Historical IV Calculation

Viewing 4 posts - 1 through 4 (of 4 total)
  • Author
    Posts
  • 09/06/2018 at 7:42 AM #79856 quote
    deletedaccount14122020
    Participant
    New

    Hello,

    I am trying to write an Indicator which will give a Historical IV Rank to a particular stock. The calculation is:

    100 x (the current Historical IV level – the 52 week Historical IV low) / (the 52 week Historical IV high – 52 week Historical IV low) = IV Rank

    I have tried the attached but I think that the terms “highest” and “lowest” only work with price. Does anyone know if my calculation can be performed by PRT

    Many thanks

    indicator1 = HistoricVolatility
indicator2 = highest [365] HistoricVolatility
indicator3 = lowest[365]HistoricVolatility

c3 = indicator1 - indicator3
c4 = indicator2 - indicator3
c5 = c3 / c4
c6 = c5 * 100

Return c6 AS "IV Rank"

//HOW IS IV RANK CALCULATED?
//The formula for IV rank is simple, really. It is:
//100 x (the current IV level - the 52 week IV low) / (the 52 week IV high - 52 week IV low) = IV Rank
    09/06/2018 at 7:49 AM #79858 quote
    Nicolas
    Keymaster
    Master

    This is just the stochastic of the historical volatility or a normalization of its value over the last 365 periods.

    Highest and lowest instructions are working perfectly for any data serie, even if it is not price! 🙂

    indi= HistoricVolatility
hh = highest [365](indi)
ll = lowest[365](indi)

result = 100*((indi-ll)/(hh-ll))

return result
    09/06/2018 at 7:56 AM #79861 quote
    JC_Bywan
    Moderator
    Master

    Topic moved from proscreener forum (dedicated to screeners) to probuider forum (dedicated to indicators)

    Nicolas thanked this post
    09/06/2018 at 8:00 AM #79864 quote
    deletedaccount14122020
    Participant
    New

    Nicolas,

    Many thanks for your quick reply. All working now

    Noobywan Sorry about that

  • Author
    Posts
Viewing 4 posts - 1 through 4 (of 4 total)
  • You must be logged in to reply to this topic.

Historical IV Calculation


ProBuilder: Indicators & Custom Tools

New Reply
Author
author-avatar
deletedaccount14122020 @deletedaccount14122020 Participant
Summary

This topic contains 3 replies,
has 3 voices, and was last updated by deletedaccount14122020
7 years, 5 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 09/06/2018
Status: Active
Attachments: 1 files
Logo Logo
Loading...
Do you like cookies? 🍪 We use cookies to ensure you get the best experience on our website. (Learn more)
©2026 ProRealCode - Trading & Coding with ProRealTime™