Historical IV Calculation

deletedaccount14122020 · 2018-09-06T06:42:56+00:00

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

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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

Legend
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
```
stochastic-of-historical-volatility.png
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
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