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RenaissanceRe Holdings Ltd. RNR

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Market dataready · fetched 2026-11-14T01:47:23.666Z

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 · 2026-11-14T00:00:00.001820923Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-14T01:47:23.309722+00:00

Share price$353.62
1D-0.9%
AH$351$353$354$356$3575:30 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.$1.30$4.90$8.51$12.11$15.71$337.01$345.04$353.07$361.09$369.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive RNR spot · $353.62RNR PRICE$1.69$2.08$2.48$3.01$3.68$4.35$5.02$5.69$6.36$7.22$8.61$10.00$11.39$1.79$2.20$2.61$3.02$3.81$4.83$5.85$6.87$7.88$8.90$10.66$12.67$14.67
PutsExpensive1.42×
CallsExpensive1.38×
SkewBearish+2.30 pp
Implied moveBearish±$10.87
TiltBearish9.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ368.2132.3%4.6%340.8932.7%4.1%
25Δ364.9229.9%3.8%343.5930.4%3.5%
30Δ361.6427.4%3.0%346.2928.2%2.8%
35Δ359.2026.0%2.4%348.9925.9%2.2%
40Δ357.5925.7%2.2%351.0625.4%1.8%
45Δ355.9925.3%1.9%352.7726.0%1.6%
50Δ354.3825.0%1.6%354.4726.5%1.4%
55Δ352.7824.6%1.4%356.1827.0%1.2%
60Δ351.1724.2%1.1%357.8827.6%1.0%
65Δ349.5023.9%0.9%359.5828.1%0.8%
70Δ347.6523.5%0.7%361.9128.4%0.7%
75Δ345.8023.2%0.6%364.4328.7%0.5%
80Δ343.9522.9%0.5%366.9528.9%0.4%

20Δ

Calls
Pseudo strike
368.21
IV
32.3%
B/E move
4.6%
Puts
Pseudo strike
340.89
IV
32.7%
B/E move
4.1%

25Δ

Calls
Pseudo strike
364.92
IV
29.9%
B/E move
3.8%
Puts
Pseudo strike
343.59
IV
30.4%
B/E move
3.5%

30Δ

Calls
Pseudo strike
361.64
IV
27.4%
B/E move
3.0%
Puts
Pseudo strike
346.29
IV
28.2%
B/E move
2.8%

35Δ

Calls
Pseudo strike
359.20
IV
26.0%
B/E move
2.4%
Puts
Pseudo strike
348.99
IV
25.9%
B/E move
2.2%

40Δ

Calls
Pseudo strike
357.59
IV
25.7%
B/E move
2.2%
Puts
Pseudo strike
351.06
IV
25.4%
B/E move
1.8%

45Δ

Calls
Pseudo strike
355.99
IV
25.3%
B/E move
1.9%
Puts
Pseudo strike
352.77
IV
26.0%
B/E move
1.6%

50Δ

Calls
Pseudo strike
354.38
IV
25.0%
B/E move
1.6%
Puts
Pseudo strike
354.47
IV
26.5%
B/E move
1.4%

55Δ

Calls
Pseudo strike
352.78
IV
24.6%
B/E move
1.4%
Puts
Pseudo strike
356.18
IV
27.0%
B/E move
1.2%

60Δ

Calls
Pseudo strike
351.17
IV
24.2%
B/E move
1.1%
Puts
Pseudo strike
357.88
IV
27.6%
B/E move
1.0%

65Δ

Calls
Pseudo strike
349.50
IV
23.9%
B/E move
0.9%
Puts
Pseudo strike
359.58
IV
28.1%
B/E move
0.8%

70Δ

Calls
Pseudo strike
347.65
IV
23.5%
B/E move
0.7%
Puts
Pseudo strike
361.91
IV
28.4%
B/E move
0.7%

75Δ

Calls
Pseudo strike
345.80
IV
23.2%
B/E move
0.6%
Puts
Pseudo strike
364.43
IV
28.7%
B/E move
0.5%

80Δ

Calls
Pseudo strike
343.95
IV
22.9%
B/E move
0.5%
Puts
Pseudo strike
366.95
IV
28.9%
B/E move
0.4%

Options history

IV · four-Friday blend23.00%
Daily EOD
RNR22.4%24.1%25.8%2026-10-19: 23.13%2026-10-20: 23.55%2026-10-21: 23.66%2026-10-22: 23.84%2026-10-23: 24.94%2026-10-26: 24.97%2026-10-27: 25.60%2026-10-28: 23.11%2026-10-29: 22.66%2026-10-30: 23.00%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
23.13%
23.55%
23.66%
23.84%
24.94%
24.97%
25.60%
23.11%
22.66%
23.00%