IntraAlpha
Create free account Start free

Reckoner BBB-B CLO ETF RCLO

i

Market dataready · fetched 2026-11-13T02:12:30.520Z

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 · 2026-11-13T01:00:00.037860448Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T02:12:30.004185+00:00

Share price$24.82
1D+0.1%
AH$24.77$24.79$24.81$24.83$24.855:30 AM6:30 AM9:00 AM1:00 PM2:00 PMRCLO
Sold putSold callAH

Reckoner BBB-B CLO ETF options

Live interpolated RCLO call and put midpoint premiums by absolute delta.Reckoner BBB-B CLO ETF$0.56$0.71$0.86$1.02$1.17$22.44$23.13$23.82$24.50$25.1920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive RCLO spot · $24.82RCLO PRICE$0.57$0.57$0.57$0.57$0.57$0.57$0.62$0.70$0.78$0.85$0.93$1.01$0.57$0.57$0.57$0.58$0.62$0.66$0.70$0.76$0.83$0.91$0.98$1.05$1.13
PutsExpensive28.46×
Calls——
Skew——
Implied moveBearish±$1.32
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ30.97157.9%27.1%21.53130.5%15.6%
25Δ28.26115.8%16.2%22.7399.7%10.7%
30Δ26.8689.7%10.5%23.4780.2%7.7%
35Δ26.0071.3%7.1%24.0464.9%5.5%
40Δ25.5960.7%5.5%24.3159.1%4.5%
45Δ25.1950.1%3.8%24.5853.2%3.6%
50Δ24.9144.1%2.9%24.8547.4%2.7%
55Δ24.7342.3%2.5%25.0743.1%2.0%
60Δ24.5540.6%2.1%25.2140.6%1.7%
65Δ24.3838.8%1.7%25.3638.2%1.4%
70Δ24.2037.0%1.3%25.5135.7%1.2%
75Δ24.0335.3%0.9%25.6533.3%0.9%
80Δ25.8030.8%0.6%

20Δ

Calls
Pseudo strike
30.97
IV
157.9%
B/E move
27.1%
Puts
Pseudo strike
21.53
IV
130.5%
B/E move
15.6%

25Δ

Calls
Pseudo strike
28.26
IV
115.8%
B/E move
16.2%
Puts
Pseudo strike
22.73
IV
99.7%
B/E move
10.7%

30Δ

Calls
Pseudo strike
26.86
IV
89.7%
B/E move
10.5%
Puts
Pseudo strike
23.47
IV
80.2%
B/E move
7.7%

35Δ

Calls
Pseudo strike
26.00
IV
71.3%
B/E move
7.1%
Puts
Pseudo strike
24.04
IV
64.9%
B/E move
5.5%

40Δ

Calls
Pseudo strike
25.59
IV
60.7%
B/E move
5.5%
Puts
Pseudo strike
24.31
IV
59.1%
B/E move
4.5%

45Δ

Calls
Pseudo strike
25.19
IV
50.1%
B/E move
3.8%
Puts
Pseudo strike
24.58
IV
53.2%
B/E move
3.6%

50Δ

Calls
Pseudo strike
24.91
IV
44.1%
B/E move
2.9%
Puts
Pseudo strike
24.85
IV
47.4%
B/E move
2.7%

55Δ

Calls
Pseudo strike
24.73
IV
42.3%
B/E move
2.5%
Puts
Pseudo strike
25.07
IV
43.1%
B/E move
2.0%

60Δ

Calls
Pseudo strike
24.55
IV
40.6%
B/E move
2.1%
Puts
Pseudo strike
25.21
IV
40.6%
B/E move
1.7%

65Δ

Calls
Pseudo strike
24.38
IV
38.8%
B/E move
1.7%
Puts
Pseudo strike
25.36
IV
38.2%
B/E move
1.4%

70Δ

Calls
Pseudo strike
24.20
IV
37.0%
B/E move
1.3%
Puts
Pseudo strike
25.51
IV
35.7%
B/E move
1.2%

75Δ

Calls
Pseudo strike
24.03
IV
35.3%
B/E move
0.9%
Puts
Pseudo strike
25.65
IV
33.3%
B/E move
0.9%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
25.80
IV
30.8%
B/E move
0.6%

Options history

IV · four-Friday blend23.09%
Daily EOD
RCLO22.0%23.2%24.3%2026-10-19: 22.74%2026-10-20: 23.65%2026-10-21: 24.08%2026-10-22: 24.12%2026-10-23: 22.20%2026-10-26: 22.54%2026-10-27: 22.93%2026-10-28: 23.10%2026-10-29: 23.22%2026-10-30: 23.09%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
22.74%
23.65%
24.08%
24.12%
22.20%
22.54%
22.93%
23.10%
23.22%
23.09%