Saturday, September 14, 2013

Current IV Percentile on Charts

I use this Current IV percentile a lot from the trade page, and if you listen to Tasty Trade they have done a study where sell when the current IV percentile is over 50% your more likely to have a winner.

I found a post on Twitter about adding this to the chart page from @Ricksta about doing this in thinkscript what a great idea. Nicole from TD Ameritrade was great about getting me lined out on this and getting me in touch with David Kier. Here is what we came up with;

Here is the script;
#Current IV Percentile

declare lower;
def vol = ImpVolatility();
rec data = if !IsNaN(vol) then vol else data[1];
def hi = Highest(data, 252);
def lo = Lowest(data, 252);
plot perct = (data-lo) *100/(hi-lo);

You can look at the chart, IV, current IV percentile, and IV vs HV histogram all at one time. I find this handy when looking though a scan..

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