Implied Volatility High & Low

[jrmarkinv]

First time user of this site. I am looking to calculate volatility of implied volatility for any stock or etf where implied volatility data is available. The IMP_VOLATILITY function only returns closing values. Is there a way to get intraday high and low of Implied Volatility for each day for last 1-6 months? I'd like to use ATR which requires high and low values. Or is there another way to do get intraday high and low of implied volatility?

 

[MerryDay]

Hello & welcome @jrmarkinv . Could you make something like this work for what you want?
https://usethinkscript.com/threads/atr-percentile-rank-indicator-for-thinkorswim.1738/

This Indicator Takes the ATR and uses a different LookBack Period to calculate the Percentile Rank of ATR Which is a Great Way To Calculate Volatility.

It is designed to work on an intraday timeframe.

 

[jrmarkinv]

MerryDay, thank you for suggesting.

I think it is too complicated for me to understand how to use it at first glance. I use simpler methods and don't try to optimize too much since i don't do short term trading.

For my current needs, I am really after the range of implied volatility (or Volatility of Volatility) of a more liquidly traded asset like some etfs, some cryptos, and many of the larger stocks (small stocks tend to have too big a volatility spike approaching earnings dates). I want to use it to nail down confidence in a trend as it develops so I can get on board and stay invested for weeks at least and preferably months.