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First Merchants Corporation Common Stock FRME

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Market datapartial · fetched 2026-11-12T01:24:53.553Z

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 · 2026-11-11T21:00:00.688521551Z

FundamentalsAlpha Vantage · unavailable

Share price$41.07
1D-0.7%
AH$40.87$41.00$41.14$41.27$41.405:30 AM6:30 AM9:00 AM1:00 PM2:00 PMFRME
Sold putSold callAH

First Merchants Corporation Common Stock options

Live interpolated FRME call and put midpoint premiums by absolute delta.First Merchants Corporation Common Stock$2.41$2.78$3.15$3.51$3.88$31.63$34.79$37.95$41.11$44.2820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive FRME spot · $41.07FRME PRICE$2.45$2.45$2.45$2.46$2.47$2.48$2.50$2.45$2.45$2.46$2.48$2.50$2.65$2.81$2.97$3.13$3.29$3.45$3.61$3.78
PutsExpensive5.27×
Calls——
Skew——
Implied moveBearish±$5.28
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ30.37302.1%32.0%
25Δ34.53219.1%21.9%
30Δ54.00243.6%37.4%36.49183.3%17.2%
35Δ48.53192.8%24.1%38.16153.4%13.1%
40Δ44.97153.8%15.5%39.83123.6%9.1%
45Δ43.82135.6%12.7%40.47113.6%7.9%
50Δ42.66117.4%9.9%40.99105.9%7.0%
55Δ41.5199.2%7.1%41.5198.2%6.2%
60Δ40.3580.9%4.3%42.0390.5%5.3%
65Δ42.5582.8%4.4%
70Δ43.0775.1%3.5%
75Δ43.5967.4%2.7%
80Δ44.1159.7%1.8%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
30.37
IV
302.1%
B/E move
32.0%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
34.53
IV
219.1%
B/E move
21.9%

30Δ

Calls
Pseudo strike
54.00
IV
243.6%
B/E move
37.4%
Puts
Pseudo strike
36.49
IV
183.3%
B/E move
17.2%

35Δ

Calls
Pseudo strike
48.53
IV
192.8%
B/E move
24.1%
Puts
Pseudo strike
38.16
IV
153.4%
B/E move
13.1%

40Δ

Calls
Pseudo strike
44.97
IV
153.8%
B/E move
15.5%
Puts
Pseudo strike
39.83
IV
123.6%
B/E move
9.1%

45Δ

Calls
Pseudo strike
43.82
IV
135.6%
B/E move
12.7%
Puts
Pseudo strike
40.47
IV
113.6%
B/E move
7.9%

50Δ

Calls
Pseudo strike
42.66
IV
117.4%
B/E move
9.9%
Puts
Pseudo strike
40.99
IV
105.9%
B/E move
7.0%

55Δ

Calls
Pseudo strike
41.51
IV
99.2%
B/E move
7.1%
Puts
Pseudo strike
41.51
IV
98.2%
B/E move
6.2%

60Δ

Calls
Pseudo strike
40.35
IV
80.9%
B/E move
4.3%
Puts
Pseudo strike
42.03
IV
90.5%
B/E move
5.3%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
42.55
IV
82.8%
B/E move
4.4%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
43.07
IV
75.1%
B/E move
3.5%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
43.59
IV
67.4%
B/E move
2.7%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
44.11
IV
59.7%
B/E move
1.8%

Options history

IV · four-Friday blend42.93%
Daily close
FRME30.0%67.2%104.3%2026-08-13: 54.06%2026-08-14: 54.20%2026-08-18: 72.80%2026-08-21: 42.17%2026-08-24: 43.49%2026-08-25: 44.45%2026-08-26: 44.68%2026-08-27: 45.12%2026-08-28: 42.53%2026-08-31: 45.29%2026-09-01: 48.33%2026-09-02: 45.52%2026-09-03: 49.92%2026-09-09: 56.81%2026-09-10: 59.83%2026-09-21: 42.94%2026-09-23: 43.53%2026-09-24: 45.52%2026-09-25: 41.09%2026-09-29: 47.16%2026-09-30: 47.21%2026-10-01: 47.34%2026-10-02: 49.87%2026-10-05: 51.89%2026-10-06: 52.83%2026-10-07: 53.99%2026-10-08: 56.03%2026-10-12: 69.04%2026-10-15: 99.20%2026-10-16: 35.16%2026-10-19: 37.68%2026-10-20: 39.64%2026-10-21: 39.47%2026-10-22: 40.76%2026-10-23: 41.30%2026-10-26: 42.62%2026-10-27: 42.76%2026-10-28: 42.93%Aug 13Sep 25Oct 28
38 observations2026-08-13 — 2026-10-28
Table
DateIV (%)
54.06%
54.20%
72.80%
42.17%
43.49%
44.45%
44.68%
45.12%
42.53%
45.29%
48.33%
45.52%
49.92%
56.81%
59.83%
42.94%
43.53%
45.52%
41.09%
47.16%
47.21%
47.34%
49.87%
51.89%
52.83%
53.99%
56.03%
69.04%
99.20%
35.16%
37.68%
39.64%
39.47%
40.76%
41.30%
42.62%
42.76%
42.93%