|
Steelhead
 Member
Posts: 13
Joined: 9/7/2012
Location: South Africa
User Profile |
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.
|
|
Ken Wilsdon
 Member
Posts: 16
Joined: 3/26/2018
Location: Calgary, Alberta, Canada
User Profile |
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.
|
|
THOMAS HELGET
 Elite
  Posts: 610
Joined: 3/22/2006
Location: BALDWINSVILLE, NEW YORK
User Profile |
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)
|
|
Steelhead
 Member
Posts: 13
Joined: 9/7/2012
Location: South Africa
User Profile |
Many thanks Ken and Tom.
|