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IVR - IVP - ThinkScript

This document contains a thinkscript for calculating and displaying the implied volatility (IV) rank and IV percentile of different assets on a daily chart. It defines IV rank as the position of the current IV compared to its yearly high and low. IV percentile gives the percentage of days in the last year that were below the current IV. The script calculates these values and displays them with color coding to indicate if they are above or below 50%.

Uploaded by

Leanny Petit
Copyright
© © All Rights Reserved
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
224 views

IVR - IVP - ThinkScript

This document contains a thinkscript for calculating and displaying the implied volatility (IV) rank and IV percentile of different assets on a daily chart. It defines IV rank as the position of the current IV compared to its yearly high and low. IV percentile gives the percentage of days in the last year that were below the current IV. The script calculates these values and displays them with color coding to indicate if they are above or below 50%.

Uploaded by

Leanny Petit
Copyright
© © All Rights Reserved
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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# ------------------------START BELOW THIS LINE--------------------------

#
# tastytrade/dough Research Team
# Michael Rechenthin, Ph.D.
# Follow me on twitter: @mrechenthin
#
# IV Rank is a description of where the current IV lies in comparison
# to its yearly high and low IV
#
# IV Percentile gives the percentage of days over the last year, that
# were below the current IV. If the IV Rank is above 50%, then
# the script will highlight it green; otherwise red.
#
# For information on the two, see Skinny on Options Data Science,
# titled "IV Rank and IV Percentile (w/ thinkscript)" on Nov 12, 2015
# http://ontt.tv/1Nt4fcS
#
# version 3.2
#
declare lower;
declare hide_on_intraday; # do not display when using intra-day plots
input days_back = 252; # it is most common to use 1-year (or 252 trading days)

def x;
if GetAggregationPeriod() > AggregationPeriod.DAY {
x=1;
} else {
x=2;
}
AddLabel(yes, if (x==1) then "This script should be used on daily charts only" else
"");

# implied volatility
# using proxies for futures
def df = if (GetSymbol() == "/ES") then close("VIX") / 100
else if (GetSymbol() == "/CL") then close("OIV") / 100
else if (GetSymbol() == "/GC") then close("GVX") / 100
else if (GetSymbol() == "/SI") then close("VXSLV") / 100
else if (GetSymbol() == "/NQ") then close("VXN") / 100
else if (GetSymbol() == "/TF") then close("RVX") / 100
else if (GetSymbol() == "/YM") then close("VXD") / 100
else if (GetSymbol() == "/6E") then close("EVZ") / 100
else if (GetSymbol() == "/6J") then close("JYVIX") / 100
else if (GetSymbol() == "/6B") then close("BPVIX") / 100
else if (GetSymbol() == "/ZN") then close("TYVIX") / 100
else if (Getsymbol() == "/ZW") then close("WIV") / 100
else if (Getsymbol() == "/ZB") then imp_volatility("TLT")
else if (Getsymbol() == "/ZC") then imp_volatility("CORN")
else if (Getsymbol() == "/ZS") then imp_volatility("SOYB")
else if (Getsymbol() == "/KC") then imp_volatility("JO")
else if (Getsymbol() == "/NG") then imp_volatility("UNG")
else if (Getsymbol() == "/6S") then imp_volatility("FXF")
else imp_volatility();

def df1 = if !IsNaN(df) then df else df[-1];

# display regular implied volatility


# ---------------------------
AddLabel(yes, "IV: " + Round(df1 * 100.0, 0), Color.ORANGE);

# calculate the IV rank


# ---------------------------
# calculate the IV rank
def low_over_timespan = Lowest(df1, days_back);
def high_over_timespan = Highest(df1, days_back);

def iv_rank = Round( (df1 - low_over_timespan) / (high_over_timespan -


low_over_timespan) * 100.0, 0);

AddLabel(yes, "IV Rank: " + iv_rank + "%", if iv_rank > 50 then Color.GREEN else
Color.RED);

# calculate the IV percentile


# ---------------------------
# how many times over the past year, has IV been below the current IV
def counts_below = fold i = 1 to days_back + 1 with count = 0
do
if df1[0] > df1[i] then
count + 1
else
count;

def iv_percentile = Round(counts_below / days_back * 100.0, 0);


plot IVs = df1 * 100;
IVs.SetLineWeight(3);
IVs.AssignValueColor(if iv_rank > 50 then Color.GREEN else Color.RED);

AddLabel(yes, "IV Percentile: " + iv_percentile + "% of days were below the past
year's IV", if iv_percentile > 50 then Color.GREEN else Color.RED);

# thanks to Kevin Osborn for the following line


AddLabel(yes, if (GetSymbol() == "/6S" or GetSymbol() == "/ZB" or GetSymbol() ==
"/ZC" or GetSymbol() == "/NG" or GetSymbol() == "/ZS" or GetSymbol() == "/KC") then
"* ETF based" else "", Color.BLACK);

# ------------------------END ABOVE THIS LINE--------------------------

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