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r2k0/IV_Percent

Created May 5, 2014 23:19
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IV_Percent
declare upper;
input period = AggregationPeriod.DAY;
input length = 252;
def periodHigh = Highest(imp_volatility(period = period), length = length);
def periodLow = Lowest(imp_volatility(period = period), length = length);
def ivRange = periodHigh - periodLow;
def ivp = round(100*(imp_volatility(period=period)-periodLow)/ivRange, 0);
AddLabel(1, Concat("IV%", ivp), color.DARK_ORANGE);
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