Annaly Capital Management, Inc. (NLY) IV/HV History
Comparing implied volatility to historical (realized) volatility reveals whether options are priced rich or cheap relative to actual price movement. Persistent gaps can signal trading opportunities.
Annaly Capital Management, Inc. (NLY) operates in the Real Estate sector, specifically the REIT - Mortgage industry, with a market capitalization near $13.69B, listed on NYSE, employing roughly 212 people, carrying a beta of 1.28 to the broader market. Annaly Capital Management, Inc. Led by David L. Finkelstein, public since 1997-10-08.
Snapshot as of Oct 14, 2026.
- Spot Price
- $18.13
- ATM IV
- 27.8%
- HV 20-Day
- 28.8%
- HV 60-Day
- 21.2%
- IV Rank
- 88.7%
- IV Percentile
- 95.6%
As of Oct 14, 2026, Annaly Capital Management, Inc. (NLY) ATM implied volatility is 27.8%. 20-day realized volatility is 28.8%, producing an IV-HV spread of -1.0 vol points. Realized volatility currently exceeds implied, an inversion that can signal a pending IV expansion. IV rank is 88.7%.
How NLY iv/hv history Data Feeds Strategy Selection
Strategy selection on Annaly Capital Management, Inc. options does not derive from any single metric in isolation. The iv/hv history view above sits inside a broader read: ATM IV currently sits at 27.8% and dealer gamma exposure is positive, so dealer hedging is mechanically mean-reverting. Combine the iv/hv history data here with the volatility-skew surface, dealer-gamma exposure, max-pain level, and upcoming-events calendar to build a positioning thesis. Risk-defined structures (credit spreads, debit spreads, iron condors) are usually safer than naked positions while the regime is uncertain; the data on this page anchors the inputs but does not by itself constitute a trade thesis.
How to read the NLY IV vs HV chart
The dual-line chart below tracks ATM implied volatility (forward-looking, what the chain is pricing) against 20-day realized historical volatility (backward-looking, what actually happened). ATM IV currently prints at 27.8%, 88.7% IV rank, against 28.8% realized over the trailing 20 trading days. Implied is currently below realized by 1.0 vol points, an inverted regime where premium buyers are underpaying for the move - rare and often a setup for IV expansion. Persistent IV-above-HV is the variance-risk-premium-positive state typical of equity markets; persistent IV-below-HV is rare and usually marks underpriced vol that often expands.
NLY IV/HV regimes and trade selection
NLY sits in the top quartile of its 1-year IV range. High-IV-rank regimes statistically favor premium-selling - the elevated implied is more likely to mean-revert than to expand further. Iron condors, covered calls, and cash-secured puts collect more premium per unit of notional risk; size wings to the implied move and exit on first sign of HV catching up.
Using NLY vol history alongside the term structure
The IV/HV gap on this page captures the level of premium; the term-structure slope on the volatility page captures its shape across expirations. Term structure is roughly flat at -0.004, no strong near vs far premium being priced. Pair the rank read with the slope read with the event calendar to choose the right tenor for the structure.
NLY IV/HV signal in volatility-cycle context
Equity-vol cycles tend to compress and expand on multi-month timeframes: a typical sequence runs low-IV-rank consolidation (months of flat tape, decaying premium) into a vol-expansion catalyst (earnings miss, macro shock, regime change) into elevated-IV-rank stress (premiums fat, dispersion high) back to mean-reverting compression. NLY's current 88.7% IV rank places the ticker in the expansion or stress phase of that cycle. Premium-selling carries the typical structural tailwind here, but the mean-reverting compression that completes the cycle has historically arrived sharply rather than gradually. The ratio of HV-20 (28.8%) to HV-60 (21.2%) gives a second cycle indicator: when 20-day exceeds 60-day, recent realization is running hotter than the trailing-quarter average - typically a sign that recent days have already started expanding vol regardless of where IV rank prints. Use the time series below to spot inflection points: meaningful IV/HV gap closures and openings tend to precede regime shifts by a few sessions.
Learn how implied vs realized volatility is reported and how to read the data →
Daily ATM implied volatility and 20-day realized (historical) volatility for NLY over the last ~31 trading days. The IV-HV gap measures the variance risk premium - when IV trades persistently above realized HV, premium-sellers earn the spread; when IV dips below HV, vol is structurally underpriced.
Most recent 15 trading days (descending). Older history appears in the chart above.
| Date | ATM IV | HV 20d | HV 60d | IV Rank |
|---|---|---|---|---|
| Oct 14, 2026 | 27.8% | 28.8% | 21.2% | 88.7% |
| Oct 13, 2026 | 25.6% | 29.0% | 21.2% | 76.1% |
| Oct 12, 2026 | 26.4% | 28.8% | 21.4% | 80.5% |
| Oct 9, 2026 | 26.0% | 28.7% | 21.5% | 78.5% |
| Oct 8, 2026 | 26.9% | 28.8% | 21.8% | 83.5% |
| Oct 7, 2026 | 26.7% | 26.5% | 21.0% | 82.5% |
| Oct 6, 2026 | 25.8% | 26.2% | 21.2% | 77.2% |
| Oct 5, 2026 | 26.1% | 26.1% | 21.3% | 78.8% |
| Oct 2, 2026 | 28.2% | 26.4% | 21.2% | 91.0% |
| Oct 1, 2026 | 27.6% | 27.3% | 21.5% | 87.6% |
| Sep 30, 2026 | 25.9% | 27.3% | 21.3% | 78.0% |
| Sep 29, 2026 | 19.6% | 17.9% | 17.2% | 42.4% |
| Sep 28, 2026 | 20.1% | 17.9% | 17.9% | 45.0% |
| Sep 25, 2026 | 21.5% | 17.7% | 17.9% | 53.3% |
| Sep 24, 2026 | 20.6% | 18.1% | 17.9% | 48.2% |
NLY highest implied-volatility contracts
| Type | Strike | Expiration | Volume | OI | IV | Bid | Ask |
|---|---|---|---|---|---|---|---|
| PUT | $19.00 | Dec 18, 2026 | 2.5K | 314 | 25.1% | $1.18 | $1.29 |
| CALL | $18.50 | Oct 16, 2026 | 91 | 12.9K | 34.9% | $0.04 | $0.08 |
| CALL | $19.00 | Nov 20, 2026 | 2.6K | 3.6K | 26.5% | $0.30 | $0.33 |
| PUT | $19.00 | Dec 18, 2026 | 2.5K | 314 | 25.1% | $1.18 | $1.29 |
| PUT | $18.50 | Nov 6, 2026 | 225 | 116 | 27.3% | $0.67 | $0.71 |
Top 5 contracts from the institutional-grade nightly options scan; ranked by iv within the broader S&P 500/400/600 + ETF universe.
Frequently asked NLY iv/hv history questions
- Is NLY options pricing rich or cheap right now?
- As of Oct 14, 2026, Annaly Capital Management, Inc. (NLY) ATM IV is 27.8% against 20-day realized volatility of 28.8%. IV rank is 88.7%. Realized volatility currently exceeds implied: an inversion of the typical equity volatility risk premium that often precedes IV expansion.
- What is the NLY variance risk premium?
- The variance risk premium is the persistent gap between implied and subsequently realized volatility. In equity markets it averages positive because option sellers demand compensation for bearing variance shocks. NLY is currently pricing inverted to the historical pattern, which is one input to whether short-vol or long-vol structures carry their typical edge.
- What does NLY IV rank mean for strategy selection?
- IV rank normalizes the current ATM IV to its 1-year range: 0% is the low, 100% is the high. NLY's current rank of 88.7% signals where current pricing sits in its own 1-year history. High-rank regimes typically favor premium-selling structures (credit spreads, condors, covered calls); low-rank regimes typically favor premium-buying or long-volatility structures.