Brilliant, thanks so much for coding this @Nicolas.

This lack of screener results is strange, not least because the same indicator code with higher criteria like multi = 6.0, lb 99 and ph 0.99 have produced results?
Pls see £/Y screenshot:

What do you think is going on with the Screener because it has lower threshold settings?

99-scaled.png

Thanks Nicolas, that’s sorted it!

Can you think why there is no green highlight bar at 97.5% IV when the setting is looking for anthing over 95% IV and yet it marks a green bar for 98.7%?
Pls see 2 screenshots and a red arrrow showing a green highlight bar for 98.7% IV and another red arrow showing no such green bar (at 97.5% IV). Cheers.
I’ve included the indicator code below for clarity:

p = 365 //LookBack for boundaries //Default 200 //365
pd = 10 // "LookBack Period Standard Deviation Low" Default 22 //30 //10
bbl = 60 //"Bollinger Band Length" //Default 20 //730 //60
mult = 1.5 //"Bollinger Band Standard Deviation down" Default 2.0, //1.0
lb = 95 //"Look Back Period Percentile low" //95%
pl = 1.05 //"Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%"
 
mult = max(mult,1)
mult = min(mult,5)

// Implied Low Volatility Rank -- Inverse IV Proxy
wvf = ((highest[pd](close)-low)/(lowest[pd](close)))*100

//Correct but worse performing:
//wvfinverse = ((high-lowest[pd](close))/(lowest[pd](close)))*100
 
sDev = mult * std[bbl](wvf)
midLine = average[bbl](wvf)
lowerBand = midLine - sDev
rangeLow = (lowest[lb](wvf)) * pl
 
r = 204 //128
g = 140 //128
b = 0   //128
if wvf <= lowerBand or wvf <= rangeLow then
r = 0   //186
g = 255 //167
b = 0
endif
 
//Boundaries
upper = highest[p](wvf)
lower = lowest[p](wvf)
 
wvflev = 100-((wvf-lower)/(upper-lower))*100
 
//Historical Volatility Rank
Length = 30 //Default 22
annualVol = 365
//periods = 7// 1 = intraday chart 7 = daily chart
 
Price = log(close / close[1])
sigma = std[length](Price)
HVol = sigma * sqrt(annualVol ) * 100
lowVol = lowest[annualvol](HVol)
HVrankUp = HVol - lowVol
maxVol = highest[annualvol](HVol)
HVrankLow = maxVol - lowVol
HVR = (HVrankUp / HVrankLow)*100

RETURN 100 as "100", 50 as "50", 0 as "0", wvflev coloured(r,g,b) style(histogram,2) as "Williams Low IV Vix Fix", HVR coloured(102,255,255) style(line,2) as "Historical Volatility Rank"

This is a great Options (and general trading) Indicator and Screener highlighting typically unsustainably high volatility. Appreciate the help.

97-no-green-bar.png 98-yes-green-bar.png