Annaly Capital Management NLY 18.85 -0.08 -0.42%
Expected move
November 05, 2026 close · $18.85| Horizon | Expected move | Typical range | 2 in 3 closes | 9 in 10 closes |
|---|---|---|---|---|
| Next session | ±1.3% ±$0.24 | $18.61 – $19.09 | $18.57 – $19.13 | $18.34 – $19.36 |
| 2 sessions | ±1.7% ±$0.33 | $18.52 – $19.18 | $18.45 – $19.25 | $18.14 – $19.56 |
| 3 sessions | ±2.2% ±$0.41 | $18.44 – $19.26 | $18.36 – $19.34 | $17.97 – $19.73 |
| 1 week | ±2.8% ±$0.53 | $18.32 – $19.38 | $18.21 – $19.49 | $17.73 – $19.97 |
| 2 weeks | ±3.9% ±$0.74 | $18.11 – $19.59 | $17.94 – $19.76 | $17.27 – $20.43 |
| 3 weeks | ±4.8% ±$0.90 | $17.95 – $19.75 | $17.74 – $19.96 | $16.96 – $20.74 |
| 1 month | ±5.8% ±$1.10 | $17.75 – $19.95 | $17.48 – $20.22 | $16.53 – $21.17 |
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× | — |