RNR Collar Strategy
RNR (RenaissanceRe Holdings Ltd.), in the Financial Services sector, (Insurance - Reinsurance industry), listed on NYSE.
RenaissanceRe Holdings Ltd. provides reinsurance and insurance products in the United States and internationally. The company operates through Property, and Casualty and Specialty segments. The Property segment writes property catastrophe excess of loss reinsurance and excess of loss retrocessional reinsurance to insure insurance and reinsurance companies against natural and man-made catastrophes, including hurricanes, earthquakes, typhoons, and tsunamis, as well as claims arising from other natural and man-made catastrophes comprising winter storms, freezes, floods, fires, windstorms, tornadoes, explosions, and acts of terrorism; and other property class of products, such as proportional reinsurance, property per risk, property reinsurance, binding facilities, and regional U.S. multi-line reinsurance. The Casualty and Specialty segment writes various classes of products, such as directors and officers, medical malpractice, and professional indemnity; automobile and employer's liability, casualty clash, umbrella or excess casualty, workers' compensation, and general liability; financial and mortgage guaranty, political risk, surety, and trade credit; and accident and health, agriculture, aviation, cyber, energy, marine, satellite, and terrorism. The company distributes its products and services primarily through intermediaries. RenaissanceRe Holdings Ltd. was founded in 1993 and is headquartered in Pembroke, Bermuda.
RNR (RenaissanceRe Holdings Ltd.) trades in the Financial Services sector, specifically Insurance - Reinsurance, with a market capitalization of approximately $12.36B, a trailing P/E of 4.39, a beta of 0.23 versus the broader market, a 52-week range of 231.17-318.2, average daily share volume of 387K, a public-listing history dating back to 1995, approximately 945 full-time employees. These structural characteristics shape how RNR stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.23 indicates RNR has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. The trailing P/E of 4.39 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price. RNR pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a collar on RNR?
A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot.
Current RNR snapshot
As of May 15, 2026, spot at $292.18, ATM IV 24.70%, IV rank 38.99%, expected move 7.08%. The collar on RNR below is built from the same end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 34-day expiry.
Why this collar structure on RNR specifically: IV regime affects collar pricing on both sides; mid-range RNR IV at 24.70% typically pushes the short call premium to roughly offset the long put cost, with a market-implied 1-standard-deviation move of approximately 7.08% (roughly $20.69 on the underlying). The 34-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated RNR expiries trade a higher absolute premium for lower per-day decay. Position sizing on RNR should anchor to the underlying notional of $292.18 per share and to the trader's directional view on RNR stock.
RNR collar setup
The RNR collar below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With RNR near $292.18, the first option leg uses a $310.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed RNR chain at a 34-day expiry; the cross-strike IV skew is reflected directly in the per-leg values rather than approximated. Quantity sizing assumes one contract per option leg (or 100 RNR shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 100 shares | Stock | $292.18 | long |
| Sell 1 | Call | $310.00 | $2.03 |
| Buy 1 | Put | $280.00 | $4.38 |
RNR collar risk and reward
- Net Premium / Debit
- -$29,453.00
- Max Profit (per contract)
- $1,547.00
- Max Loss (per contract)
- -$1,453.00
- Breakeven(s)
- $294.53
- Risk / Reward Ratio
- 1.065
Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium.
RNR collar payoff curve
Modeled P&L at expiration across a range of underlying prices for the collar on RNR. Each row is one sampled price point from the computed payoff curve; the full curve uses 200 price points internally before being summarized into 10 rows here.
| Underlying Price | % From Spot | P&L at Expiration |
|---|---|---|
| $0.01 | -100.0% | -$1,453.00 |
| $64.61 | -77.9% | -$1,453.00 |
| $129.21 | -55.8% | -$1,453.00 |
| $193.81 | -33.7% | -$1,453.00 |
| $258.42 | -11.6% | -$1,453.00 |
| $323.02 | +10.6% | +$1,547.00 |
| $387.62 | +32.7% | +$1,547.00 |
| $452.22 | +54.8% | +$1,547.00 |
| $516.82 | +76.9% | +$1,547.00 |
| $581.42 | +99.0% | +$1,547.00 |
When traders use collar on RNR
Collars on RNR hedge an existing long RNR stock position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
RNR thesis for this collar
The market-implied 1-standard-deviation range for RNR extends from approximately $271.49 on the downside to $312.87 on the upside. A RNR collar hedges an existing long RNR position with a protective put while financing the put cost via a short call; when the premiums roughly offset, the collar acts as a near-zero-cost insurance band around the current spot. Current RNR IV rank near 38.99% is mid-range against its 1-year distribution, so the IV signal is neutral; the collar thesis on RNR should anchor more to the directional view and the expected-move geometry. As a Financial Services name, RNR options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to RNR-specific events.
RNR collar positions are structurally neutral (protective); the modeled P&L assumes European-style exercise at expiration and ignores early assignment, transaction costs, dividends paid before expiry on the stock leg (when present), and the bid-ask spread on the listed chain. RNR positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move RNR alongside the broader basket even when RNR-specific fundamentals are unchanged. Always rebuild the position from current RNR chain quotes before placing a trade.
Frequently asked questions
- What is a collar on RNR?
- A collar on RNR is the collar strategy applied to RNR (stock). The strategy is structurally neutral (protective): A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot. With RNR stock trading near $292.18, the strikes shown on this page are snapped to the nearest listed RNR chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are RNR collar max profit and max loss calculated?
- Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium. For the RNR collar priced from the end-of-day chain at a 30-day expiry (ATM IV 24.70%), the computed maximum profit is $1,547.00 per contract and the computed maximum loss is -$1,453.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a RNR collar?
- The breakeven for the RNR collar priced on this page is roughly $294.53 at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current RNR market-implied 1-standard-deviation expected move is approximately 7.08%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a collar on RNR?
- Collars on RNR hedge an existing long RNR stock position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
- How does current RNR implied volatility affect this collar?
- RNR ATM IV is at 24.70% with IV rank near 38.99%, which is mid-range against its 1-year history. Strategy selection depends more on directional thesis and expected move than on a strong IV signal.