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 ;

#hint length: #bars to use in implied volatility calculation.
def ivGapHi = if isnan(imp_volatility(period=period)) then 99999999999 else imp_volatility(period=period);
def ivGapLo = if isnan(imp_volatility(period=period)) then -99999999999 else imp_volatility(period=period);
def periodHigh = highest( ivGapLo,length=length);
def periodLow = lowest( ivGapHi, length=length);
def ivRange = periodHigh – periodLow ;
def ivp = round( 100*(imp_volatility(period=period) – periodLow)/ivRange, 0);

AddLabel(1, Concat(“IV% “, ivp), if ivp > 80
then Color.Green
else if ivp < 80 and ivp > 50
then Color.Yellow
else color.Red);

Hints:
a) Use 252 as input length for 1-year or 52-week IV percentile
b) You can change 252 to 189 for 9-month IV percentile
c) You can change 252 to 126 for 6-month IV percentile

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