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Renaissance IPO ETF IPO

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Market dataready · fetched 2026-11-11T13:56:50.087Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

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 · 2026-11-11T01:00:00.114245135Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T13:56:49.638125+00:00

Share price$46.76
1D+0.3%
AH$46.05$46.43$46.80$47.18$47.555:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIPO
Sold putSold callAH

Renaissance IPO ETF options

Live interpolated IPO call and put midpoint premiums by absolute delta.Renaissance IPO ETF$0.43$1.40$2.36$3.33$4.29$41.23$43.88$46.53$49.18$51.8320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive IPO spot · $46.76IPO PRICE$0.54$0.70$0.76$0.83$0.94$1.12$1.31$1.52$1.74$2.02$2.32$2.66$3.03$0.71$0.77$0.85$0.92$1.01$1.19$1.36$1.59$1.83$2.13$2.55$3.16$4.01
PutsCheap0.85×
CallsCheap0.93×
SkewBearish+1.16 pp
Implied moveBearish±$2.67
TiltBearish6.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ51.3064.8%10.9%42.3680.3%10.9%
25Δ50.5766.1%9.6%43.8565.6%7.9%
30Δ49.2956.3%7.0%44.7857.4%6.1%
35Δ48.4549.6%5.4%45.4850.7%4.7%
40Δ47.8346.2%4.3%46.0845.4%3.6%
45Δ47.3846.4%3.7%46.5044.9%3.1%
50Δ46.9346.6%3.2%46.9244.4%2.6%
55Δ46.5046.3%2.7%47.3344.0%2.2%
60Δ46.0846.0%2.3%47.7443.7%1.8%
65Δ45.6246.2%1.9%48.2044.1%1.5%
70Δ45.1646.4%1.5%48.7445.5%1.2%
75Δ44.6746.2%1.2%49.4648.7%1.0%
80Δ44.1645.7%0.9%50.4153.0%0.8%

20Δ

Calls
Pseudo strike
51.30
IV
64.8%
B/E move
10.9%
Puts
Pseudo strike
42.36
IV
80.3%
B/E move
10.9%

25Δ

Calls
Pseudo strike
50.57
IV
66.1%
B/E move
9.6%
Puts
Pseudo strike
43.85
IV
65.6%
B/E move
7.9%

30Δ

Calls
Pseudo strike
49.29
IV
56.3%
B/E move
7.0%
Puts
Pseudo strike
44.78
IV
57.4%
B/E move
6.1%

35Δ

Calls
Pseudo strike
48.45
IV
49.6%
B/E move
5.4%
Puts
Pseudo strike
45.48
IV
50.7%
B/E move
4.7%

40Δ

Calls
Pseudo strike
47.83
IV
46.2%
B/E move
4.3%
Puts
Pseudo strike
46.08
IV
45.4%
B/E move
3.6%

45Δ

Calls
Pseudo strike
47.38
IV
46.4%
B/E move
3.7%
Puts
Pseudo strike
46.50
IV
44.9%
B/E move
3.1%

50Δ

Calls
Pseudo strike
46.93
IV
46.6%
B/E move
3.2%
Puts
Pseudo strike
46.92
IV
44.4%
B/E move
2.6%

55Δ

Calls
Pseudo strike
46.50
IV
46.3%
B/E move
2.7%
Puts
Pseudo strike
47.33
IV
44.0%
B/E move
2.2%

60Δ

Calls
Pseudo strike
46.08
IV
46.0%
B/E move
2.3%
Puts
Pseudo strike
47.74
IV
43.7%
B/E move
1.8%

65Δ

Calls
Pseudo strike
45.62
IV
46.2%
B/E move
1.9%
Puts
Pseudo strike
48.20
IV
44.1%
B/E move
1.5%

70Δ

Calls
Pseudo strike
45.16
IV
46.4%
B/E move
1.5%
Puts
Pseudo strike
48.74
IV
45.5%
B/E move
1.2%

75Δ

Calls
Pseudo strike
44.67
IV
46.2%
B/E move
1.2%
Puts
Pseudo strike
49.46
IV
48.7%
B/E move
1.0%

80Δ

Calls
Pseudo strike
44.16
IV
45.7%
B/E move
0.9%
Puts
Pseudo strike
50.41
IV
53.0%
B/E move
0.8%

Options history

IV · four-Friday blend36.20%
Daily close
IPO28.2%36.5%44.8%2026-08-13: 32.09%2026-08-14: 33.19%2026-08-17: 35.49%2026-08-18: 36.68%2026-08-19: 39.31%2026-08-20: 42.05%2026-08-21: 34.52%2026-08-24: 34.94%2026-08-25: 36.00%2026-08-26: 35.72%2026-08-27: 34.19%2026-08-28: 34.56%2026-08-31: 33.80%2026-09-01: 35.24%2026-09-02: 34.93%2026-09-03: 34.46%2026-09-04: 35.48%2026-09-08: 35.86%2026-09-09: 37.46%2026-09-10: 37.97%2026-09-11: 39.75%2026-09-14: 38.31%2026-09-15: 40.62%2026-09-16: 40.46%2026-09-17: 43.69%2026-09-18: 34.83%2026-09-21: 35.07%2026-09-22: 33.12%2026-09-23: 32.66%2026-09-24: 31.88%2026-09-25: 32.05%2026-09-28: 32.38%2026-09-29: 32.28%2026-09-30: 33.85%2026-10-01: 32.46%2026-10-02: 32.22%2026-10-05: 31.25%2026-10-07: 29.36%2026-10-08: 31.12%2026-10-09: 30.89%2026-10-12: 36.08%2026-10-13: 35.16%2026-10-14: 38.27%2026-10-16: 31.99%2026-10-19: 33.03%2026-10-20: 33.85%2026-10-21: 32.67%2026-10-22: 33.89%2026-10-23: 34.87%2026-10-26: 35.30%2026-10-27: 33.00%2026-10-28: 33.63%2026-10-29: 33.78%2026-10-30: 36.20%Aug 13Sep 21Oct 30
54 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
32.09%
33.19%
35.49%
36.68%
39.31%
42.05%
34.52%
34.94%
36.00%
35.72%
34.19%
34.56%
33.80%
35.24%
34.93%
34.46%
35.48%
35.86%
37.46%
37.97%
39.75%
38.31%
40.62%
40.46%
43.69%
34.83%
35.07%
33.12%
32.66%
31.88%
32.05%
32.38%
32.28%
33.85%
32.46%
32.22%
31.25%
29.36%
31.12%
30.89%
36.08%
35.16%
38.27%
31.99%
33.03%
33.85%
32.67%
33.89%
34.87%
35.30%
33.00%
33.63%
33.78%
36.20%