NLYNYSEReal Estate Investment Trusts

Annaly Capital Management Inc (NLY) earnings date, market-implied expected move, and options open interest by expiry

18.24

−0.23 · −1.23%

post 18.27 +0.15%

Closed18:13 ET

Open18.52Volume13.0MMkt cap$14.4BP/E15.09Div yield15.91%

Day18.24 – 18.647%52-wk17.70 – 23.0311%

NLY

Annaly Capital Management Inc

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

No implied move.

Expected move

Inputs

Next report

Jan 27

after close · in 88 days

est.Q4 FY26

Calendar

Next report

Last report

−1.53%

vs ±2.4% implied · ×0.63

shaded = implied · ▲▼ = realized

Oct 20 '26 · confirmed

Implied vs realized

Linked news

1dBAC · supplierBank of America net income $6,933 million, diluted EPS $0.91; YTD $24,591 million, $3.23
2dWFC · supplierWells Fargo to Present at the BancAnalysts Association of Boston Conference
4dJPM · supplierJPMorganChase Updates 2027 Earnings Release Date Information

News

Largest filed tie

13F top-10 QoQ

−0.38%

shares held · 10 largest managers

13F · Jun 30 '26124d lag

789 managers

Top fund weight

0.45%

NLY weight · MDY

N-PORTJun 30 '26

4 funds

Last reportshaded = implied▲▼ = realized× = |realized| ÷ implied

Annaly Capital Management (NLY) is expected to report on Jan 27 after close (estimated date).

Implied vs realized

2 reports

—≥ implied

Q2 FY26Jul 21 '26confirmed—▲+0.63%—

Q3 FY26Oct 20 '26confirmed±2.4%▼−1.53%×0.63

quarterimplied−5%0+5%realized×

Q3 FY26±2.4%▼−1.53%×0.63

Q2 FY26—▲+0.63%

Shaded = implied · tick ▲▼ = realized · × = |realized| ÷ impliedSource: options EOD · implied at prior close · realized close to close

Implied vs realized

Positioning

OI · 8 expiries · Oct 30 close

1.20OI · 8 expiries · Oct 30 closeP/C open interest · Apr 16 · first expiry after the report

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

5 nearer expiries

2,686+77%Nov 66d0.426,410+46%0.42

1,832+286%Nov 1313d3.66501+49%3.66

27,664+2%Nov 2020d1.3420,646+33%1.34

774—Nov 2727d0.521,490+16456%0.52

207—Dec 434d0.74279—0.74

10,288+4%Dec 1848d1.407,353+75%1.40

27,144+1%Jan 1576d1.1723,162+7%1.17

report · Jan 27 · after close · est.

ExpiryPutsCallsP/C

5 nearer expiries

Nov 66d2,686+77%6,410+46%0.42

Nov 1313d1,832+286%501+49%3.66

Nov 2020d27,664+2%20,646

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

Positioning

Linked exposure

No implied move.

Linked exposure

Revenue flow

as filedQ2 FY26

92.71%as filednet margin · revenue +50.00% QoQ · +123.05% YoY

Revenue$893M+50.00%

Pre-tax income$835M+188.82%

Net income$828M92.71%+184.93%

Tax$7M+554.18%

Source: SEC filings · standardized · QE Jun 30 '26 · bars = % of revenue

Revenue flow

Intraday

15m bars

Hatch = extended hours · ▯ up · ▮ downSource: market data · 18:00 ET

Intraday

Event sensitivity

PPI ×1.51· ±1.5% vs ±1.0% · 11 releases

eventrelease day|move|up · n×base

PPIproducer prices±1.5%6 of 11×1.51

FOMCrate decision±1.5%11 of 24×1.48

NFPjobs report±1.0%5 of 10×1.02

GDPgross domestic product±0.9%10 of 19×0.93

CPROFcorporate profits±0.9%7 of 12×0.91

PCEpersonal income & outlays±0.9%9 of 19×0.90

CPIconsumer prices±0.6%4 of 11×0.59

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

Earnings history

EPS -1.36 · consensus —

Quarter	Reported	EPS	Consensus
Q3 FY26	Oct 20 '26 · confirmed	-1.36	—
Q2 FY26	Jul 21 '26 · confirmed	1.06	—
Q1 FY26	—	0.33	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod