TOS IV Rank

YOUR LINK HERE:

http://youtube.com/watch?v=UZus3naPTEU

How to add IV Percentile (Rank) to your quotes and scans in Thinkorswim. In response to Matt's comment I've added the thinkscript code for my IV Rank chart labels. • #####BEGIN STUDY: n2s_IV_Rank • # • #hint: Displays a Chart label with the current IV Percentile (aka Rank). From LIZ JNY, 9/13/13. Modified by John Latrobe: Removed the input for period: must use Day charts. Added 2 more time-frames and color-coded as follows: low IV percentile = Green (Go Long!), mid-range = White, high = Red (Go Short!). • originally posted at http://www.smallDogInvestor.com • author: allen everhart • date: 19jul2013 • revision 1.2 19sep2013 - simplified color coding • revision 1.1 9sep2013 - fixed cases where N/A was displayed if there were gaps in the imp_volatility data. Gaps are now ignored. • # modified by: John Latrobe • added 2 addtional time-frame labels (long, medium, short) • added color coding based on percentile • # • declare upper; • declare hide_on_intraday; • # • input long = 252; • #hint long: # of bars to use in long-term implied volatility calculation: 252 per year. • input medium = 84; • #hint medium: # of bars to use in medium-term implied volatility calculation: 84 trading days in 4 months. • input short = 21; • #hint short: # of bars to use in short-term implied volatility calculation: 21 trading days in 1 month. • # ignore gaps • def ivGapHi = if IsNaN(imp_volatility()) then 99999999999 else imp_volatility(); • def ivGapLo = if IsNaN(imp_volatility()) then -99999999999 else imp_volatility(); • Long calc • def periodHighL = Highest (ivGapLo, length = long); • def periodLowL = Lowest (ivGapHi, length = long); • def ivRangeL = periodHighL - periodLowL; • def ivpL = Round (100 * (imp_volatility() - periodLowL) / ivRangeL, 0); • Medium calc • def periodHighM = Highest (ivGapLo, length = medium); • def periodLowM = Lowest (ivGapHi, length = medium); • def ivRangeM = periodHighM - periodLowM; • def ivpM = Round (100 * (imp_volatility() - periodLowM) / ivRangeM, 0); • Short calc • def periodHighS = Highest (ivGapLo, length = short); • def periodLowS = Lowest (ivGapHi, length = short); • def ivRangeS = periodHighS - periodLowS; • def ivpS = Round (100 * (imp_volatility() - periodLowS) / ivRangeS, 0); • Long label • AddLabel(1, Concat( IV% L: , ivpL), color = CreateColor(min(255, max(0, (ivpL-10)*5.1)), min(255, max(0, (90-ivpL)*5.1)), min(max(0, (ivpL-10)*5.1), max(0, (90-ivpL)*5.1)))); • Medium label • AddLabel(1, Concat( m: , ivpM), color = CreateColor(min(255, max(0, (ivpM-10)*5.1)), min(255, max(0, (90-ivpM)*5.1)), min(max(0, (ivpM-10)*5.1), max(0, (90-ivpM)*5.1)))); • Short label • #AddLabel(1, Concat( s: , ivpS), color = CreateColor(min(255, max(0, (ivpS-10)*5.1)), min(255, max(0, (90-ivpS)*5.1)), min(max(0, (ivpS-10)*5.1), max(0, (90-ivpS)*5.1)))); • AddLabel(1, Concat( s: , ivpS), color = CreateColor(min(255, ivpS*5.1), min(255, (100-ivpS)*5.1), min(ivpS*5.1, (100-ivpS)*5.1))); • #plot ImpVol = IMP_VOLATILITY(); • # • #####END STUDY.

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