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Steelhead

Member

Posts: 13

Joined: 9/7/2012
Location: South Africa

User Profile 
Subject : IV Percentile
Posted : 7/5/2020 12:26 PM
Post #31179
Hi

I am trading options and would like to calculate the Implied Volatility Percentile of the underlying in order to find candidates and eventually develop a mechanical trading system that uses it.

The formula for a fixed loop back period is:

IV_Percentile = (number of days when IV was lower than current IV in the look back period) / (number of days in look back period) * 100

Any help would be appreciated, thanks.


Deleting message 31179 : IV Percentile


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