Ken Wilsdon
Member
Posts: 16
Joined: 3/26/2018
Location: Calgary, Alberta, Canada
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I created a focus list column with IV Rank some time ago. I used the formula I obtained from Option Alpha. Here it is. It is not the most elegant (it uses HHV and LLV, which are known to be slower), but it works.
100*(ImpVol-llv(ImpVol,252))/(hhv(ImpVol,252)-llv(ImpVol,252))
You can change 252 (market days in one year) to whatever you want. The focus list can then be sorted by high or low IV rank.
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