IntraAlpha
Create free account Start free

Reckoner BBB-B CLO ETF RCLO

i

Market dataready · fetched 2026-11-07T07:55:04.798Z

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 · 2026-11-07T01:00:00.084312005Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T07:55:04.415706+00:00

Share price$24.73
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$0.58$0.74$0.90$1.06$1.22$22.26$22.97$23.69$24.40$25.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive RCLO spot · $24.73RCLO PRICE$0.60$0.60$0.60$0.60$0.60$0.60$0.66$0.73$0.81$0.88$0.96$0.60$0.60$0.60$0.60$0.64$0.69$0.73$0.78$0.86$0.94$1.02$1.10$1.18
PutsExpensive10.44×
Calls——
Skew——
Implied moveBearish±$1.39
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ31.31126.2%29.1%21.35103.1%16.1%
25Δ28.3992.4%17.3%22.5879.1%11.1%
30Δ26.8971.3%11.2%23.3563.4%8.0%
35Δ25.9956.8%7.5%23.9550.9%5.5%
40Δ25.5548.1%5.8%24.2446.1%4.5%
45Δ25.1139.3%4.0%24.5141.9%3.7%
50Δ24.8636.0%3.2%24.7737.8%2.8%
55Δ24.6734.3%2.7%25.0233.9%2.0%
60Δ24.4832.6%2.3%25.1732.1%1.7%
65Δ24.2931.0%1.8%25.3230.2%1.4%
70Δ24.1029.3%1.4%25.4728.4%1.1%
75Δ25.6226.6%0.8%
80Δ25.7724.7%0.5%

20Δ

Calls
Pseudo strike
31.31
IV
126.2%
B/E move
29.1%
Puts
Pseudo strike
21.35
IV
103.1%
B/E move
16.1%

25Δ

Calls
Pseudo strike
28.39
IV
92.4%
B/E move
17.3%
Puts
Pseudo strike
22.58
IV
79.1%
B/E move
11.1%

30Δ

Calls
Pseudo strike
26.89
IV
71.3%
B/E move
11.2%
Puts
Pseudo strike
23.35
IV
63.4%
B/E move
8.0%

35Δ

Calls
Pseudo strike
25.99
IV
56.8%
B/E move
7.5%
Puts
Pseudo strike
23.95
IV
50.9%
B/E move
5.5%

40Δ

Calls
Pseudo strike
25.55
IV
48.1%
B/E move
5.8%
Puts
Pseudo strike
24.24
IV
46.1%
B/E move
4.5%

45Δ

Calls
Pseudo strike
25.11
IV
39.3%
B/E move
4.0%
Puts
Pseudo strike
24.51
IV
41.9%
B/E move
3.7%

50Δ

Calls
Pseudo strike
24.86
IV
36.0%
B/E move
3.2%
Puts
Pseudo strike
24.77
IV
37.8%
B/E move
2.8%

55Δ

Calls
Pseudo strike
24.67
IV
34.3%
B/E move
2.7%
Puts
Pseudo strike
25.02
IV
33.9%
B/E move
2.0%

60Δ

Calls
Pseudo strike
24.48
IV
32.6%
B/E move
2.3%
Puts
Pseudo strike
25.17
IV
32.1%
B/E move
1.7%

65Δ

Calls
Pseudo strike
24.29
IV
31.0%
B/E move
1.8%
Puts
Pseudo strike
25.32
IV
30.2%
B/E move
1.4%

70Δ

Calls
Pseudo strike
24.10
IV
29.3%
B/E move
1.4%
Puts
Pseudo strike
25.47
IV
28.4%
B/E move
1.1%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
25.62
IV
26.6%
B/E move
0.8%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
25.77
IV
24.7%
B/E move
0.5%

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%