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Thinkorswim custom script for Stock/ETF / volatility percent percentile range
Updated: Views / Replies:15,368 / 11
Created: by peroulias Attachments:1

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Thinkorswim custom script for Stock/ETF / volatility percent percentile range

  #11 (permalink)
Trading Apprentice
Futures Experience: Intermediate
Platform: thinkorswim
Favorite Futures: options
Posts: 1 since Nov 2013
Thanks: 1 given, 1 received

alchemist74 View Post
sorry i delayed my answer but i trade very heavily last few months. I find better TOS code for IV rank, here it is:

def vol = imp_volatility;
#rec data = if !isNaN(vol) then vol else data[1];
def data = vol;
def hi = highest(data,252);
def lo = lowest(data,252);
def perct = round((data - lo)*100/ (hi - lo),0);
plot x = perct;
plot H = 90;
plot L = 20;

this will draw a line tool bellow your chart . If u want to see just a number at your left chart corner use this:

declare upper;
input period = AggregationPeriod.DAY ;

input length =252 ;

def ivGapHi = if isnan(imp_volatility(period=period)) then 99999999999 else imp_volatility(period=period);
def ivGapLo = if isnan(imp_volatility(period=period)) then -99999999999 else imp_volatility(period=period);
def periodHigh = highest( ivGapLo,length=length);
def periodLow = lowest( ivGapHi, length=length);
def ivRange = periodHigh - periodLow ;
def ivp = round( 100*(imp_volatility(period=period) - periodLow)/ivRange, 0);
AddLabel(1, Concat("IV%: ", ivp), color = Color.PLUM);

Thank u Alchemist74, created an account just to thank u. The code is just what i needed.

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  #12 (permalink)
Trading Apprentice
Bahia Blanca + Buenos Aires/Argentina
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: Stocks
Posts: 1 since Sep 2013
Thanks: 0 given, 0 received

IV missing days on last year ruining the % study

alchemist74 View Post
def vol = imp_volatility;
#rec data = if !isNaN(vol) then vol else data[1];
def data = vol;
def hi = highest(data,252);
def lo = lowest(data,252);
def perct = round((data - lo)*100/ (hi - lo),0);
plot x = perct;
plot H = 90;
plot L = 20;

Alchemist, when there is at least one missing day in the IV within the last 252 trading days the whole study breaks.

I see you started to address the issue here on the commented line:

#rec data = if !isNaN(vol) then vol else data[1];

Have you fixed it? I cannot believe that they havenīt fixed it yet on TOS. The scanner, columns and studies.. all with the same problem. As if they wanted to have it that way..

I think this happens because of the division by 0 here:
def perct = round((data - lo)*100/ (hi - lo),0);

If there is just one missing day, the hi and the lo will be 0, so there will be a division by zero in the formula and that will break the study.

I think we could solve it if we can ignore the 0. I came up with a logic like this:

def hi = If (vol = 0, [use the highest between 0.1 and the high], else highest(vol,252);

def lo = If (vol = 0, [use the lowest between 0.1 and the low], else lowest(vol,252);

But I donīt know how to code it.

What do you think?

Can anyone help me fix it so that it works even if there are missing days in the IV in the last year?

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