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National Grid PLC NGG

UTILITIES · UTILITIES - REGULATED ELECTRIC
i

Market dataready · fetched 2026-11-12T01:43:30.835Z

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 · 2026-11-12T00:00:00.001914985Z

FundamentalsAlpha Vantage · ready · quarter 2026-03-31 · fetched 2026-11-12T01:43:30.176606+00:00

Share price$83.26
1D+0.1%
AH$82.54$82.77$82.99$83.21$83.435:30 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$0.00$4.18$8.36$12.55$16.73$78.66$81.12$83.58$86.04$88.5020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ75Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive NGG spot · $83.26NGG PRICE$0.45$0.45$0.55$0.76$0.97$1.18$1.39$1.60$1.82$2.03$2.24$2.45$2.66$0.81$1.02$1.27$1.59$1.91$2.23$2.55$2.87$3.19$4.93$6.72$15.52
Puts——
CallsCheap0.70×
Skew——
Implied moveBearish±$3.94
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ88.0236.0%6.3%77.4854.5%7.9%
25Δ86.0325.9%3.9%79.0351.1%6.3%
30Δ84.8220.4%2.5%80.2948.6%5.1%
35Δ84.4520.0%2.3%81.0747.7%4.5%
40Δ84.0819.6%2.2%81.8546.8%4.0%
45Δ83.7119.3%2.0%82.6345.9%3.4%
50Δ83.3418.9%1.8%83.4145.0%2.9%
55Δ82.9718.5%1.6%84.2044.1%2.3%
60Δ82.6018.2%1.4%84.9843.2%1.8%
65Δ82.2417.8%1.2%86.7953.1%1.7%
70Δ81.8717.4%1.0%88.6363.3%1.6%
75Δ81.5017.0%0.8%
80Δ81.1316.7%0.6%97.45106.5%1.6%

20Δ

Calls
Pseudo strike
88.02
IV
36.0%
B/E move
6.3%
Puts
Pseudo strike
77.48
IV
54.5%
B/E move
7.9%

25Δ

Calls
Pseudo strike
86.03
IV
25.9%
B/E move
3.9%
Puts
Pseudo strike
79.03
IV
51.1%
B/E move
6.3%

30Δ

Calls
Pseudo strike
84.82
IV
20.4%
B/E move
2.5%
Puts
Pseudo strike
80.29
IV
48.6%
B/E move
5.1%

35Δ

Calls
Pseudo strike
84.45
IV
20.0%
B/E move
2.3%
Puts
Pseudo strike
81.07
IV
47.7%
B/E move
4.5%

40Δ

Calls
Pseudo strike
84.08
IV
19.6%
B/E move
2.2%
Puts
Pseudo strike
81.85
IV
46.8%
B/E move
4.0%

45Δ

Calls
Pseudo strike
83.71
IV
19.3%
B/E move
2.0%
Puts
Pseudo strike
82.63
IV
45.9%
B/E move
3.4%

50Δ

Calls
Pseudo strike
83.34
IV
18.9%
B/E move
1.8%
Puts
Pseudo strike
83.41
IV
45.0%
B/E move
2.9%

55Δ

Calls
Pseudo strike
82.97
IV
18.5%
B/E move
1.6%
Puts
Pseudo strike
84.20
IV
44.1%
B/E move
2.3%

60Δ

Calls
Pseudo strike
82.60
IV
18.2%
B/E move
1.4%
Puts
Pseudo strike
84.98
IV
43.2%
B/E move
1.8%

65Δ

Calls
Pseudo strike
82.24
IV
17.8%
B/E move
1.2%
Puts
Pseudo strike
86.79
IV
53.1%
B/E move
1.7%

70Δ

Calls
Pseudo strike
81.87
IV
17.4%
B/E move
1.0%
Puts
Pseudo strike
88.63
IV
63.3%
B/E move
1.6%

75Δ

Calls
Pseudo strike
81.50
IV
17.0%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
81.13
IV
16.7%
B/E move
0.6%
Puts
Pseudo strike
97.45
IV
106.5%
B/E move
1.6%

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%