NLY Options Chain — Open Interest, Implied Volatility, Max Pain & Gamma Exposure
Analyze the complete NLY options chain including strike-level open interest, real-time implied volatility (IV), max pain levels, gamma exposure, dealer positioning, and options flow trends. This dashboard provides data-driven insights for traders building directional or hedging strategies around NLY.
Dealer–Gamma Regime
A combined view of NLY’s total gamma exposure (GEX) and Dealer Position Index (DPI). This helps identify whether dealer hedging flows support mean reversion or trend continuation in the current options market.
In a long gamma regime, dealers hedge against price moves, strengthening mean reversion and suppressing volatility.
A Strong Net Long Options profile indicates how dealers hedge daily flows, influencing whether trends extend or revert.
Price moves are likely to stay range-bound.
The short-term gamma flip is near 19.40 , with intermediate positioning around 19.44 . The mid-term gamma flip remains near 19.46.
With Long Gamma and a neutral DPI trend , the current setup favors Mean Reversion Zone .
Dealer hedging flows interact with gamma positioning to form short-term volatility regimes. Stronger directional movement is more likely when gamma is short or unstable.
The options structure reflects a high-confidence neutral environment. Dealer positioning and volatility suppression suggest a stable range-bound setup rather than a directional move. A strong confidence score reflects high directional consensus—or, in the case of neutral bias, a stable volatility regime.
Put-Side Positioning Insight
On the put side, the bearish positioning looks
mainly like hedging.
This reflects caution and short-term protection rather than a true bearish call.
Confidence: 85%
Important intraday and swing-trading price levels derived from max pain, open interest distribution, and gamma positioning. These price levels are derived from Max Pain analysis, gamma exposure trends, and open interest dynamics, which are crucial factors for assessing market sentiment and potential price movements. Traders can use the support and resistance levels to identify key price zones for entry or exit points, while the pivot point serves as an important reference for gauging trend direction.
Bullish flow suggests upside interest toward 23.27 (1.46% above spot).
Bearish positioning points to downside pressure toward 21.18 (7.68% below spot).
Options flow strength: 0.51 (0–1 scale).
ATM Strike: 23.00, Call: 0.10, Put: 0.12, Straddle Cost: 0.22.
Estimated using ATM implied volatility, OTM option flow, and dealer hedging conditions to capture the market-implied price range.
📘 Show Options Market Insight
1. Core Volatility Signal (0.55% Standardized 1-Day Move)
“The ATM straddle implies a standardized 1-day move of
0.55%.”
This means:
- Implied volatility is below normal.
- The market expects relatively muted price action.
- Little near-term uncertainty is being priced.
📌 Plain interpretation: Subdued volatility — traders expect limited movement.
2. Expected Price Range (Next 3 Days)
The options market is pricing the following risk range:
21.98 – 23.15
Upper: +0.92%
•
Lower: -4.17%
🔻 Bearish Skew — downside risk exceeds upside potential.
3. Bullish Flow vs Bearish Flow
▶ Bullish Flow
Upside interest clusters near
23.27
(1.46% above spot).
This region may act as short-term resistance.
▶ Bearish Flow
Downside pressure clusters near
21.18
(7.68% below spot).
This is a downside “magnet zone” where put demand concentrates.
4. Flow Strength: 0.51
Flow strength is weak — option activity is scattered or light, making directional signals less reliable.
5. ATM Straddle Cost
The ATM straddle costs 0.22 (0.96% of spot).
This is within the normal volatility range for near-term expectations.
🔥 Professional Summary
1️⃣ The options market assigns greater weight to downside risk.
2️⃣ Implied volatility is low, indicating calm market expectations.
3️⃣ Put activity dominates — institutional hedging demand is elevated.
4️⃣ FlowStrength 0.51 indicates moderate informational value.
⭐ One-sentence takeaway: The options market is pricing elevated downside risk for NLY.
The insights are generated by an AI-driven options analysis model. We strongly recommend interpreting the data in the context of your own judgment and market understanding.
DPI Trend Index
Dealer Position Index (DPI) tracks how options dealers are positioned.
Rising DPI → dealers long options (mean reversion).
Falling DPI → dealers short options (trend amplification).
DPI does not predict direction. It only answers one question:
once price moves, will the market reinforce that move?
DPI reflects the direction and strength of dealer gamma exposure — not a bullish or bearish call.
Latest Trend Interpretation:
Gamma Exposure & Expiry Risk Zones
Gamma Exposure (GEX) defines how option dealer hedging interacts with price moves. Large expiries can sharply alter hedging pressure and trigger volatility shifts.
Market GEX vs Price History
Aggregate gamma exposure plotted with underlying price. Sharp GEX declines or flip-zone tests often precede increased volatility.
Post-Expiry GEX: 43.01M (Regime: Long Gamma (Mean Reversion / Low Volatility))
| Expiry | DTE | GEX | Contrib % | Post-Expiry GEX | Post Regime | Tag |
|---|---|---|---|---|---|---|
| 2026-01-16 | 24 | 18.33M | 29.9% | 43.01M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2025-12-26 | 3 | 17.71M | 28.9% | 43.63M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2026-01-02 | 10 | 6.38M | 10.4% | 54.96M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2026-04-17 | 115 | 6.26M | 10.2% | 55.09M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2026-01-09 | 17 | 4.32M | 7.0% | 57.02M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2027-01-15 | 388 | 3.28M | 5.3% | 58.07M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2026-02-20 | 59 | 2.31M | 3.8% | 59.03M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2026-07-17 | 206 | 842.55K | 1.4% | 60.5M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2028-01-21 | 759 | 799.95K | 1.3% | 60.54M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2026-01-23 | 31 | 575.46K | 0.9% | 60.77M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2026-03-20 | 87 | 307.52K | 0.5% | 61.04M | Long Gamma (Mean Reversion / Low Volatility) | — |
| 2026-01-30 | 38 | 228.83K | 0.4% | 61.12M | Long Gamma (Mean Reversion / Low Volatility) | — |
Vanna Exposure & Risk Zone
Vanna measures how delta changes when implied volatility shifts. Heavy negative Vanna clusters can amplify volatility during IV shocks.
Post-Expiry Vanna: 789.44K (More Positive — Volatility Dampening)
| Expiry | DTE | Vanna | Contrib % | Post-Expiry | Post Regime | Tag |
|---|---|---|---|---|---|---|
| 2026-01-16 | 24 | -2.78M | 139.6% | 789.44K | More Positive (Stabilizing) | Critical |
| 2025-12-26 | 3 | 1.5M | 75.1% | -3.5M | More Negative (Trend Risk ↑) | — |
| 2026-04-17 | 115 | -340.27K | 17.1% | -1.66M | More Negative (Trend Risk ↑) | — |
| 2027-01-15 | 388 | -217.43K | 10.9% | -1.78M | More Negative (Trend Risk ↑) | — |
| 2026-01-02 | 10 | -81.14K | 4.1% | -1.91M | More Negative (Trend Risk ↑) | — |
| 2026-07-17 | 206 | -25.54K | 1.3% | -1.97M | More Negative (Trend Risk ↑) | — |
| 2026-02-20 | 59 | -14.72K | 0.7% | -1.98M | More Negative (Trend Risk ↑) | — |
| 2026-01-09 | 17 | -12.85K | 0.6% | -1.98M | More Negative (Trend Risk ↑) | — |
| 2026-01-23 | 31 | -9.08K | 0.5% | -1.99M | More Negative (Trend Risk ↑) | — |
| 2028-01-21 | 759 | -8.64K | 0.4% | -1.99M | More Negative (Trend Risk ↑) | — |
| 2026-03-20 | 87 | -4.14K | 0.2% | -1.99M | More Negative (Trend Risk ↑) | — |
| 2026-01-30 | 38 | 3.68K | 0.2% | -2M | More Negative (Trend Risk ↑) | — |
Volatility Structure & Term Structure
Short-dated and medium-term implied volatility, term structure shape, downside skew, and realized volatility context.
ATM IV Term Structure
IV vs Realized Volatility
NLY Max Pain — Daily Levels, Trend, Volatility Pressure & Options Positioning
Daily Max Pain levels with trend shifts, volatility pressure and options positioning cycles.
Max Pain Price Trend Index
Latest Trend Interpretation
➖ Max Pain is stable, reflecting neutral options positioning.
➖ Trend strength: Very weak — no meaningful direction.
➖ Recent movement: Largely unchanged.
Trend Shifts
Current OI Structure Reliability
Max Pain Price Mean Reversion
Show Mean Reversion History
| Date | Price | Max Pain | Distance | Z-Score | Signal |
|---|---|---|---|---|---|
| 2025-12-23 | 22.94 | 23.50 | -0.56 | -0.89 | neutral |
| 2025-12-22 | 23.26 | 23.50 | -0.24 | -0.38 | neutral |
| 2025-12-19 | 22.70 | 22.00 | 0.70 | 1.11 | overbought |
| 2025-12-18 | 22.60 | 22.00 | 0.60 | 0.95 | neutral |
| 2025-12-16 | 22.12 | 22.00 | 0.12 | 0.19 | neutral |
| 2025-12-15 | 22.36 | 21.00 | 1.36 | 2.16 | overbought |
| 2025-12-12 | 22.17 | 22.50 | -0.33 | -0.53 | neutral |
| 2025-12-11 | 22.23 | 22.50 | -0.27 | -0.43 | neutral |
| 2025-12-10 | 22.39 | 22.50 | -0.11 | -0.18 | neutral |
| 2025-12-09 | 22.29 | 22.50 | -0.21 | -0.33 | neutral |
| 2025-12-08 | 22.62 | 23.00 | -0.38 | -0.60 | neutral |
| 2025-12-05 | 22.87 | 23.50 | -0.63 | -1.00 | oversold |
| 2025-12-04 | 22.77 | 23.50 | -0.73 | -1.16 | oversold |
| 2025-12-03 | 22.82 | 23.50 | -0.68 | -1.08 | oversold |
| 2025-12-02 | 22.81 | 23.50 | -0.69 | -1.10 | oversold |
| 2025-12-01 | 22.88 | 23.00 | -0.12 | -0.19 | neutral |
| 2025-11-28 | 22.80 | 22.50 | 0.30 | 0.48 | neutral |
| 2025-11-26 | 22.67 | 22.50 | 0.17 | 0.27 | neutral |
| 2025-11-25 | 22.44 | 22.00 | 0.44 | 0.70 | neutral |
| 2025-11-24 | 21.92 | 22.00 | -0.08 | -0.13 | neutral |
| 2025-11-21 | 21.99 | 23.00 | -1.01 | -1.61 | oversold |
| 2025-11-20 | 21.62 | 23.00 | -1.38 | -2.20 | oversold |
| 2025-11-19 | 21.60 | 23.00 | -1.40 | -2.23 | oversold |
| 2025-11-18 | 21.56 | 23.00 | -1.44 | -2.29 | oversold |
| 2025-11-17 | 21.50 | 23.00 | -1.50 | -2.39 | oversold |
| 2025-11-14 | 21.65 | 22.50 | -0.85 | -1.35 | oversold |
| 2025-11-13 | 21.78 | 22.50 | -0.72 | -1.15 | oversold |
| 2025-11-12 | 21.80 | 22.50 | -0.70 | -1.11 | oversold |
| 2025-11-11 | 22.00 | 22.50 | -0.50 | -0.80 | neutral |
| 2025-11-07 | 21.90 | 22.00 | -0.10 | -0.16 | neutral |
| 2025-11-06 | 21.61 | 22.00 | -0.39 | -0.62 | neutral |
| 2025-11-05 | 21.70 | 22.00 | -0.30 | -0.48 | neutral |
| 2025-11-04 | 21.51 | 21.50 | 0.01 | 0.02 | neutral |
| 2025-11-03 | 21.30 | 21.50 | -0.20 | -0.32 | neutral |
| 2025-10-31 | 21.17 | 22.00 | -0.83 | -1.32 | oversold |
| 2025-10-30 | 20.74 | 22.00 | -1.26 | -2.01 | oversold |
| 2025-10-29 | 20.66 | 22.00 | -1.34 | -2.13 | oversold |
| 2025-10-28 | 21.06 | 22.00 | -0.94 | -1.50 | oversold |
Mean Reversion Backtest
Win Rate: 55.6%
Win Rate: 58.8%
Show Last 10 Trades
| Date | Signal | Side | Entry | 1D Ret | 3D Ret |
|---|---|---|---|---|---|
| 2025-12-19 | overbought | short | 22.70 | -2.47% | 0.00% |
| 2025-12-15 | overbought | short | 22.36 | 1.07% | -1.52% |
| 2025-12-05 | oversold | long | 22.87 | -1.09% | -2.10% |
| 2025-12-04 | oversold | long | 22.77 | 0.44% | -2.11% |
| 2025-12-03 | oversold | long | 22.82 | -0.22% | -0.88% |
| 2025-12-02 | oversold | long | 22.81 | 0.04% | 0.26% |
| 2025-11-21 | oversold | long | 21.99 | -0.32% | 3.09% |
| 2025-11-20 | oversold | long | 21.62 | 1.71% | 3.79% |
| 2025-11-19 | oversold | long | 21.60 | 0.09% | 1.48% |
| 2025-11-18 | oversold | long | 21.56 | 0.19% | 1.99% |
Historical Max Pain Effectiveness
3D: 55.6%
Our analysis incorporates options market microstructure, institutional flow patterns, gamma and vanna dynamics, and dealer hedging models. The analytics and insights provided on this page are generated from a multi-factor options microstructure model, supported by WhaleQuant’s AI forecasting framework. These results reflect structural dynamics such as dealer positioning, hedging flows, volatility regimes, open interest concentration, and term structure behavior.
The outputs shown—including bias assessments and confidence scores—represent directional tendencies based on option market structure and should not be interpreted as price predictions, probability forecasts, or investment advice. Market conditions can change rapidly, and all analyses are provided for informational purposes only.