That's been my thinking too (AGNC getting too close now to ex-div for an SPO, and plenty of precedent that they'd sooner do it right after Ex hits than before, etc).
I like the idea of moving the high-basis 1/2 my AGNC calls to MTGE calls, but I'm not sure I'm seeing good bets on MTGE calls?... Break-even would be close to $26 for most $22.50 strikes, and at least traditionally MTGE doesn't seem to hold beyond $26 for long?
More thinking out of the box: to hedge my calls, could it make sense to buy AGNC Mar $33 Puts which have a tight spread ~65c, hold as insurance for 1+ week and then sell the Puts back next Friday? The thought being that maybe the puts won't lose much value between now and then, and if the SPO hasn't happened by next Friday it's then exceedingly unlikely pre-ex? I have not tried a strat like this before though and am not handy with an options calculator so I don't know if my guess that the Puts wouldn't drop too far in value is a reasonable one. ?
I've recently been accumulating AGNC Call's, hoping to take advantage of a small div run in spite of macro market risk. So far so good. But talk has been increasing lately about AGNC being ripe for an SPO, which could easily put me into the red and holding through another quarter. I imagine if an SPO was going to happen it would be very soon (even tonight - historically they love Wednesday EOD), to keep a little distance from the assumed late-March ex-div.
I'd appreciate thoughts on SPO likelihood. Today I could sell the calls for an ok gain, though if SPO threat was low, I'd much rather hold past the div announcement and/or mid or high $33's if they come.
On a side note, just wanted to say that "finding" the MTGE forum recently was a very nice surprise. Solid messages, lots of good folks here I recognize from the AGNC forum (during better times a year ago), and none of the constant spam, flames, and politics that have unfortunately become prominent there.