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Renaissancere Holdings Ltd RNR

FINANCIAL SERVICES · INSURANCE - REINSURANCE
i

Market dataready · fetched 2026-10-24T20:24:21.739Z

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 · 2026-10-23T23:00:00.001655614Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-24T20:24:22.016275+00:00

Share price$352.60
1D-3.1%
AH$351$354$358$361$3655:30 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$2.13$9.29$16.46$23.63$30.79$310.72$330.13$349.54$368.95$388.3720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive RNR spot · $352.60RNR PRICE$2.90$3.85$4.90$6.21$7.51$9.05$10.80$12.56$14.86$17.44$20.16$23.90$27.83$3.64$4.82$6.02$7.37$8.73$10.28$12.17$14.07$16.26$18.68$21.10$24.86$28.73
PutsExpensive1.37×
CallsExpensive1.10×
SkewBearish+0.70 pp
Implied moveBearish±$22.98
TiltBearish4.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ378.2227.8%8.1%329.4032.6%7.6%
25Δ373.4127.7%7.0%334.4831.9%6.5%
30Δ368.9627.7%6.0%339.2931.4%5.5%
35Δ365.3628.0%5.4%343.3830.9%4.7%
40Δ361.7628.4%4.7%347.3430.3%4.0%
45Δ358.2028.8%4.2%351.1929.8%3.3%
50Δ354.6929.1%3.7%354.8029.8%2.8%
55Δ351.1929.4%3.2%358.4229.7%2.3%
60Δ347.3930.0%2.7%362.1329.5%1.9%
65Δ343.4530.6%2.4%365.9129.2%1.5%
70Δ339.3931.2%2.0%369.6928.9%1.1%
75Δ334.4731.9%1.6%374.5029.1%0.8%
80Δ329.3832.6%1.3%379.4029.2%0.5%

20Δ

Calls
Pseudo strike
378.22
IV
27.8%
B/E move
8.1%
Puts
Pseudo strike
329.40
IV
32.6%
B/E move
7.6%

25Δ

Calls
Pseudo strike
373.41
IV
27.7%
B/E move
7.0%
Puts
Pseudo strike
334.48
IV
31.9%
B/E move
6.5%

30Δ

Calls
Pseudo strike
368.96
IV
27.7%
B/E move
6.0%
Puts
Pseudo strike
339.29
IV
31.4%
B/E move
5.5%

35Δ

Calls
Pseudo strike
365.36
IV
28.0%
B/E move
5.4%
Puts
Pseudo strike
343.38
IV
30.9%
B/E move
4.7%

40Δ

Calls
Pseudo strike
361.76
IV
28.4%
B/E move
4.7%
Puts
Pseudo strike
347.34
IV
30.3%
B/E move
4.0%

45Δ

Calls
Pseudo strike
358.20
IV
28.8%
B/E move
4.2%
Puts
Pseudo strike
351.19
IV
29.8%
B/E move
3.3%

50Δ

Calls
Pseudo strike
354.69
IV
29.1%
B/E move
3.7%
Puts
Pseudo strike
354.80
IV
29.8%
B/E move
2.8%

55Δ

Calls
Pseudo strike
351.19
IV
29.4%
B/E move
3.2%
Puts
Pseudo strike
358.42
IV
29.7%
B/E move
2.3%

60Δ

Calls
Pseudo strike
347.39
IV
30.0%
B/E move
2.7%
Puts
Pseudo strike
362.13
IV
29.5%
B/E move
1.9%

65Δ

Calls
Pseudo strike
343.45
IV
30.6%
B/E move
2.4%
Puts
Pseudo strike
365.91
IV
29.2%
B/E move
1.5%

70Δ

Calls
Pseudo strike
339.39
IV
31.2%
B/E move
2.0%
Puts
Pseudo strike
369.69
IV
28.9%
B/E move
1.1%

75Δ

Calls
Pseudo strike
334.47
IV
31.9%
B/E move
1.6%
Puts
Pseudo strike
374.50
IV
29.1%
B/E move
0.8%

80Δ

Calls
Pseudo strike
329.38
IV
32.6%
B/E move
1.3%
Puts
Pseudo strike
379.40
IV
29.2%
B/E move
0.5%

Options history

No recorded observations