Jan 15 $5 puts trading at 30 cents so you can sell them, put up $1.60 or so in collatteral and pocket about a 1% monthly return on margin. You make money in pretty much any scenario where NLY is not kaput in eighteen months. Wow.
Mosy peopel would buy the share, sell the call and buy the put, albeit a $10 puts ve a $5. Seeing that NLYs all time low was .6 ish, your bet seems stable. Though you losses would skyrocket if you sold a lot of puts, and she bottomed out at 4%.