True IV Percentile (not rank) for ThinkorSwim

[Bigcheefer30]

I'm currently using this script for IV Percentile (not rank) in ThinkorSwim.

declare lower;

# Mark Laczynski
# 3.13.2014

# look at 1 year of history
input length = 252;
#clean up the IV data from TOS
rec clean_iv_r = if (isNaN(imp_volatility()) and !isNaN(close)) then clean_iv_r[1] else imp_volatility();

rec iv_today_r = GetValue(clean_iv_r, -length);


rec bar_number_of_todays_iv_projected_back =
    if IsNaN(bar_number_of_todays_iv_projected_back[1]) then 0
    else if (isNaN(iv_today_r)) then BarNumber()
    else bar_number_of_todays_iv_projected_back [1];


rec iv_today_projected_back_r =
    if(IsNAN(iv_today_projected_back_r[1])) then double.nan
    else if(!isNaN(iv_today_r)) then iv_today_r
    else if(isNaN(clean_iv_r)) then double.nan
    else iv_today_projected_back_r[1];

rec is_considered_for_counting_r =
    if(isNan(iv_today_projected_back_r)) then double.nan
    else if (BarNumber() - bar_number_of_todays_iv_projected_back != 0) then double.nan
    else 1;

rec count_is_under_iv_today_r =
    if if (isNan(close)) then double.nan
    else (isNan(is_considered_for_counting_r )) then 0
    else if (clean_iv_r < iv_today_projected_back_r and !isNan(is_considered_for_counting_r )) then count_is_under_iv_today_r[1] + 1
    else count_is_under_iv_today_r[1];


AddLabel(yes,concat("Percentile: ", round(count_is_under_iv_today_r * 100 / length,2)));

I've been trying to figure out how to build a custom scan (to look for anything > 75 for example), but am getting all sorts of errors in the thinkScript Editor. I can't get to the point where I can actually hit OK- just getting invalid arguments about plots/scans. Been wracking my brain for weeks on YT/web and cant figure it out.

Anyone out there skilled with ToS thinkScript willing to help a lad out? I don't think there should be more than 3 lines of code, I just can't find the combo...it has to be something like..(my study name is "IVPercentile")

IVPercentile().Scan == 1
plot Scan = IVPercentile > 75

Would very much so appreciate any insight and will send good weekend vibes your way for support.

Thanks in advance amigos.

 

[Don]

Add to that script:

plot Percentile = round(count_is_under_iv_today_r * 100 / length,2);

Go to SCAN tab on TOS, Add filter Study, Select Custom..., add that study (IVPercentile) is greater than (value) 75

Hope that helps.

Mobius: creates an IV Percentile Label column on your TOS watchlist

# this code creates an IV Percentile Label column on your TOS watchlist that colors RED for time to use negative Vega strategies
# and colors GREEN for time to use Vega positive strategies

# HINT: right-click on any watchlist column-->>Customize
# click and drag one of the custom choices to add it to your watchlist column choices
# click on ThinkScript tab and replace the code with this code
# BE SURE to give your new column a name and keep the name short enough it will appear on your watchlist at top of the column (ie 52w IV%tile)
# REMINDER - you can sort your watchlist by this column by clicking on the column header

# HINT: use 252 for 1-year or 52-week IV percentile
# copy/paste this code into a new study and change 252 to 189 for 9-month IV percentile
# copy/paste this code into a new study and change 252 to 126 for 6-month IV percentile

def vol = impVolatility();
def hi = highest(vol,252);
def lo = lowest(vol,252);
def perct = (vol - lo) / (hi - lo);

AddLabel(yes, AsPercent(perct));

AssignBackgroundColor (if perct < 0.30 then color.GREEN else if perct > 0.70 then color.RED else color.LIGHT_GRAY);

# end custom watchlist column code ------------------------------

 

[Bigcheefer30]

Don, thanks!!!! That worked

Any thoughts on how to filter out "NaN" values easily?
Tried setting not equal to NaN.
Tried 75 < IVPercentile < 100

 

[Don]

@Bigcheefer30 Sorry I don't know how to do that

 

[Bigcheefer30]

@Bigcheefer30 Sorry I don't know how to do that

Thanks for trying, Don! Appreciate it. I'm not sure why I'm getting the NaN values in the first place. When I look at the study plotted against the chart, I can see a value..for example, 74.31. But in the scan (the underlying was found and returned) the value in the table is NaN? Is there a way to modify the script to overwrite this or compensate?

 

[Don]

@Bigcheefer30 I am not experienced with any NaN? Where did you see NaN on what table? On watchlist? If you scan for >75, why did you see 74.31? Not sure if I can help but I can't duplicate your error.