I have been looking at the TOS IV rank and put in a lower study. I see that IV Percentile is available in the studies.


I found this video (cant post because I dont have 5 posts)

But go to tasty trade and look for IV Rank verses Percentile on Mar 13 2014



And they say that they should be very close together, but most are very far apart.


Ideas or comments...



Hobs

 

Code

#Implied Volatility percentile declare lower; declare real_size; 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 = if !isNan(close) then (data - lo) * 100 / (hi - lo) else double.Nan ;

 

Code

# Historical Volatility percentile declare lower; declare real_size; input length = 20; input period = 252; def vol = HistoricalVolatility(length = length); rec data = if !IsNaN(vol) then vol else data[1]; def hi = Highest(data, period); def lo = Lowest(data, period); plot perct = if !isNan(close) then (data - lo) * 100 / (hi - lo) else double.Nan ;