Archive | TOS CODE RSS feed for this section

Tos Code: IV Rank

9 Jun

1) Go to ‘Charts’ tab
2) Click on the “eye-dropper” icon (officially called “edit studies icon”…same line where you type in the ticker same symbol, first icon moving left to right)
3) Click on “Edit Studies” and then “New”… Lower left hand corner
4) Delete everything in the box. (plot Data = close;)
5) Paste the entire code listed below
6) Name the Study
7) Click ‘OK’
8) Click ‘Apply’
9) Click ‘OK’

declare upper;
input period = AggregationPeriod.DAY ;
#hint period: time period to use for aggregating implied volatility.
input length =252 ;

Tos Code: IV Rank & IV Percentile Overlayed (Will Work For Futures)

9 Jun

————————START BELOW THIS LINE————————–
# tastytrade/dough Research Team
# Michael Rechenthin, Ph.D.
# Follow me on twitter: @mrechenthin
# IV Rank is a description of where the current IV lies in comparison
# to its yearly high and low IV
# IV Percentile gives the percentage of days over the last year, that
# were below the current IV
# For information on the two, see Skinny on Options Data Science,
# titled “IV Rank and IV Percentile”
# version 2.1
declare lower;
declare hide_on_intraday; # do not display when using intra-day plots
input days_back = 252; # it is most common to use 1-year (or 252 trading days)