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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);