How can I take this IV rank study and use it to scan?

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I have recently added the following study that plots IV rank (credit to TechnoloTRADE: https://www.youtube.com/channel/UCcT7tlaJZr6mpM8LMRnq3KQ):

declare lower;
declare hide_on_intraday;

#IVPercentile
def vol = imp_volatility();
input DisplayIVPercentile = yes;
input DisplayImpVolatility= yes;
input DisplayDaily1StandardDev = yes;
input DisplayWeekly1StandardDev = yes;
input DisplayMonthly1StandardDev = yes;

input TimePeriod = 252;

def data = if !isNaN(vol) then vol else vol[-1];
def hi = highest(data, TimePeriod);
def lo = lowest(data, TimePeriod);
plot Percentile = (data – lo) / (hi – lo) * 100;
def lowend = Percentile < 25;
def highend = Percentile > 50;

#Labels
addlabel(DisplayIVPercentile , concat(“IV Rank: “,aspercent(Percentile /100)), if lowend then color.red else if highend then color.green else color.yellow);

addlabel(DisplayImpVolatility, concat(“ImpVolatility: “,aspercent(vol)), if lowend then color.red else if highend then color.green else color.yellow);

def ImpPts = (vol / Sqrt(252)) * close;
AddLabel(DisplayDaily1StandardDev , Concat(“Daily 1 SD +/- $”, Astext( ImpPts, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.red else if highend then color.green else color.yellow); ;

def ImpPts2 = (vol / Sqrt(52)) * close;
AddLabel(DisplayWeekly1StandardDev, Concat(“Weekly 1 SD +/- $”, Astext( ImpPts2, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.red else if highend then color.green else color.yellow); ;

def ImpPts3 = (vol / Sqrt(12)) * close;
AddLabel(DisplayMonthly1StandardDev, Concat(“Monthly 1 SD +/- $”, Astext( ImpPts3, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.red else if highend then color.green else color.yellow); ;

plot LowVol = 25;
plot HighVol = 50;

LowVol.SetDefaultColor(GetColor(5));

I’d like to use that script to create a scan that identifies those instruments that currently have an IV rank of 50 or higher. I tried to do so, using information I have learned from several of Pete’s videos, but I have not succeeded. I hope to find some help here and, if so, maybe the information would be valuable to others in the community.

Regards,

DCO/hm

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Posted by (Questions: 3, Answers: 3)
Asked on January 12, 2017 9:56 am
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Private answer

Have you viewed our video on this topic?
https://www.hahn-tech.com/thinkorswim-implied-volatility-percentile/

This is one of our premium indicators. Very inexpensive. It includes many more features than the code you posted and we provide a custom scan along with it.

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Posted by (Questions: 37, Answers: 4118)
Answered on January 12, 2017 10:52 am
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Pete, thanks for the reply. Your indicator looks like it will fit the bill very nicely. I am exploring IV rank/percentile as it relates to JFC’s squeeze indicator. (I’d love to have his new squeeze power indicator but the only way I know to get it so far is through a class that would cost me over a grand and I’m not convinced of my own ability to get that much value out of it.) Anyhow, I’ll happily work with your IV percentile indicator in the meantime. Thanks!

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Posted by (Questions: 3, Answers: 3)
Answered on January 13, 2017 6:10 pm
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Thanks for the order David. Its being processed immediately. I’m interested to learn more about this ”Power squeeze”. You have any screenshots?

( at January 13, 2017 7:05 pm)
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