NLY Options Chain Analysis

Delayed CBOE data, snapshot 2026-08-18. Spot $23.34.

Put/Call (OI)

1.16

73k P / 63k C

Put/Call (Volume)

0.92

2k P / 2k C today

30d ATM IV

16%

annualized implied move

Call wall

$24

12k contracts

Put wall

$22

22k contracts

Tail hedging

3.9×

deep-OTM puts vs calls

What the positioning says

●Defensive positioning: 1.16 puts outstanding per call — holders are hedging rather than selling.
●Call wall at $24 (12k contracts), 3% above spot — the upside strike the crowd is already parked on; often acts as near-term resistance.
●Put wall at $22 (22k contracts), 6% below spot — the hedge floor; often acts as support.
●Deep-OTM put open interest is 3.9× deep-OTM call OI — an institutional hedging ladder sits under this stock.
●30-day ATM implied volatility is 16% — calm pricing; option premium is cheap.

Open interest by strike

All expiries combined. Amber lines mark the call and put walls; the dashed line is spot.

IV term structure

At-the-money implied volatility per expiry.

Volatility smile

IV by strike — expiry 2026-09-18. A steep left side = expensive downside protection.

30-day implied volatility history

Daily ATM IV (~30 DTE bucket) collected since March 2026. Rising IV into an event = the market bracing; collapsing IV after = the crush.

Open interest by expiry

Expiry	Call OI	Put OI	P/C	Volume today
2026-08-21	14k	31k	2.22	1k
2026-08-28	2k	969	0.42	525
2026-09-04	616	1k	2.35	273
2026-09-11	1k	1k	1.05	463
2026-09-18	6k	6k	1.09	589
2026-09-25	435	322	0.74	219
2026-10-02	175	133	0.76	156
2026-10-16	12k	10k	0.79	195
2027-01-15	19k	18k	0.95	574
2028-01-21	8k	4k	0.50	140

Source: CBOE delayed quotes, refreshed daily after US market close. Open interest is exchange-reported and lags one session. Research, not investment advice.