Synthetic Long Discount Alert: ANNALY CAPITAL $NLY trading at a 11.11% discount for the 17-Jan-2025 expiration

Quantchabot has detected a promising Synthetic Long Stock trade opportunity for ANNALY CAPITAL (NLY) for the 17-Jan-2025 expiration period. You can analyze the opportunity in depth over at the Quantcha Options Search Engine.

NLY was recently trading at $21.20 and has an implied volatility of 34.79% for this period. Based on an analysis of the options available for NLY expiring on 17-Jan-2025, there is a 68.28% likelihood that the underlying will close within the analyzed range of $14.14-$39.28 at expiration. In this scenario, the average linear return for the trade would be 95.30%.

Upside potential: This synthetic long position offers the same potential benefits and liabilities as a long stock position, but at a discount due to the significant premium at-the-money puts are trading at over calls. In this case, the put position is opened at a strike of $22.00, which is already $0.80 in-the-money. However, its sale more than offsets this moneyness and the cost of the long call that the trade results in a net credit of of $3.15 per share. The final position can be considered as having a discount of $2.35 per share over the underlying price of $21.20 for a 11.11% total.

Downside risk: This discount is generally a sign of the stock facing considerable short pressure, and may indicate that the stock has become hard to borrow. However, if you have a long view of the underlying over this period, it could be a good opportunity to benefit from the upside at a major discount.

To analyze this trade in depth, please visit the Quantcha Options Search Engine.