First Merchants Corporation (FRME) IV/HV History
Comparing implied volatility to historical (realized) volatility reveals whether options are priced rich or cheap relative to actual price movement. Persistent gaps can signal trading opportunities.
First Merchants Corporation (FRME) operates in the Financial Services sector, specifically the Banks - Regional industry, with a market capitalization near $2.49B, listed on NASDAQ, employing roughly 2,120 people, carrying a beta of 0.87 to the broader market. First Merchants Corporation operates as the financial holding company for First Merchants Bank that provides community banking services. Led by Mark K. Hardwick, public since 1989-06-20.
Snapshot as of May 15, 2026.
- Spot Price
- $39.06
- ATM IV
- 38.6%
- HV 20-Day
- 23.8%
- HV 60-Day
- 25.2%
- IV Rank
- 14.2%
- IV Percentile
- 4.8%
As of May 15, 2026, First Merchants Corporation (FRME) ATM implied volatility is 38.6%. 20-day realized volatility is 23.8%, producing an IV-HV spread of +14.8 vol points. Options are pricing in more volatility than the stock has recently delivered, the volatility risk premium. IV rank is 14.2%.
How FRME iv/hv history Data Feeds Strategy Selection
Strategy selection on First Merchants Corporation options does not derive from any single metric in isolation. The iv/hv history view above sits inside a broader read: ATM IV currently sits at 38.6% and dealer gamma exposure is positive, so dealer hedging is mechanically mean-reverting. Combine the iv/hv history data here with the volatility-skew surface, dealer-gamma exposure, max-pain level, and upcoming-events calendar to build a positioning thesis. Risk-defined structures (credit spreads, debit spreads, iron condors) are usually safer than naked positions while the regime is uncertain; the data on this page anchors the inputs but does not by itself constitute a trade thesis.
Learn how implied vs realized volatility is reported and how to read the data →
Frequently asked FRME iv/hv history questions
- Is FRME options pricing rich or cheap right now?
- As of May 15, 2026, First Merchants Corporation (FRME) ATM IV is 38.6% against 20-day realized volatility of 23.8%. IV rank is 14.2%. FRME options are pricing in more volatility than the stock has recently realized: a positive variance risk premium worth 14.8 vol points.
- What is the FRME variance risk premium?
- The variance risk premium is the persistent gap between implied and subsequently realized volatility. In equity markets it averages positive because option sellers demand compensation for bearing variance shocks. FRME is currently priced consistently with this premium, which is one input to whether short-vol or long-vol structures carry their typical edge.
- What does FRME IV rank mean for strategy selection?
- IV rank normalizes the current ATM IV to its 1-year range: 0% is the low, 100% is the high. FRME's current rank of 14.2% signals where current pricing sits in its own 1-year history. High-rank regimes typically favor premium-selling structures (credit spreads, condors, covered calls); low-rank regimes typically favor premium-buying or long-volatility structures.