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NatWest Group plc American Depositary Shares, (each representing two (2) Ordinary Shares) NWG

i

Market datapartial · fetched 2026-11-13T01:56:17.154Z

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 · 2026-11-13T00:00:00.002193463Z

FundamentalsAlpha Vantage · unavailable

Share price$15.73
1D-0.3%
AH$15.68$15.72$15.77$15.82$15.865:30 AM6:30 AM9:00 AM1:00 PM2:00 PMNWG
Sold putSold callAH

NatWest Group plc American Depositary Shares, (each representing two (2) Ordinary Shares) options

Live interpolated NWG call and put midpoint premiums by absolute delta.NatWest Group plc American Depositary Shares, (each representing two (2) Ordinary Shares)$0.22$0.39$0.56$0.73$0.90$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICENWG PRICE$0.24$0.29$0.35$0.41$0.46$0.52$0.57$0.63$0.68$0.74$0.79$0.85
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ16.8543.8%8.7%
30Δ16.6843.4%7.9%
35Δ16.5243.1%7.2%
40Δ16.3542.8%6.5%
45Δ16.1842.5%5.8%
50Δ16.0142.1%5.1%
55Δ15.8441.8%4.4%
60Δ15.6841.5%3.6%
65Δ15.5141.1%2.9%
70Δ15.3440.8%2.2%
75Δ15.1740.5%1.5%
80Δ15.0040.2%0.8%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
16.85
IV
43.8%
B/E move
8.7%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
16.68
IV
43.4%
B/E move
7.9%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
16.52
IV
43.1%
B/E move
7.2%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
16.35
IV
42.8%
B/E move
6.5%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
16.18
IV
42.5%
B/E move
5.8%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
16.01
IV
42.1%
B/E move
5.1%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
15.84
IV
41.8%
B/E move
4.4%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
15.68
IV
41.5%
B/E move
3.6%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
15.51
IV
41.1%
B/E move
2.9%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
15.34
IV
40.8%
B/E move
2.2%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
15.17
IV
40.5%
B/E move
1.5%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
15.00
IV
40.2%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend56.73%
Daily EOD
NWG30.8%44.7%58.6%2026-10-19: 32.70%2026-10-20: 36.00%2026-10-21: 40.39%2026-10-22: 38.10%2026-10-23: 35.13%2026-10-26: 37.49%2026-10-28: 39.69%2026-10-29: 56.73%Oct 19Oct 22Oct 29
8 observations2026-10-19 — 2026-10-29
Table
DateIV (%)
32.70%
36.00%
40.39%
38.10%
35.13%
37.49%
39.69%
56.73%