NLY·Annaly Capital Management Inc.

Realized volatility (21d)

29.3% 91st pct

Below its peak

-63.9%

vs 200-day average

-18.2%

Up days (1y)

51%

Annaly Capital Management Inc. is currently running 29.3% annualised volatility over the last 21 sessions. Measured against NLY's own 13 years of daily returns rather than a market-wide average, that is the 91st percentile — an extreme by its own standards, against a typical reading of 17.5%. The distinction matters because a number that looks calm for one stock is turbulent for another, and the absolute figure on its own tells you neither.

NLY is trading -63.9% below its running peak. Across 12 full years on file, its median worst-drawdown-in-a-year was -18.1%, and the deepest was -61.3% in 2020. The current drawdown is already deeper than this stock's typical annual low point, which puts it in the part of its range where past recoveries began — and where past declines also continued.

Price sits -18.2% from its 200-day moving average. Against every other day in its history, that gap ranks at the 5th percentile — a narrower gap than it typically runs. Over the past year NLY closed higher on 51% of sessions, and it is currently 2 sessions into a rising streak.

On October specifically: over 13 years of records, NLY finished the month higher 8 of 13 times, with a median return of +0.3% and an average of -0.8%. Its strongest month historically has been April at +4.4% on average, its weakest September at -6.1%. Seasonality is a weak signal on its own — a decade is a small sample and regimes change — but it is a real distribution rather than a rule of thumb.

Overnight risk is measurable too: NLY has opened more than 2% away from the prior close in 71 of 3,266 sessions (2.2% of the time), with the largest gaps running +9.8% and -6.2%. For anyone holding through an event, that rate is a better guide to overnight exposure than the intraday range.

All figures computed from 3,267 daily closes between 2013-10-14 and 2026-10-09, split-adjusted, recomputed daily. Percentiles are against NLY's own 13-year history, not a peer group or index.