Tuesday Member Webinar – Tuesday, Feb 27th, 2018

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20180227MemberWebinar_Tuesday from Todd Gordon on Vimeo.

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1 Comment

  1. Mo Naim

    Some people 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 stript in there and saved. 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

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