IV percentile

gistfile1.txt

Source https://tradinganalysis.com/four-percentile-resource/

IV Rank is the description of where the current IV lies in comparison to its yearly high and low IV.IV Rank is the description of where the current IV lies in comparison to its yearly high and low IV.



# IV% thinkscript code
# Display Implied Volatility Percentile as a label on a chart
declare upper ;
input length = 252 ; # bars to use in implied volatility calculation

# If IV data doesn’t exist for a particular period, set it to previous value so it won’t affect the hi/low
def ivClean = if IsNaN(imp_volatility()) then ivClean from 1 bar ago
else imp_volatility() ;
def ivHi = Highest(ivClean, length) ; # highest IV over range
def ivLo = Lowest(ivClean, length) ; # lowest IV over range
def ivRange = ivHi – ivLo ; # IV range from low to high
def ivp = Round( 100 * (imp_volatility() – ivLo) / ivRange, 1) ; # IV RANK

# Define a color level from 0 to 255 based on current IV%
def level = ivp * 2.55;
input brightness = 100 ; # overall brightness of IV display
# Check bounds and convert brightness input to an intensity factor between 0.2 and 1.0
def intensity = if brightness < 0 then 0.2 else if brightness > 100 then 1.0
else 0.2 + (brightness * 0.008) ;
# Calculate red and green color levels (modified by intensity) for the color function
def rLvl = intensity * (255 – level) ;
def gLvl = intensity * (level) ;
AddLabel(yes, “IV RANK: ” + ivp, CreateColor(rLvl, gLvl, 0)) ;
# end of code ——————————-