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IV Percentile
Last Activity 7/6/2025 3:47 AM
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Steelhead

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Posts: 13

Joined: 9/7/2012
Location: South Africa

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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.


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Ken Wilsdon

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Posts: 16

Joined: 3/26/2018
Location: Calgary, Alberta, Canada

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Subject : RE: IV Percentile
Posted : 7/5/2020 5:39 PM
Post #31180 - In reply to #31179

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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THOMAS HELGET

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Posts: 610

Joined: 3/22/2006
Location: BALDWINSVILLE, NEW YORK

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Subject : RE: IV Percentile
Posted : 7/6/2020 11:50 AM
Post #31185 - In reply to #31179

Steelhead:

Attached is an Indicator I made to plot the IV Percentile.

It could also be used to make a Focus List Column.

Tom Helget
Attached file : indIVPercentile.txt (0KB - 302 downloads)

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Steelhead

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Posts: 13

Joined: 9/7/2012
Location: South Africa

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Subject : RE: IV Percentile
Posted : 7/6/2020 12:05 PM
Post #31186 - In reply to #31179

Many thanks Ken and Tom.
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