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NRG Energy, Inc. NRG

i

Market dataready · fetched 2026-11-10T22:35:24.281Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-10T22:29:01.614112861Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-10T22:35:23.593782+00:00

Share price$97.10
1D+2.1%
AH$94$95$96$97$985:30 AM6:30 AM9:00 AM1:00 PM2:00 PMNRG
Sold putSold callAH

NRG Energy, Inc. options

Live interpolated NRG call and put midpoint premiums by absolute delta.NRG Energy, Inc.$0.46$2.15$3.84$5.53$7.21$86.25$92.06$97.87$103.69$109.5020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive NRG spot · $97.10NRG PRICE$0.78$1.08$1.39$1.71$1.98$2.17$2.29$3.78$4.49$5.40$0.64$0.89$1.20$1.59$1.70$1.95$2.27$2.70$3.13$5.77$6.73
Puts——
Calls——
Skew——
Implied moveBalanced±$3.94
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ92.7063.1%5.2%
25Δ100.6457.2%4.4%93.4865.4%4.6%
30Δ100.2564.2%4.4%94.2168.5%4.2%
35Δ94.8973.4%3.9%
40Δ98.5056.1%2.9%
45Δ97.9358.9%2.6%96.6355.0%2.2%
50Δ97.2758.2%2.2%97.2553.7%1.9%
55Δ96.6855.0%1.8%97.8453.5%1.6%
60Δ96.1450.0%1.4%98.4954.6%1.3%
65Δ99.1455.1%1.1%
70Δ94.4362.3%1.1%
75Δ93.5164.5%0.9%101.9475.3%1.0%
80Δ92.4167.4%0.7%103.1475.5%0.7%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
92.70
IV
63.1%
B/E move
5.2%

25Δ

Calls
Pseudo strike
100.64
IV
57.2%
B/E move
4.4%
Puts
Pseudo strike
93.48
IV
65.4%
B/E move
4.6%

30Δ

Calls
Pseudo strike
100.25
IV
64.2%
B/E move
4.4%
Puts
Pseudo strike
94.21
IV
68.5%
B/E move
4.2%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
94.89
IV
73.4%
B/E move
3.9%

40Δ

Calls
Pseudo strike
98.50
IV
56.1%
B/E move
2.9%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
97.93
IV
58.9%
B/E move
2.6%
Puts
Pseudo strike
96.63
IV
55.0%
B/E move
2.2%

50Δ

Calls
Pseudo strike
97.27
IV
58.2%
B/E move
2.2%
Puts
Pseudo strike
97.25
IV
53.7%
B/E move
1.9%

55Δ

Calls
Pseudo strike
96.68
IV
55.0%
B/E move
1.8%
Puts
Pseudo strike
97.84
IV
53.5%
B/E move
1.6%

60Δ

Calls
Pseudo strike
96.14
IV
50.0%
B/E move
1.4%
Puts
Pseudo strike
98.49
IV
54.6%
B/E move
1.3%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
99.14
IV
55.1%
B/E move
1.1%

70Δ

Calls
Pseudo strike
94.43
IV
62.3%
B/E move
1.1%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
93.51
IV
64.5%
B/E move
0.9%
Puts
Pseudo strike
101.94
IV
75.3%
B/E move
1.0%

80Δ

Calls
Pseudo strike
92.41
IV
67.4%
B/E move
0.7%
Puts
Pseudo strike
103.14
IV
75.5%
B/E move
0.7%

Options history

IV · four-Friday blend68.79%
Daily close
NRG39.2%57.6%76.1%2026-08-12: 50.08%2026-08-13: 43.84%2026-08-14: 44.92%2026-08-17: 45.15%2026-08-18: 46.65%2026-08-19: 47.55%2026-08-20: 52.28%2026-08-21: 43.37%2026-08-24: 46.79%2026-08-25: 45.16%2026-08-26: 45.36%2026-08-27: 47.27%2026-08-28: 41.71%2026-08-31: 43.89%2026-09-01: 42.92%2026-09-02: 42.94%2026-09-03: 45.45%2026-09-04: 43.34%2026-09-08: 49.33%2026-09-09: 49.84%2026-09-10: 51.03%2026-09-11: 48.13%2026-09-14: 51.43%2026-09-15: 52.77%2026-09-16: 54.89%2026-09-17: 53.91%2026-09-18: 47.05%2026-09-21: 47.82%2026-09-22: 49.26%2026-09-23: 47.04%2026-09-24: 49.80%2026-09-25: 48.75%2026-09-28: 50.65%2026-09-29: 50.99%2026-09-30: 48.93%2026-10-01: 50.50%2026-10-02: 46.93%2026-10-05: 50.29%2026-10-06: 50.61%2026-10-07: 52.43%2026-10-08: 53.98%2026-10-09: 52.09%2026-10-12: 54.61%2026-10-13: 56.62%2026-10-14: 56.94%2026-10-15: 73.53%2026-10-16: 56.23%2026-10-19: 57.90%2026-10-20: 57.86%2026-10-21: 57.61%2026-10-22: 63.96%2026-10-23: 58.62%2026-10-26: 61.85%2026-10-27: 58.54%2026-10-28: 63.91%2026-10-29: 63.16%2026-10-30: 68.79%Aug 12Sep 22Oct 30
57 observations2026-08-12 — 2026-10-30
Table
DateIV (%)
50.08%
43.84%
44.92%
45.15%
46.65%
47.55%
52.28%
43.37%
46.79%
45.16%
45.36%
47.27%
41.71%
43.89%
42.92%
42.94%
45.45%
43.34%
49.33%
49.84%
51.03%
48.13%
51.43%
52.77%
54.89%
53.91%
47.05%
47.82%
49.26%
47.04%
49.80%
48.75%
50.65%
50.99%
48.93%
50.50%
46.93%
50.29%
50.61%
52.43%
53.98%
52.09%
54.61%
56.62%
56.94%
73.53%
56.23%
57.90%
57.86%
57.61%
63.96%
58.62%
61.85%
58.54%
63.91%
63.16%
68.79%