ATR of Implied volatility as an indicator

[jrmarkinv]

I am trying to do something related to:
https://usethinkscript.com/threads/...-volatility-from-1-day-ago.13907/#post-115723

I want to plot ATR of Implied volatility as an indicator. So for a chart of GLD, I need to be able to calculate ATR of GVZ. For SPY I would need ATR of VIX, etc. Since ATR requires high, low, close, I have tried assigning volhigh = high(imp_volatility()); But it gives an error. Is it possible to get high, low close of implied volatilities?

 

[mashume]

Not sure this gives you what you want, but it shows one way it can be done (sort of)

declare lower;

def iv = impVolatility();

input iv_lookback = 100;

def C = iv;
def H = highest(iv, iv_lookback);
def L = lowest(iv, iv_lookback);


input length = 14;
input averageType = AverageType.WILDERS;

plot IV_ATR = MovingAverage(averageType, TrueRange(H, C, L), length) * 1000;
IV_ATR.SetDefaultColor(GetColor(8));

-mashume

 

[jrmarkinv]

Not sure this gives you what you want, but it shows one way it can be done (sort of)

declare lower;

def iv = impVolatility();

input iv_lookback = 100;

def C = iv;
def H = highest(iv, iv_lookback);
def L = lowest(iv, iv_lookback);


input length = 14;
input averageType = AverageType.WILDERS;

plot IV_ATR = MovingAverage(averageType, TrueRange(H, C, L), length) * 1000;
IV_ATR.SetDefaultColor(GetColor(8));

-mashume

Thanks Mashume. I think i can use that method as an approximation in 1 way. I can use it with lookback of 63 to get a 13wk/3month IV where daily volatility values provide highs and lows. Would thinkscript allow me to use 1 mnute or 5 mintue AggregationPeriod to actually get much closer approximation of daily high and low? That would be a better way.