If your will to stomach some up front capital, the dividend is not priced into the JAN $5 calls.
Stock is at 6.20.
Those calls are asking $1.30 (puts you at 6.30 BE on the stock), but it wouldn't surprise me if you can get them for 1.25.
I bought some yesterday, and added more this morning.
FTR, I'm aslo holding 20 at $2 from their last SPO, so I'm really trying to get my whole batch BE cost down to.
Also for NLY JAN 14, the dividend isn't fully priced in I think.
I should have posted about that one earlier.
I picked some up yesterday and some more this morning.
But the price has moved up since both my buys.
I'm still poking around to see if there are any other reits where you can get calls without the full dividend priced in.
I am not understanding your discussion re. the Calls not having the dividend priced in. Puts have the next series of dividends priced in, increasing their price to contract OPEX. Calls theoretically should be priced less the further you go out (re the dividend), as the long share holder reaps the dividend each month on NYMT, whereas the long Call holder misses out on that same amount each month.
That is the reason I prefer Long shares or short Puts on the monthlies as, in each of those cases, you collect the dividend(ie, Puts have the next series of dividends included in their premium). I understand about wanting to capture CA on a beaten down PPS, but was confused about your discussion re the dividend.