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Annaly Capital Management NLY 18.75 -0.1 -0.53%

Previous-day view · Fri Nov 6 close. You are previewing the previous trading day. Subscribe to see today live and every other date — Trader is $59/mo. Sign up Sign in

Expected move

November 06, 2026 close · $18.80
Horizon Expected move Typical range 2 in 3 closes 9 in 10 closes
Next session ±1.1% ±$0.20 $18.60 – $19.00 $18.56 – $19.04 $18.38 – $19.22
2 sessions ±1.5% ±$0.27 $18.53 – $19.07 $18.47 – $19.13 $18.21 – $19.39
3 sessions ±1.8% ±$0.34 $18.46 – $19.14 $18.39 – $19.21 $18.07 – $19.53
1 week ±2.3% ±$0.44 $18.36 – $19.24 $18.26 – $19.34 $17.87 – $19.73
2 weeks ±3.3% ±$0.61 $18.19 – $19.41 $18.04 – $19.56 $17.49 – $20.11
3 weeks ±4.0% ±$0.76 $18.04 – $19.56 $17.85 – $19.75 $17.19 – $20.41
1 month ±4.8% ±$0.91 $17.89 – $19.71 $17.67 – $19.93 $16.88 – $20.72
Size, not direction. The 68% and 90% bands held 66–68% and 89–90% of closes in held-out years 2019–2026. Draw the cone on the chart →

Volatility premium

Beta
The forecast is for the current session, which this plan does not open.

Earnings: priced against what happened

Average implied move
±2.60%
Average actual move
1.44%
Beyond the implied move
1 / 6
Median IV change
-15.37%
Reaction session Implied Actual Used ATM IV before → after
October 21, 2026 ±2.84% -1.53% 0.54× —
July 22, 2026 ±2.52% -1.02% 0.40× 21.2% → 17.7%
January 29, 2026 ±2.87% -1.03% 0.36× —
July 24, 2025 ±2.71% +0.54% 0.20× —
May 01, 2025 ±2.78% -0.92% 0.33× 29.7% → 25.5%
January 30, 2025 ±1.90% +3.59% 1.89× —
Reconstructed from archived mid quotes; the straddle covers its expiration, not only the reaction session. These are not option returns. Method and missing reports →