95th Percentile IV Market Bottoms Screener

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  • #113081 Report

    Could someone please tell me how to get this code to find high implied volatility market bottoms? It’s based on the Williams Vix Fix code here: https://www.prorealcode.com/topic/a-better-implied-volatility-rank-and-percentile-indicator/#post-110636

    It would also be great if it screened and found assets that had have 95% IV’s spikes over the last eg 10 periods.



    #113116 Report

    The modified version below should work, but still didn’t get any result:

    Please note that period of any calculation cannot exceed 254 bars as it is the limit of history with ProScreener.

    1 user thanked author for this post.
    #113134 Report

    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?


    #113139 Report

    I made it works, the sum of p+pd periods must be lower or equal to 256.

    #113224 Report

    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:

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

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