Option Greeks measure how an option's price responds to changes in the stock price (delta and gamma), time (theta), implied volatility (vega), and interest rates (rho).

Gamma, theta, and vega are largest for strikes near the First Merchants stock price and shrink for strikes far above or below it. Theta grows as expiration gets closer, while vega is larger for expirations further out. Call delta runs from 0 to 1 and put delta from -1 to 0, near 0.50 and -0.50 at the money, and roughly estimates the chance that an option finishes in the money.

First Merchants IV rank is 16, so implied volatility is near the bottom of its one-year range. Higher implied volatility raises option premiums and daily time decay (theta), and spreads delta and gamma across a wider range of strikes. Over the past year, 30-day implied volatility ranged from 28.0% to 182.8%. See the FRME implied volatility history for a longer view.

Across all open First Merchants options on Nov 4, 2026, net gamma exposure was -$28.3K and net delta exposure was -$633.52K per 1% move in the stock. The FRME gamma exposure chart shows where that gamma sits by strike.

First Merchants Corp, through its subsidiaries, provides its customers with financial services delivered locally by bankers.