IV RankLevels (Make them Dynamic?)

February 23rd, 2014, 03:29 PM

[IMG]

[/IMG]Got this indicator from Tastytrade.com. (Screenshot attached)

It computes and displays IV Rank (Percentile), Implied Volatility, and Daily, Weekly, and Monthly Stand Deviations. It plots Implied Volatility. I like the indicator, but the computations are only displayed for the current day (the day on the far right of the chart).

Is there a way to display the computations dynamically (change as you move the mouse from day to day).

Can we/should we plot IV Rank (Percentile) along with Implied Volatility?

Thanks,

Don

Code

    declare lower;
    declare hide_on_intraday;
     
    #IVPercentile
    def vol = imp_volatility();
    input DisplayIVPercentile = yes;
    input DisplayImpVolatility= yes;
    input DisplayDaily1StandardDev = yes;
    input DisplayWeekly1StandardDev = yes;
    input DisplayMonthly1StandardDev = yes;
     
     
    input TimePeriod = 252;
     
    def data = if !isNaN(vol) then vol else vol[-1];
    def hi = highest(data, TimePeriod);
    def lo = lowest(data, TimePeriod);
    plot Percentile = (data - lo) / (hi - lo) * 100;
    def lowend = Percentile < 25;
    def highend = Percentile > 50;
     
     
    #Labels
    addlabel(DisplayIVPercentile , concat("IV Rank: ",aspercent(Percentile /100)), if lowend then color.red else if highend

    then color.green else color.black);
     
    addlabel(DisplayImpVolatility, concat("ImpVolatility: ",aspercent(vol)), if lowend then color.red else if highend then

    color.green else color.black);
     
    def ImpPts = (vol / Sqrt(252)) * close;
    AddLabel(DisplayDaily1StandardDev , Concat("Daily 1 SD +/- $", Astext( ImpPts, NumberFormat.TWO_DECIMAL_PLACES)), if

    lowend then color.red else if highend then color.green else color.black); ;
     
    def ImpPts2 = (vol / Sqrt(52)) * close;
    AddLabel(DisplayWeekly1StandardDev, Concat("Weekly 1 SD +/- $", Astext( ImpPts2, NumberFormat.TWO_DECIMAL_PLACES)), if

    lowend then color.red else if highend then color.green else color.black); ;
     
    def ImpPts3 = (vol / Sqrt(12)) * close;
    AddLabel(DisplayMonthly1StandardDev, Concat("Monthly 1 SD +/- $", Astext( ImpPts3, NumberFormat.TWO_DECIMAL_PLACES)), if

    lowend then color.red else if highend then color.green else color.black); ;
     
     
    plot LowVol = 25;
    plot HighVol = 50;
     
    LowVol.SetDefaultColor(GetColor(5));
    HighVol.SetDefaultColor(GetColor(6));

February 23rd, 2014, 04:12 PM

Only way I can think of for showing the info with the cursor is plotting the SD lines.

IV RankLevels (Make them Dynamic?)

Discussion in ThinkOrSwim

IV RankLevels (Make them Dynamic?)