5 Comments

1. 

   Mo Naim on February 27, 2018 at 6:38 pm

   Some of you guys are curious to have IV% on their chart. Here is the script…
   Go to studies, create a study and name it IV and then copy paste this script in there and saved it. You should be able to see it on the chart right away….Thanks Mo

   declare upper;
   input NumberOfWeeks = 52; #HINT NumberOfWeeks: 52= 1-year; 39= 9-months; 26= 6-months; 13= 3-months
   def IV = if !IsNaN(imp_volatility(period = AggregationPeriod.DAY))
   then imp_volatility(period = AggregationPeriod.DAY)
   else IV[1];
   ;
   def timePeriod = NumberOfWeeks * 4.85; #NOTE: 4.85 is used instead of 5 to account for market holiday weeks
   def hi = Highest(IV, timePeriod);
   def lo = Lowest(IV, timePeriod);
   def perct = (IV – lo) * 100 / (hi – lo);
   # end code ————-
   # HINT: This IV percentile is NOT a 0 – 100 rank of where current IV is located within the 52-week high/low range for ImpVolatility. Instead this IV percentile compares 52-weeks of ImpVolatility data to determine where current IV is located relative to “normal” ImpVolatility.
   # Many times IV percentile rank will be same or similar to IV percentile, however, if there has been a spike high or spike low in the ImpVolatility high/low range that spike(s) can skew IV percentile rank causing current IV to appear lower or higher than actual realtive to “normal” IV
   def TradingDays = if NumberOfWeeks == 52 then 252 else if NumberOfWeeks == 39 then 189 else if NumberOfWeeks == 26 then 126 else 63;
   def IVperc = fold i = 0 to TradingDays
   with p = 0
   do if IV 60
   then Color.green
   else if IVpercentile < 40
   then Color.red
   else Color.LIGHT_GRAY);

   Reply
2. 

   NL on February 28, 2018 at 4:14 am

   Hi Todd ,

   Even if the all time high is NOT in on the Spx and RUT , and assuming this is a big wave 4 correction , I still count the move down from end jan to early feb , as a 5 wave down impulse, rather than a 3 wave down, suggesting a zig zag
   For both the Spx and RUT.
   ( neither of them have broken the 78.6% fib resistance ).

   What is it , about the move down on the charts, that suggests a 3 wave down is more likely , than a 5 wave down, on both these 2 index’s.?

   Reply
3. 

   Konrad Brandemuhl on February 28, 2018 at 4:57 am

   3 Cuts? Didn’t you mean 3 hikes.

   Reply
   • 

     Todd Gordon on February 28, 2018 at 8:17 am

     Sorry, yes, 3 hikes.

     Reply
4. 

   THOMAS SHARKEY on February 28, 2018 at 10:30 am

   Is there any more documentation on the Repository? I am getting updates that folders are being added to and changed but dont see any changes?

   Reply