Strategy looks for sharp move in Annaly
Chris McKhann | email@example.com
NLY is up 0.37 percent this morning at $16.23. The real-estate investment trust hit a 52-week of $17.75 on Sept. 12 and was just off that again at the end of the month. Shares have slid lower since then and yesterday hit their lowest levels since April.
Topping the option activity in the name today is one print in the January 2014 13 puts. A trader bought 2,500 of those contracts for the ask price of $0.94 on a wide bid/ask spread. The volume was more than the previous open interest, so it is a new position.
Shortly after the puts were purchased, a block of 80,000 NLY shares was bought for $16.25. This combination of stock and options creates a delta-neutral position that is looking for a sharp move in either direction and/or volatility that is greater than that implied by the options.
The implied volatility of those puts is 20 percent, while the 30-day historical volatility is 19 percent, a six-month high. (See our Education section)