IntraAlpha
Create free account Start free

RLI Corp. RLI

i

Market datapartial · fetched 2026-10-22T23:29:12.166Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-22T23:00:00.001658513Z

FundamentalsAlpha Vantage · unavailable

Share price$67.01
1D+3.9%
AH$64.11$64.95$65.79$66.63$67.475:30 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.$1.26$2.70$4.14$5.58$7.03$52.70$58.64$64.57$70.50$76.4320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive RLI spot · $67.01RLI PRICE$2.45$2.45$1.42$1.61$1.82$2.03$2.24$2.45$2.66$2.87$3.49$4.35$2.45$2.46$2.46$2.47$2.59$2.83$3.06$3.29$3.52$3.75$4.40$5.50$6.61
PutsExpensive1.59×
CallsFair0.97×
SkewBearish+11.63 pp
Implied moveBearish±$5.09
TiltBearish20.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ55.07101.3%21.5%
25Δ84.5699.7%29.9%57.9285.7%17.2%
30Δ77.3076.8%19.0%60.7670.1%13.0%
35Δ70.0833.7%6.7%63.6154.5%8.8%
40Δ69.3331.6%5.9%65.4245.3%6.2%
45Δ68.6530.0%5.2%66.2542.3%5.3%
50Δ67.9728.5%4.5%67.0839.4%4.5%
55Δ67.2926.9%3.8%67.9136.4%3.6%
60Δ66.6125.4%3.1%68.7433.4%2.7%
65Δ65.9423.8%2.4%69.5630.4%1.8%
70Δ65.2622.3%1.7%70.6129.4%1.2%
75Δ64.3821.8%1.3%71.9030.5%0.9%
80Δ63.3721.8%1.1%73.2031.6%0.6%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
55.07
IV
101.3%
B/E move
21.5%

25Δ

Calls
Pseudo strike
84.56
IV
99.7%
B/E move
29.9%
Puts
Pseudo strike
57.92
IV
85.7%
B/E move
17.2%

30Δ

Calls
Pseudo strike
77.30
IV
76.8%
B/E move
19.0%
Puts
Pseudo strike
60.76
IV
70.1%
B/E move
13.0%

35Δ

Calls
Pseudo strike
70.08
IV
33.7%
B/E move
6.7%
Puts
Pseudo strike
63.61
IV
54.5%
B/E move
8.8%

40Δ

Calls
Pseudo strike
69.33
IV
31.6%
B/E move
5.9%
Puts
Pseudo strike
65.42
IV
45.3%
B/E move
6.2%

45Δ

Calls
Pseudo strike
68.65
IV
30.0%
B/E move
5.2%
Puts
Pseudo strike
66.25
IV
42.3%
B/E move
5.3%

50Δ

Calls
Pseudo strike
67.97
IV
28.5%
B/E move
4.5%
Puts
Pseudo strike
67.08
IV
39.4%
B/E move
4.5%

55Δ

Calls
Pseudo strike
67.29
IV
26.9%
B/E move
3.8%
Puts
Pseudo strike
67.91
IV
36.4%
B/E move
3.6%

60Δ

Calls
Pseudo strike
66.61
IV
25.4%
B/E move
3.1%
Puts
Pseudo strike
68.74
IV
33.4%
B/E move
2.7%

65Δ

Calls
Pseudo strike
65.94
IV
23.8%
B/E move
2.4%
Puts
Pseudo strike
69.56
IV
30.4%
B/E move
1.8%

70Δ

Calls
Pseudo strike
65.26
IV
22.3%
B/E move
1.7%
Puts
Pseudo strike
70.61
IV
29.4%
B/E move
1.2%

75Δ

Calls
Pseudo strike
64.38
IV
21.8%
B/E move
1.3%
Puts
Pseudo strike
71.90
IV
30.5%
B/E move
0.9%

80Δ

Calls
Pseudo strike
63.37
IV
21.8%
B/E move
1.1%
Puts
Pseudo strike
73.20
IV
31.6%
B/E move
0.6%

Options history

No recorded observations