True IV Percentile (not rank) for ThinkorSwim

Bigcheefer30

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

Code:
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")

Code:
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

New member
Add to that script:

Code:
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

Code:
# 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 ------------------------------
 
Last edited:

Bigcheefer30

New member
@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?
 

ext99k

Member
Would really appreciate it if someone can help me plot IV percentile or rank over time and have multiple series on the same plot for different days.

For example, I would like to plot the IV percentile of 252 days, 90 days, 30 days, 14 days on the same plot, and just have that rolling forward through time.

Would be nice to summarize how high IV is over time! Would appreciate it! Thank you!
 

epyonxer0

New member
This is cool, thanks. The plots and the scan seem to be working but when I use the same scan as a custom column to see the actual IV percentile value all I get is 0.0.
 
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