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RLI Corp. RLI

FINANCIAL SERVICES · INSURANCE - PROPERTY & CASUALTY
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Market dataready · fetched 2026-11-12T02:47:07.148Z

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 · 2026-11-12T00:00:00.001880227Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T02:47:06.831160+00:00

Share price$68.70
1D+1.2%
AH$67.53$67.92$68.32$68.71$69.115:30 AM6:30 AM9:00 AM1:00 PM2:00 PMRLI
Sold putSold callAH

RLI Corp. options

Live interpolated RLI call and put midpoint premiums by absolute delta.RLI Corp.$1.27$2.32$3.38$4.43$5.48$60.18$63.55$66.92$70.29$73.6620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive RLI spot · $68.70RLI PRICE$2.45$2.45$2.45$2.45$2.45$2.59$2.76$2.93$3.10$3.27$3.44$3.61$1.38$1.80$2.22$2.45$2.46$2.46$2.47$2.47$2.53$3.20$3.86$4.52$5.18
PutsExpensive1.84×
Calls——
Skew——
Implied moveBullish±$5.06
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ60.56106.9%13.9%
25Δ85.87176.1%28.6%62.30103.6%11.9%
30Δ78.69135.7%18.1%64.04100.3%10.0%
35Δ74.55108.1%12.1%65.4293.7%8.3%
40Δ72.4390.6%9.0%66.3583.0%7.0%
45Δ70.3273.2%5.9%67.2872.3%5.6%
50Δ69.5166.6%5.0%68.2261.7%4.3%
55Δ68.9461.8%4.4%69.1551.0%2.9%
60Δ68.3757.1%3.8%70.0741.3%1.7%
65Δ67.8052.4%3.2%70.9141.6%1.4%
70Δ67.2347.6%2.6%71.7441.8%1.2%
75Δ66.6542.9%2.0%72.5742.0%0.9%
80Δ66.0838.2%1.4%73.4042.3%0.7%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
60.56
IV
106.9%
B/E move
13.9%

25Δ

Calls
Pseudo strike
85.87
IV
176.1%
B/E move
28.6%
Puts
Pseudo strike
62.30
IV
103.6%
B/E move
11.9%

30Δ

Calls
Pseudo strike
78.69
IV
135.7%
B/E move
18.1%
Puts
Pseudo strike
64.04
IV
100.3%
B/E move
10.0%

35Δ

Calls
Pseudo strike
74.55
IV
108.1%
B/E move
12.1%
Puts
Pseudo strike
65.42
IV
93.7%
B/E move
8.3%

40Δ

Calls
Pseudo strike
72.43
IV
90.6%
B/E move
9.0%
Puts
Pseudo strike
66.35
IV
83.0%
B/E move
7.0%

45Δ

Calls
Pseudo strike
70.32
IV
73.2%
B/E move
5.9%
Puts
Pseudo strike
67.28
IV
72.3%
B/E move
5.6%

50Δ

Calls
Pseudo strike
69.51
IV
66.6%
B/E move
5.0%
Puts
Pseudo strike
68.22
IV
61.7%
B/E move
4.3%

55Δ

Calls
Pseudo strike
68.94
IV
61.8%
B/E move
4.4%
Puts
Pseudo strike
69.15
IV
51.0%
B/E move
2.9%

60Δ

Calls
Pseudo strike
68.37
IV
57.1%
B/E move
3.8%
Puts
Pseudo strike
70.07
IV
41.3%
B/E move
1.7%

65Δ

Calls
Pseudo strike
67.80
IV
52.4%
B/E move
3.2%
Puts
Pseudo strike
70.91
IV
41.6%
B/E move
1.4%

70Δ

Calls
Pseudo strike
67.23
IV
47.6%
B/E move
2.6%
Puts
Pseudo strike
71.74
IV
41.8%
B/E move
1.2%

75Δ

Calls
Pseudo strike
66.65
IV
42.9%
B/E move
2.0%
Puts
Pseudo strike
72.57
IV
42.0%
B/E move
0.9%

80Δ

Calls
Pseudo strike
66.08
IV
38.2%
B/E move
1.4%
Puts
Pseudo strike
73.40
IV
42.3%
B/E move
0.7%

Options history

IV · four-Friday blend29.78%
Daily EOD
RLI25.2%27.7%30.3%2026-10-19: 29.95%2026-10-21: 25.53%2026-10-22: 28.45%2026-10-23: 27.32%2026-10-26: 27.56%2026-10-27: 26.83%2026-10-28: 26.74%2026-10-29: 26.05%2026-10-30: 29.78%Oct 19Oct 26Oct 30
9 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
29.95%
25.53%
28.45%
27.32%
27.56%
26.83%
26.74%
26.05%
29.78%