TWO's Put-Call Ratio Hits Record as Earnings Loom

Options traders are making the loudest call on Two Harbors Investment Corp. heading into August 4 earnings. The put-call ratio hit 5.66 on July 29 — a 52-week high, sitting 2.3 standard deviations above its 20-day mean of 5.10. That is the most defensive options posture TWO has seen all year.

Options Pessimism Deepens

The PCR move is not a one-day spike. It has been climbing steadily for weeks. It stood near 4.4 in late June. By mid-July it had crossed 5.0. Now it has broken to fresh highs with earnings five days away.

The directional message is clear. Options buyers are loading up on downside protection. That's consistent with the Q2 earnings context — EAD per share came in at $0.24, well below expectations. The bear case is live: elevated economic leverage at 6.2x, rate sensitivity baked into an agency MBS-heavy book, and a stock already down 2.7% over the past month.

Short Interest Confirms the Skew

Short interest backs the options signal. SI has risen 29% over the past week to 4.2% of the free float. Over the past month, the rise is 40%. The ORTEX short score has moved from 34.8 to 39.4 over ten days — a consistent drift higher.

Since the previous article published July 29, short interest has pulled back slightly from the 4.3% peak to 4.2%. The directional trend, however, remains intact and the monthly accumulation picture is unchanged.

Borrow Market Sends a Contradictory Signal

One data point cuts against the bearish setup: cost to borrow has collapsed. CTB fell 58% over the past week to just 0.21% — near multi-year lows. Availability stands at 823% — roughly eight shares available to borrow for every one currently shorted. The lending pool is wide open.

Cheap, abundant borrow does not confirm a squeeze risk. It means shorts can add easily and at almost no cost. That ease of entry may itself be a reason why positioning has built so quickly.

RBC Raises Target, JP Morgan Still Cautious

Analyst moves add nuance. RBC Capital raised its price target from $11 to $12 on July 27, maintaining a Sector Perform rating. JP Morgan also lifted its target from $11 to $12 in mid-July, but kept its Underweight rating. The consensus price target sits at $11.91 — just below the current price of $12.10. JP Morgan's Underweight call dates to an April downgrade from Neutral. Multiple firms cut TWO in early 2026.

Data Summary

• Put-call ratio: 5.66 (52-week high; 52-week low: 0.29; z-score: +2.33)
• SI % of free float: 4.2%, up 29% week-on-week, up 40% month-on-month
• ORTEX short score: 39.4 (up from 34.8 ten days ago)
• Cost to borrow: 0.21%, down 58% week-on-week
• Availability: 823% — loose borrow conditions
• Next earnings: August 4, 2026
• Analyst consensus target: $11.91; current price: $12.10