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Reckoner BBB-B CLO ETF RCLO

i

Market dataready · fetched 2026-11-05T21:18:48.046Z

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 · 2026-11-05T21:10:00.001552333Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-05T21:18:45.525454+00:00

Share price$24.72
1D+0.0%
AH$24.69$24.71$24.72$24.73$24.745:30 AM6:30 AM9:00 AM1:00 PM2:00 PMRCLO
Sold putSold callAH

Reckoner BBB-B CLO ETF options

Live interpolated RCLO call and put midpoint premiums by absolute delta.Reckoner BBB-B CLO ETF$0.56$0.90$1.24$1.58$1.92$21.88$23.32$24.77$26.22$27.6620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive RCLO spot · $24.71RCLO PRICE$0.60$0.60$0.60$0.60$0.60$0.60$0.66$0.74$0.81$0.89$0.96$1.08$1.22$0.60$0.60$0.60$0.60$0.64$0.69$0.73$0.79$1.00$1.21$1.41$1.62$1.83
PutsExpensive10.67×
CallsExpensive25.56×
SkewBullish-2.16 pp
Implied moveBearish±$1.39
TiltBearish10.6% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ31.31120.0%29.1%21.3598.1%16.1%
25Δ28.3987.9%17.3%22.5775.2%11.1%
30Δ26.8867.8%11.2%23.3560.3%8.0%
35Δ25.9954.0%7.6%23.9548.4%5.5%
40Δ25.5445.7%5.8%24.2443.8%4.5%
45Δ25.1037.4%4.0%24.5039.8%3.7%
50Δ24.8534.3%3.2%24.7635.9%2.8%
55Δ24.6632.7%2.8%25.0232.3%2.0%
60Δ24.4731.2%2.3%25.3032.0%1.7%
65Δ24.2829.6%1.8%25.5731.8%1.4%
70Δ24.0928.0%1.4%25.8431.6%1.2%
75Δ23.8926.4%1.0%26.1131.3%0.9%
80Δ23.6924.6%0.8%26.3831.1%0.7%

20Δ

Calls
Pseudo strike
31.31
IV
120.0%
B/E move
29.1%
Puts
Pseudo strike
21.35
IV
98.1%
B/E move
16.1%

25Δ

Calls
Pseudo strike
28.39
IV
87.9%
B/E move
17.3%
Puts
Pseudo strike
22.57
IV
75.2%
B/E move
11.1%

30Δ

Calls
Pseudo strike
26.88
IV
67.8%
B/E move
11.2%
Puts
Pseudo strike
23.35
IV
60.3%
B/E move
8.0%

35Δ

Calls
Pseudo strike
25.99
IV
54.0%
B/E move
7.6%
Puts
Pseudo strike
23.95
IV
48.4%
B/E move
5.5%

40Δ

Calls
Pseudo strike
25.54
IV
45.7%
B/E move
5.8%
Puts
Pseudo strike
24.24
IV
43.8%
B/E move
4.5%

45Δ

Calls
Pseudo strike
25.10
IV
37.4%
B/E move
4.0%
Puts
Pseudo strike
24.50
IV
39.8%
B/E move
3.7%

50Δ

Calls
Pseudo strike
24.85
IV
34.3%
B/E move
3.2%
Puts
Pseudo strike
24.76
IV
35.9%
B/E move
2.8%

55Δ

Calls
Pseudo strike
24.66
IV
32.7%
B/E move
2.8%
Puts
Pseudo strike
25.02
IV
32.3%
B/E move
2.0%

60Δ

Calls
Pseudo strike
24.47
IV
31.2%
B/E move
2.3%
Puts
Pseudo strike
25.30
IV
32.0%
B/E move
1.7%

65Δ

Calls
Pseudo strike
24.28
IV
29.6%
B/E move
1.8%
Puts
Pseudo strike
25.57
IV
31.8%
B/E move
1.4%

70Δ

Calls
Pseudo strike
24.09
IV
28.0%
B/E move
1.4%
Puts
Pseudo strike
25.84
IV
31.6%
B/E move
1.2%

75Δ

Calls
Pseudo strike
23.89
IV
26.4%
B/E move
1.0%
Puts
Pseudo strike
26.11
IV
31.3%
B/E move
0.9%

80Δ

Calls
Pseudo strike
23.69
IV
24.6%
B/E move
0.8%
Puts
Pseudo strike
26.38
IV
31.1%
B/E move
0.7%

Options history

IV · four-Friday blend23.09%
Daily EOD
RCLO22.0%23.2%24.3%2026-10-19: 22.74%2026-10-20: 23.65%2026-10-21: 24.08%2026-10-22: 24.12%2026-10-23: 22.20%2026-10-26: 22.54%2026-10-27: 22.93%2026-10-28: 23.10%2026-10-29: 23.22%2026-10-30: 23.09%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
22.74%
23.65%
24.08%
24.12%
22.20%
22.54%
22.93%
23.10%
23.22%
23.09%