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Code IV Rank

This thinkscript places a colored label on a chart showing the current implied volatility (IV) rank, which is also known as the IV percentile. The label color ranges from red at lower IV ranks to green at higher ranks. The script calculates IV rank by finding the highest and lowest IV over the chart's range, then determining the current IV's position within that range. It outputs the IV rank as a percentage and displays it in a label colored according to the rank.

Uploaded by

Jose Guzman
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© © All Rights Reserved
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301 views4 pages

Code IV Rank

This thinkscript places a colored label on a chart showing the current implied volatility (IV) rank, which is also known as the IV percentile. The label color ranges from red at lower IV ranks to green at higher ranks. The script calculates IV rank by finding the highest and lowest IV over the chart's range, then determining the current IV's position within that range. It outputs the IV rank as a percentage and displays it in a label colored according to the rank.

Uploaded by

Jose Guzman
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Code:

# IV_Rank - IMPLIED VOLATILITY RANK - Adds a colored label to the chart


showing IV Rank
#
# This study simply places a label on the chart showing the current IV
# Rank, otherwise known as IV Percentile. In addition, the label is
# color-coded to hint at the IV Rank, where lower values appear red and
# higher values are green, suggesting greater premium available to be
# sold at a higher IV Rank.
#
# For a more complex presentation of IV Rank in the context of past implied
# volatility, see my other thinkScript: http://pastebin.com/0Vumd8Gt
#
# By: Chris Baker <[email protected]> @ChrisBaker97
# Latest version maintained at: http://pastebin.com/jRDkHvXE
# More thinkScripts at: http://pastebin.com/u/ChrisBaker97
#
# Credit goes to Allen Everhart (http://www.smalldoginvestor.com) for the
# original idea and implementation of IV Percentile as a chart label.
#
# Portions of this code are derived from the IV_percentile Scan tab
# thinkScript included with the thinkorswim platform by TD Ameritrade.
#
# This thinkScript is designed for use in the Charts tab.
#
# This work is licensed under the Creative Commons Attribution-ShareAlike
# 3.0 Unported License. To view a copy of this license, visit:
# http://creativecommons.org/licenses/by-sa/3.0/deed.en_US
#
# This version of the IV Rank study adds dynamic color-coding, for quick
# identification of high- or low-IV Rank. The code has also been
# streamlined for faster execution and ease of interpretation. There is
# also no need to specify a period for the study - the entire aggregation
# period on the chart is used.
#
# The user input brightness can range from 0 to 100 and controls the
# intensity of the plot's red-green color scheme. A lower brightness will
# show up better on a light background, and vice versa.

input brightness = 80 ; # overall brightness of IV display


q
declare upper ;
declare hide_on_intraday ; # IV shows N/A for intraday
aggregations, so we hide it

def ivClean = if isNaN(impVolatility()) # if IV data doesn't exist for a


particular period ...
then ivClean[1] # ... set it to the previous value so
it won't taint the hi/lo
else impVolatility() * 100 ;

def ivHi = HighestAll(ivClean) ; # highest IV over range


def ivLo = LowestAll(ivClean) ; # lowest IV over range

def ivRange = ivHi - ivLo ; # IV range from low to high

def ivRank = Round( 100 * (ivClean - ivLo) / ivRange, 1) ; # IV rank

# Define a color level from 0 to 255 based on current IV%


def level = ivRank * 2.55;

# Check bounds and convert brightness input to an intensity factor between


0.2 and 1.0
def intensity = if brightness < 0 then 0.2
else if brightness > 100 then 1.0
else 0.2 + (brightness * 0.008) ;

# Calculate red and green color levels (modified by intensity) for the color
function
def rLvl = intensity * (255 - level) ;
def gLvl = intensity * (level) ;

# Add label, colored according to current IV Rank.


AddLabel(yes, "IV Rank: " + ivRank + "%", CreateColor(rLvl, gLvl, 0)) ;
Code:
def vol = Imp_Volatility();
#rec data = if !isNaN(vol) then vol else data[1];
def data = vol;
def hi = highest(data,252);
def lo = lowest(data,252);
def perct = round((data - lo)*100/ (hi - lo),0);
plot x = perct;
Code:
# IV_Rank - IMPLIED VOLATILITY RANK - Adds a colored label to the chart
showing IV Rank
#
# This study simply places a label on the chart showing the current IV
# Rank, otherwise known as IV Percentile. In addition, the label is
# color-coded to hint at the IV Rank, where lower values appear red and
# higher values are green, suggesting greater premium available to be
# sold at a higher IV Rank.
#
# For a more complex presentation of IV Rank in the context of past implied
# volatility, see my other thinkScript: http://pastebin.com/0Vumd8Gt
#
# By: Chris Baker <[email protected]> @ChrisBaker97
# Latest version maintained at: http://pastebin.com/jRDkHvXE
# More thinkScripts at: http://pastebin.com/u/ChrisBaker97
#
# Credit goes to Allen Everhart (http://www.smalldoginvestor.com) for the
# original idea and implementation of IV Percentile as a chart label.
#
# Portions of this code are derived from the IV_percentile Scan tab
# thinkScript included with the thinkorswim platform by TD Ameritrade.
#
# This thinkScript is designed for use in the Charts tab.
#
# This work is licensed under the Creative Commons Attribution-ShareAlike
# 3.0 Unported License. To view a copy of this license, visit:
# http://creativecommons.org/licenses/by-sa/3.0/deed.en_US
#
# This version of the IV Rank study adds dynamic color-coding, for quick
# identification of high- or low-IV Rank. The code has also been
# streamlined for faster execution and ease of interpretation. There is
# also no need to specify a period for the study - the entire aggregation
# period on the chart is used.
#
# The user input brightness can range from 0 to 100 and controls the
# intensity of the plot's red-green color scheme. A lower brightness will
# show up better on a light background, and vice versa.

input brightness = 80 ; # overall brightness of IV display


q
declare upper ;
declare hide_on_intraday ; # IV shows N/A for intraday
aggregations, so we hide it

def ivClean = if isNaN(impVolatility()) # if IV data doesn't exist for a


particular period ...
then ivClean[1] # ... set it to the previous value so
it won't taint the hi/lo
else impVolatility() * 100 ;

def ivHi = HighestAll(ivClean) ; # highest IV over range


def ivLo = LowestAll(ivClean) ; # lowest IV over range

def ivRange = ivHi - ivLo ; # IV range from low to high

def ivRank = Round( 100 * (ivClean - ivLo) / ivRange, 1) ; # IV rank

# Define a color level from 0 to 255 based on current IV%


def level = ivRank * 2.55;

# Check bounds and convert brightness input to an intensity factor between


0.2 and 1.0
def intensity = if brightness < 0 then 0.2
else if brightness > 100 then 1.0
else 0.2 + (brightness * 0.008) ;

# Calculate red and green color levels (modified by intensity) for the color
function
def rLvl = intensity * (255 - level) ;
def gLvl = intensity * (level) ;

# Add label, colored according to current IV Rank.


AddLabel(yes, "IV Rank: " + ivRank + "%", CreateColor(rLvl, gLvl, 0)) ;

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