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RLI Corp. RLI

FINANCIAL SERVICES · INSURANCE - PROPERTY & CASUALTY
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Market dataready · fetched 2026-11-04T06:25:23.258Z

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 · 2026-11-04T00:00:00.001338837Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-04T06:25:20.979994+00:00

Share price$66.84
1D+0.4%
AH$66.46$66.82$67.18$67.53$67.895:30 AM6:30 AM9:00 AM1:00 PM2:00 PMRLI
Sold putSold callAH

RLI Corp. options

Live interpolated RLI call and put midpoint premiums by absolute delta.RLI Corp.$1.23$2.43$3.63$4.84$6.04$57.48$61.56$65.64$69.72$73.8120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive RLI spot · $66.84RLI PRICE$2.45$2.45$1.36$1.54$1.72$1.90$2.07$2.25$2.43$2.61$3.62$4.86$2.45$1.54$1.88$2.23$2.50$2.64$2.77$2.91$3.05$3.18$3.32$3.46$5.69
PutsExpensive1.80×
Calls——
Skew——
Implied moveBearish±$4.67
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ54.87133.6%21.6%
25Δ84.32132.0%29.8%61.2167.2%10.7%
30Δ77.00101.5%18.9%62.6464.4%9.1%
35Δ69.7842.8%6.4%64.0761.6%7.5%
40Δ69.1240.5%5.7%65.2258.3%6.2%
45Δ68.4638.3%5.0%65.8654.1%5.4%
50Δ67.8036.1%4.3%66.5050.0%4.7%
55Δ67.1333.9%3.5%67.1445.8%3.9%
60Δ66.4731.7%2.8%67.7841.7%3.2%
65Δ65.8129.5%2.1%68.4237.5%2.4%
70Δ65.1427.3%1.4%69.0533.4%1.7%
75Δ63.9530.2%1.1%69.6929.2%0.9%
80Δ62.6034.6%0.9%72.2233.0%0.5%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
54.87
IV
133.6%
B/E move
21.6%

25Δ

Calls
Pseudo strike
84.32
IV
132.0%
B/E move
29.8%
Puts
Pseudo strike
61.21
IV
67.2%
B/E move
10.7%

30Δ

Calls
Pseudo strike
77.00
IV
101.5%
B/E move
18.9%
Puts
Pseudo strike
62.64
IV
64.4%
B/E move
9.1%

35Δ

Calls
Pseudo strike
69.78
IV
42.8%
B/E move
6.4%
Puts
Pseudo strike
64.07
IV
61.6%
B/E move
7.5%

40Δ

Calls
Pseudo strike
69.12
IV
40.5%
B/E move
5.7%
Puts
Pseudo strike
65.22
IV
58.3%
B/E move
6.2%

45Δ

Calls
Pseudo strike
68.46
IV
38.3%
B/E move
5.0%
Puts
Pseudo strike
65.86
IV
54.1%
B/E move
5.4%

50Δ

Calls
Pseudo strike
67.80
IV
36.1%
B/E move
4.3%
Puts
Pseudo strike
66.50
IV
50.0%
B/E move
4.7%

55Δ

Calls
Pseudo strike
67.13
IV
33.9%
B/E move
3.5%
Puts
Pseudo strike
67.14
IV
45.8%
B/E move
3.9%

60Δ

Calls
Pseudo strike
66.47
IV
31.7%
B/E move
2.8%
Puts
Pseudo strike
67.78
IV
41.7%
B/E move
3.2%

65Δ

Calls
Pseudo strike
65.81
IV
29.5%
B/E move
2.1%
Puts
Pseudo strike
68.42
IV
37.5%
B/E move
2.4%

70Δ

Calls
Pseudo strike
65.14
IV
27.3%
B/E move
1.4%
Puts
Pseudo strike
69.05
IV
33.4%
B/E move
1.7%

75Δ

Calls
Pseudo strike
63.95
IV
30.2%
B/E move
1.1%
Puts
Pseudo strike
69.69
IV
29.2%
B/E move
0.9%

80Δ

Calls
Pseudo strike
62.60
IV
34.6%
B/E move
0.9%
Puts
Pseudo strike
72.22
IV
33.0%
B/E move
0.5%

Options history

IV · four-Friday blend29.78%
Daily EOD
RLI25.2%27.7%30.3%2026-10-19: 29.95%2026-10-21: 25.53%2026-10-22: 28.45%2026-10-23: 27.32%2026-10-26: 27.56%2026-10-27: 26.83%2026-10-28: 26.74%2026-10-29: 26.05%2026-10-30: 29.78%Oct 19Oct 26Oct 30
9 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
29.95%
25.53%
28.45%
27.32%
27.56%
26.83%
26.74%
26.05%
29.78%