as filednet margin · revenue −0.60% QoQ · −11.11% YoY

Revenue

$87M−0.60% QoQ

Gross profit

$87M−0.60% QoQ

100.00% margin

Operating income

$70M−1.79% QoQ

79.64% margin

Pre-tax income

$39M−5.83% QoQ

Net income

$38M−5.80% QoQ

43.66% margin

Operating expenses

$18M+4.34% QoQ

Other operating $16M

SG&A $2M

Other expense

$31M

Tax

$800,000−4.08% QoQ

Revenue$87M−0.60%

Gross profit

$87M−0.60%

100.00% margin

Operating income

$70M−1.79%

79.64% margin

Pre-tax income

$39M−5.83%

Net income

$38M−5.80%

43.66% margin

Cost of revenue

Operating expenses

$18M+4.34%

Other operating $16M

SG&A $2M

Other expense

$31M

Tax$800,000−4.08%

flow · deduction · signed % = QoQSource: SEC filings · standardized · QE Jun 30 '26 · width = $

Revenue flow

Intraday

15m bars

Long dash = implied range · Oct 30 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 16:00 ET

Intraday

Event sensitivity

PPI ×1.50· ±1.5% vs ±1.0% · 11 releases

eventrelease day|move|up · n×base

PPIproducer prices±1.5%6 of 11×1.50

FOMCrate decision±1.1%7 of 23×1.10

PCEpersonal income & outlays±0.8%11 of 20×0.81

GDPgross domestic product±0.8%12 of 20×0.80

CPROFcorporate profits±0.7%6 of 12×0.65

NFPjobs report±0.6%4 of 10×0.60

CPIconsumer prices±0.6%5 of 11×0.57

Bar = avg |move| to ±2% · tick = ±1.0% avg day · ×base = |move| ÷ ±1.0% · min 6 releases

Earnings history

EPS 0.09 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	—	0.09	—
Q1 FY26	—	-0.05	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod