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Thinkorswim custom script for Stock/ETF / volatility percent percentile range
Is any existing Thinkorswim custom script for stock/ETF to generate the 52 week volatility percent percentile range? This script will be helpful to determine the degree of volatility for individual stocks and under underlines
Thanks
Can you help answer these questions from other members on NexusFi?
I am not aware of any script for this, but long ago I used to use Larry McMillan's website to find
the percentile volatility for a stock. It is free and I believe it is updated at the end of every week.
The website has changed since I used it, but I actually found the link.
You can download (copy and paste) this data into an Excel spread sheet and sort according to your needs.
If you prefer not to download that data for thousands of stock and indexes, you can just search for a
specific stock by doing Control F and type the stock symbol.
If no one responds with a script, then perhaps this might help as far as accessing the data you
are looking for.
def v;
switch (type)
{
case IV:
v = impVolatility();
case HV:
v = HistoricalVolatility(period);
case IVminusHV:
v = ImpVolatility() - HistoricalVolatility(period);
case ParkinsonHV:
v = Sqrt( Sum( hlConstant * Sqr(hlReturn), period) ) * Sqrt(252);
case Range:
v = high - low;
}
def rank = fold index = 1 to period with perRank = 0 do perRank + (GetValue(v, index, period) < v) ;
Going back to the original poster "IV_Percentile" was added to the scan criteria a couple of months ago which is something nice to easily see if you sell options: