IntraAlpha
Create free account Start free

Greenlight Capital Re, Ltd. Class A Ordinary Shares GLRE

i

Market dataready · fetched 2026-11-11T15:49:45.570Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-05-21

Calculation methodology

Options historyIV: ThetaData historical Greeks, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-11T15:18:07.023667364Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-11T15:49:44.269938+00:00

Share price$16.22
1D-1.8%
$16.13$16.23$16.34$16.44$16.545:30 AM6:30 AM9:00 AM1:00 PMGLRE
Sold putSold call

Greenlight Capital Re, Ltd. Class A Ordinary Shares options

Live interpolated GLRE call and put midpoint premiums by absolute delta.Greenlight Capital Re, Ltd. Class A Ordinary Shares$1.50$3.40$5.29$7.19$9.08$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEGLRE PRICE$1.71$2.50$3.29$4.09$4.88$5.67$6.46$7.26$8.05$3.69$4.90$6.11$7.32$8.54
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ19.3354.1%29.7%
45Δ18.1760.7%27.5%
50Δ17.0167.4%25.2%
55Δ15.8574.0%22.9%18.8046.6%6.8%
60Δ14.7080.6%20.7%20.2149.5%5.6%
65Δ13.5487.2%18.4%21.6352.5%4.3%
70Δ12.3893.9%16.2%23.0455.5%3.1%
75Δ11.22100.5%13.9%24.4658.5%1.8%
80Δ10.06107.1%11.6%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
19.33
IV
54.1%
B/E move
29.7%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
18.17
IV
60.7%
B/E move
27.5%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
17.01
IV
67.4%
B/E move
25.2%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
15.85
IV
74.0%
B/E move
22.9%
Puts
Pseudo strike
18.80
IV
46.6%
B/E move
6.8%

60Δ

Calls
Pseudo strike
14.70
IV
80.6%
B/E move
20.7%
Puts
Pseudo strike
20.21
IV
49.5%
B/E move
5.6%

65Δ

Calls
Pseudo strike
13.54
IV
87.2%
B/E move
18.4%
Puts
Pseudo strike
21.63
IV
52.5%
B/E move
4.3%

70Δ

Calls
Pseudo strike
12.38
IV
93.9%
B/E move
16.2%
Puts
Pseudo strike
23.04
IV
55.5%
B/E move
3.1%

75Δ

Calls
Pseudo strike
11.22
IV
100.5%
B/E move
13.9%
Puts
Pseudo strike
24.46
IV
58.5%
B/E move
1.8%

80Δ

Calls
Pseudo strike
10.06
IV
107.1%
B/E move
11.6%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend60.34%
Daily close
GLRE31.0%80.8%130.6%2026-08-19: 82.32%2026-08-21: 41.43%2026-08-25: 49.75%2026-09-04: 47.66%2026-09-09: 52.50%2026-09-10: 53.32%2026-09-11: 42.92%2026-09-15: 76.15%2026-09-16: 86.61%2026-09-17: 123.74%2026-09-18: 47.21%2026-09-21: 43.18%2026-09-22: 43.31%2026-09-23: 48.67%2026-09-25: 45.38%2026-09-28: 43.92%2026-09-29: 38.24%2026-10-01: 49.42%2026-10-02: 41.71%2026-10-05: 49.20%2026-10-06: 48.72%2026-10-07: 43.05%2026-10-08: 56.33%2026-10-09: 52.05%2026-10-12: 61.40%2026-10-13: 65.13%2026-10-14: 66.34%2026-10-15: 88.87%2026-10-16: 47.03%2026-10-19: 38.28%2026-10-20: 39.58%2026-10-21: 55.16%2026-10-22: 63.23%2026-10-23: 57.65%2026-10-26: 47.96%2026-10-27: 52.44%2026-10-28: 43.63%2026-10-29: 37.87%2026-10-30: 60.34%Aug 19Oct 5Oct 30
39 observations2026-08-19 — 2026-10-30
Table
DateIV (%)
82.32%
41.43%
49.75%
47.66%
52.50%
53.32%
42.92%
76.15%
86.61%
123.74%
47.21%
43.18%
43.31%
48.67%
45.38%
43.92%
38.24%
49.42%
41.71%
49.20%
48.72%
43.05%
56.33%
52.05%
61.40%
65.13%
66.34%
88.87%
47.03%
38.28%
39.58%
55.16%
63.23%
57.65%
47.96%
52.44%
43.63%
37.87%
60.34%