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National Grid PLC NGG

i

Market datapartial · fetched 2026-11-04T02:33:54.583Z

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 · 2026-11-04T00:00:00.001888836Z

FundamentalsAlpha Vantage · unavailable

Share price$82.83
1D-1.1%
AH$82.75$83.01$83.26$83.52$83.785:30 AM6:30 AM9:00 AM1:00 PM2:00 PMNGG
Sold putSold callAH

National Grid PLC options

Live interpolated NGG call and put midpoint premiums by absolute delta.National Grid PLC$0.37$2.50$4.62$6.74$8.86$74.11$77.94$81.78$85.61$89.4420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive NGG spot · $82.83NGG PRICE$0.60$0.79$0.97$1.15$1.48$1.84$2.20$2.55$2.91$3.27$3.63$4.31$5.55$0.74$0.95$1.22$1.81$2.39$2.98$3.57$4.15$4.85$5.65$6.45$7.25$8.25
PutsExpensive2.16×
CallsExpensive1.36×
SkewBearish+11.87 pp
Implied moveBearish±$5.76
TiltBearish23.3% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ88.1729.2%7.2%77.6834.9%7.1%
25Δ87.1628.8%6.2%78.9433.9%5.8%
30Δ86.1528.5%5.2%80.1533.4%4.7%
35Δ85.1428.1%4.2%81.0335.8%4.4%
40Δ84.4228.2%3.7%81.9138.1%4.0%
45Δ83.7628.3%3.3%82.7940.5%3.6%
50Δ83.0928.4%3.0%83.6742.8%3.3%
55Δ82.4228.5%2.6%84.5545.2%2.9%
60Δ81.7628.6%2.2%85.5746.1%2.5%
65Δ81.0928.7%1.8%86.7445.6%2.1%
70Δ80.4228.8%1.5%87.9045.0%1.7%
75Δ79.4829.7%1.2%89.0644.5%1.2%
80Δ78.0731.7%1.0%90.4044.0%0.8%

20Δ

Calls
Pseudo strike
88.17
IV
29.2%
B/E move
7.2%
Puts
Pseudo strike
77.68
IV
34.9%
B/E move
7.1%

25Δ

Calls
Pseudo strike
87.16
IV
28.8%
B/E move
6.2%
Puts
Pseudo strike
78.94
IV
33.9%
B/E move
5.8%

30Δ

Calls
Pseudo strike
86.15
IV
28.5%
B/E move
5.2%
Puts
Pseudo strike
80.15
IV
33.4%
B/E move
4.7%

35Δ

Calls
Pseudo strike
85.14
IV
28.1%
B/E move
4.2%
Puts
Pseudo strike
81.03
IV
35.8%
B/E move
4.4%

40Δ

Calls
Pseudo strike
84.42
IV
28.2%
B/E move
3.7%
Puts
Pseudo strike
81.91
IV
38.1%
B/E move
4.0%

45Δ

Calls
Pseudo strike
83.76
IV
28.3%
B/E move
3.3%
Puts
Pseudo strike
82.79
IV
40.5%
B/E move
3.6%

50Δ

Calls
Pseudo strike
83.09
IV
28.4%
B/E move
3.0%
Puts
Pseudo strike
83.67
IV
42.8%
B/E move
3.3%

55Δ

Calls
Pseudo strike
82.42
IV
28.5%
B/E move
2.6%
Puts
Pseudo strike
84.55
IV
45.2%
B/E move
2.9%

60Δ

Calls
Pseudo strike
81.76
IV
28.6%
B/E move
2.2%
Puts
Pseudo strike
85.57
IV
46.1%
B/E move
2.5%

65Δ

Calls
Pseudo strike
81.09
IV
28.7%
B/E move
1.8%
Puts
Pseudo strike
86.74
IV
45.6%
B/E move
2.1%

70Δ

Calls
Pseudo strike
80.42
IV
28.8%
B/E move
1.5%
Puts
Pseudo strike
87.90
IV
45.0%
B/E move
1.7%

75Δ

Calls
Pseudo strike
79.48
IV
29.7%
B/E move
1.2%
Puts
Pseudo strike
89.06
IV
44.5%
B/E move
1.2%

80Δ

Calls
Pseudo strike
78.07
IV
31.7%
B/E move
1.0%
Puts
Pseudo strike
90.40
IV
44.0%
B/E move
0.8%

Options history

IV · four-Friday blend25.31%
Daily EOD
NGG24.4%25.6%26.8%2026-10-19: 26.68%2026-10-20: 25.21%2026-10-21: 24.84%2026-10-22: 24.61%2026-10-23: 26.17%2026-10-26: 25.93%2026-10-27: 24.84%2026-10-28: 26.12%2026-10-30: 25.31%Oct 19Oct 23Oct 30
9 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
26.68%
25.21%
24.84%
24.61%
26.17%
25.93%
24.84%
26.12%
25.31%