TWONYSEReal Estate Investment Trusts

Two Harbors Investment Corp. (TWO) earnings date, market-implied expected move, and options open interest by expiry

12.18

Regular session17:05 ET

Open12.14Volume19.4MMkt cap$1.3BEPS-0.72Div yield11.17%

Day12.14 – 12.1989%52-wk8.28 – 13.3777%

TWO

Two Harbors Investment Corp.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

No implied move.

Next report

—

Calendar

Last report

0.00%

vs ±1.2% implied · ×0.00

shaded = implied · ▲▼ = realized

Jul 28 '26 · confirmed

Implied vs realized

Largest filed tie

—

Supply chain

13F top-10 QoQ

+14.64%

shares held · 10 largest managers

13F · Jun 30 '26128d lag

223 managers

Top fund weight

0.04%

TWO weight · IWM

N-PORTJun 30 '26

2 funds

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

No upcoming report date for Two Harbors Investment (TWO). No implied move. 3 of the last 8 reports moved at least as far as the implied move.

Implied vs realized

8 reports

3 of 8≥ implied

avg implied: ±5.0%
avg realized: ±3.1%

Oct 28 '24Oct 28 '24confirmed±5.1%▼−6.56%×1.28

Jan 29 '25Jan 29 '25confirmed±4.5%▲+6.71%×1.49

Apr 28 '25Apr 28 '25confirmed±5.3%▲+3.50%×0.66

Jul 28 '25Jul 28 '25confirmed±5.5%▼−2.32%×0.42

Oct 27 '25Oct 27 '25confirmed±5.4%0.00%×0.00

Feb 2 '26Feb 2 '26confirmed±9.2%▼−0.34%×0.04

Q1 FY26Apr 28 '26confirmed±3.6%▲+4.99%×1.37

Q2 FY26Jul 28 '26confirmed±1.2%0.00%×0.00

quarterimplied−10%0+10%realized×

Q2 FY26±1.2%0.00%×0.00

Q1 FY26±3.6%▲+4.99%×1.37

Feb '26±9.2%▼−0.34%×0.04

Oct '25±5.4%0.00%×0.00

Jul '25±5.5%▼−2.32%×0.42

Apr '25±5.3%▲+3.50%×0.66

2 older reports

Jan '25±4.5%▲+6.71%×1.49

Oct '24±5.1%▼−6.56%×1.28

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

Implied vs realized

Positioning

OI · 2 expiries · Aug 28 close

3.18OI · 2 expiries · Aug 28 closeP/C open interest · Dec 18 · nearest expiry

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

12,232+1%Dec 1843d3,845−4%

1,402+2%Jan 1571d—0——

ExpiryPutsCallsP/C

Dec 1843d12,232+1%3,845−4%3.18

Jan 1571d1,402+2%0——

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

51.41%as filednet margin · revenue +40.24% QoQ · +1008.86% YoY

Revenue$121M+40.24%

Pre-tax income$68M+87.60%

Net income$62M51.41%+92.80%

Tax$6M+46.29%

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

Revenue flow

Intraday

15m bars

Hatch = extended hours · ▯ up · ▮ downSource: market data · 17:00 ET

Intraday

Event sensitivity

NFP ×2.24· ±2.9% vs ±1.3% · 8 releases

eventrelease day|move|up · n×base

NFPjobs report±2.9%4 of 8×2.24

PPIproducer prices±2.7%2 of 9×2.10

GDPgross domestic product±1.7%9 of 17×1.33

FOMCrate decision±1.7%15 of 23×1.29

PCEpersonal income & outlays±1.5%8 of 17×1.19

CPIconsumer prices±1.3%7 of 9×1.01

CPROFcorporate profits±1.0%5 of 10×0.77

Bar = avg |move| to ±3% · tick = ±1.3% avg day · ×base = |move| ÷ ±1.3% · min 6 releases

Earnings history

EPS 0.46 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Jul 28 '26 · confirmed	0.46	—
Q1 FY26	Apr 28 '26 · confirmed	0.18	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod