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RenaissanceRe Holdings Ltd. RNR

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Market datapartial · fetched 2026-10-23T04:10:43.621Z

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.$1.90$9.17$16.44$23.71$30.98$309.69$331.74$353.79$375.84$397.8920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive RNR spot · $362.59RNR PRICE$2.69$3.53$4.61$5.80$7.00$8.52$10.21$11.90$13.98$16.32$18.66$22.99$27.65$3.86$4.95$6.07$7.39$8.75$10.31$12.29$14.26$16.54$19.00$21.48$25.18$28.89
PutsExpensive1.35×
CallsFair1.00×
SkewBearish+2.97 pp
Implied moveBearish±$22.50
TiltBearish7.6% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ386.2424.4%7.3%337.9733.0%7.9%
25Δ381.5924.2%6.2%343.8331.6%6.5%
30Δ377.8024.4%5.5%349.1430.3%5.4%
35Δ374.4624.8%4.9%353.3529.6%4.6%
40Δ371.1225.2%4.3%357.3529.0%3.9%
45Δ367.8225.6%3.8%361.2328.6%3.2%
50Δ364.5526.0%3.4%364.8928.7%2.8%
55Δ361.2726.5%2.9%368.5428.8%2.3%
60Δ357.7626.8%2.5%372.3228.6%1.9%
65Δ354.1127.1%2.2%376.1828.4%1.5%
70Δ350.4627.4%1.8%380.0428.2%1.1%
75Δ345.1629.1%1.5%384.8228.2%0.8%
80Δ339.5830.9%1.3%389.6028.2%0.5%

20Δ

Calls
Pseudo strike
386.24
IV
24.4%
B/E move
7.3%
Puts
Pseudo strike
337.97
IV
33.0%
B/E move
7.9%

25Δ

Calls
Pseudo strike
381.59
IV
24.2%
B/E move
6.2%
Puts
Pseudo strike
343.83
IV
31.6%
B/E move
6.5%

30Δ

Calls
Pseudo strike
377.80
IV
24.4%
B/E move
5.5%
Puts
Pseudo strike
349.14
IV
30.3%
B/E move
5.4%

35Δ

Calls
Pseudo strike
374.46
IV
24.8%
B/E move
4.9%
Puts
Pseudo strike
353.35
IV
29.6%
B/E move
4.6%

40Δ

Calls
Pseudo strike
371.12
IV
25.2%
B/E move
4.3%
Puts
Pseudo strike
357.35
IV
29.0%
B/E move
3.9%

45Δ

Calls
Pseudo strike
367.82
IV
25.6%
B/E move
3.8%
Puts
Pseudo strike
361.23
IV
28.6%
B/E move
3.2%

50Δ

Calls
Pseudo strike
364.55
IV
26.0%
B/E move
3.4%
Puts
Pseudo strike
364.89
IV
28.7%
B/E move
2.8%

55Δ

Calls
Pseudo strike
361.27
IV
26.5%
B/E move
2.9%
Puts
Pseudo strike
368.54
IV
28.8%
B/E move
2.3%

60Δ

Calls
Pseudo strike
357.76
IV
26.8%
B/E move
2.5%
Puts
Pseudo strike
372.32
IV
28.6%
B/E move
1.9%

65Δ

Calls
Pseudo strike
354.11
IV
27.1%
B/E move
2.2%
Puts
Pseudo strike
376.18
IV
28.4%
B/E move
1.5%

70Δ

Calls
Pseudo strike
350.46
IV
27.4%
B/E move
1.8%
Puts
Pseudo strike
380.04
IV
28.2%
B/E move
1.1%

75Δ

Calls
Pseudo strike
345.16
IV
29.1%
B/E move
1.5%
Puts
Pseudo strike
384.82
IV
28.2%
B/E move
0.8%

80Δ

Calls
Pseudo strike
339.58
IV
30.9%
B/E move
1.3%
Puts
Pseudo strike
389.60
IV
28.2%
B/E move
0.5%

Options history

No recorded observations