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RenaissanceRe Holdings Ltd. RNR

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Market datapartial · fetched 2026-10-23T02:22:15.240Z

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 · 2026-10-22T23:00:00.001818528Z

FundamentalsAlpha Vantage · unavailable

Share price$362.59
1D+1.4%
AH$357$359$360$362$3645:30 AM6:30 AM9:00 AM1:00 PM2:00 PMRNR
Sold putSold callAH

RenaissanceRe Holdings Ltd. options

Live interpolated RNR call and put midpoint premiums by absolute delta.RenaissanceRe Holdings Ltd.$1.89$9.20$16.50$23.80$31.10$309.60$331.89$354.19$376.48$398.7720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive RNR spot · $362.59RNR PRICE$2.68$3.53$4.60$5.80$6.99$8.50$10.19$11.87$13.95$16.28$18.61$22.90$27.53$3.87$4.96$6.08$7.40$8.76$10.33$12.31$14.29$16.57$19.05$21.56$25.28$29.00
PutsExpensive1.33×
CallsFair0.95×
SkewBearish+3.03 pp
Implied moveBearish±$22.50
TiltBearish7.8% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ386.2523.9%7.3%338.0032.4%7.8%
25Δ381.6123.8%6.2%343.8631.1%6.5%
30Δ377.8224.0%5.5%349.1729.8%5.4%
35Δ374.4924.4%4.9%353.3829.1%4.6%
40Δ371.1524.7%4.3%357.3828.5%3.9%
45Δ367.8525.1%3.8%361.2628.2%3.2%
50Δ364.5825.5%3.4%364.9328.2%2.8%
55Δ361.3126.0%2.9%368.5928.3%2.3%
60Δ357.8226.3%2.5%372.3828.2%1.9%
65Δ354.1726.6%2.2%376.2528.0%1.5%
70Δ350.5326.8%1.8%380.1427.8%1.1%
75Δ345.2728.5%1.5%384.9427.8%0.8%
80Δ339.7230.3%1.3%389.7427.8%0.5%

20Δ

Calls
Pseudo strike
386.25
IV
23.9%
B/E move
7.3%
Puts
Pseudo strike
338.00
IV
32.4%
B/E move
7.8%

25Δ

Calls
Pseudo strike
381.61
IV
23.8%
B/E move
6.2%
Puts
Pseudo strike
343.86
IV
31.1%
B/E move
6.5%

30Δ

Calls
Pseudo strike
377.82
IV
24.0%
B/E move
5.5%
Puts
Pseudo strike
349.17
IV
29.8%
B/E move
5.4%

35Δ

Calls
Pseudo strike
374.49
IV
24.4%
B/E move
4.9%
Puts
Pseudo strike
353.38
IV
29.1%
B/E move
4.6%

40Δ

Calls
Pseudo strike
371.15
IV
24.7%
B/E move
4.3%
Puts
Pseudo strike
357.38
IV
28.5%
B/E move
3.9%

45Δ

Calls
Pseudo strike
367.85
IV
25.1%
B/E move
3.8%
Puts
Pseudo strike
361.26
IV
28.2%
B/E move
3.2%

50Δ

Calls
Pseudo strike
364.58
IV
25.5%
B/E move
3.4%
Puts
Pseudo strike
364.93
IV
28.2%
B/E move
2.8%

55Δ

Calls
Pseudo strike
361.31
IV
26.0%
B/E move
2.9%
Puts
Pseudo strike
368.59
IV
28.3%
B/E move
2.3%

60Δ

Calls
Pseudo strike
357.82
IV
26.3%
B/E move
2.5%
Puts
Pseudo strike
372.38
IV
28.2%
B/E move
1.9%

65Δ

Calls
Pseudo strike
354.17
IV
26.6%
B/E move
2.2%
Puts
Pseudo strike
376.25
IV
28.0%
B/E move
1.5%

70Δ

Calls
Pseudo strike
350.53
IV
26.8%
B/E move
1.8%
Puts
Pseudo strike
380.14
IV
27.8%
B/E move
1.1%

75Δ

Calls
Pseudo strike
345.27
IV
28.5%
B/E move
1.5%
Puts
Pseudo strike
384.94
IV
27.8%
B/E move
0.8%

80Δ

Calls
Pseudo strike
339.72
IV
30.3%
B/E move
1.3%
Puts
Pseudo strike
389.74
IV
27.8%
B/E move
0.5%

Options history

No recorded observations