Reckoner BBB-B CLO Annual ETF (RCLY) Expected Move

Expected move estimates the probable price range for a given period based on at-the-money options pricing. It reflects the market consensus for volatility over the selected timeframe.

Reckoner BBB-B CLO Annual ETF (RCLY) operates in the Financial Services sector, specifically the Asset Management industry, with a market capitalization near $12.6M, listed on AMEX, employing roughly 320 people, carrying a beta of 0.07 to the broader market. RCLY is a feeder fund that provides leveraged exposure to CLO tranches rated as BBB+ to B- by investing exclusively in its master fund, the Reckoner BBB-B CLO ETF (RCLO). Led by Andrew Rickman, public since 2026-02-12.

Snapshot as of Jun 30, 2026.

Spot Price

$101.14

Expected Move

4.5%

Implied High

$105.66

Implied Low

$96.62

Front DTE

17 days

As of Jun 30, 2026, Reckoner BBB-B CLO Annual ETF (RCLY) has an expected move of 4.47%, a one-standard-deviation implied price range of roughly $96.62 to $105.66 from the current $101.14. Expected move is derived from at-the-money straddle pricing and represents the market's pricing of a ±1σ move. Roughly 68% of outcomes should fall within this range under lognormal assumptions, though empirical markets have fatter tails.

RCLY Strategy Sizing to the Expected Move

With Reckoner BBB-B CLO Annual ETF pricing an expected move of 4.47% from $101.14, risk-defined strategies sized to the implied range structurally target the modal outcome distribution. Iron condors with wings at the ±1σ expected move boundaries collect premium against the ~68% probability that spot stays inside the range under lognormal assumptions; strangles set wider at ±1.5σ or ±2σ target the tails but pay smaller per-trade premium. Long-vol structures (long straddles, ratio backspreads) profit when realized move exceeds the implied move, the inverse trade: they bet against the lognormal assumption itself, capitalizing on the empirically fatter equity-return tails.

How to read the RCLY implied-range chart

The shaded range above shows the one-standard-deviation implied price band at each listed expiration, derived from ATM implied volatility scaled to days-to-expiration. The front-tenor expected move is 4.47%, anchoring an implied range of approximately $96.62 to $105.66. Under lognormal assumptions, roughly 68% of outcomes fall inside that band; 95% fall inside ±2σ; 99.7% inside ±3σ. The empirical equity-return distribution has fatter tails than lognormal, so true tail-outcome frequency is moderately higher than these closed-form numbers suggest.

RCLY expected move and event pricing

Expected move widens with √time: a 5% 30-day move corresponds to roughly a 2.5% 7.5-day move and a 10% 120-day move. RCLY term-structure is in backwardation (slope -0.044), so near-dated tenors price in disproportionate vol - usually because of a known event in the front-month window.

Sizing RCLY structures to the expected move

Iron condors with wings at ±1σ collect the modal-outcome premium; ±1.5σ widens probability of inside-range to ~87% but cuts collected premium roughly in half. Strangles do the inverse trade - they pay against the same lognormal distribution, profiting when realized exceeds implied. Calendar spreads bet on the slope of the term structure rather than the level. The expected move is the inputs the chain is pricing, not a forecast - realized moves above or below are normal under any distribution.

Learn how expected move is reported and how to read the data →

Per-expiration expected move for RCLY derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $101.14 × (1 ± expected move %). One standard-deviation range under lognormal assumptions, roughly 68% of outcomes fall inside.