Thinkorswim Historical Implied Volatility 35

Combining the Historical and Implied Volatility into a Single Study

Thinkorswim Historical Implied Volatility

Free indicator included, linked below. Plot both the Historical and Implied Volatility together in the same subgraph of a stock chart. Clearly see where crossovers occur. Use this free indicator in a custom scan. Step-by-step instructions in the video show how to run three different kinds of scans from this one indicator. One of the three scans can be used as a pre-earnings scan. This can help you locate stocks where implied volatility is spiking ahead of an expected event, such as earnings, pending court settlements, or pending drug trials.

Use the link below to download this free indicator to your computer. For instructions on how to install it, look for the video titled “Thinkorswim Display Name of Saved Chart“. The instructions begin at the 4:28 mark.

Here is a link to download this free indicator:

ImpHistVolatilitySTUDY.ts

Lean More:

Would you like to learn how to master the custom scan tools on Thinkorswim?

Click here: Thinkorswim Scans Beginner to Advanced

Learn how to build custom scans without writing any code: Thinkorswim Condition Wizard

DISCLAIMER: I AM NOT A CERTIFIED FINANCIAL ADVISOR AND NOTHING IN THIS VIDEO OR TEXT IS AN ADVERTISEMENT OR RECOMMENDATION TO BUY OR SELL ANY FINANCIAL INSTRUMENT. NOR IS THIS VIDEO OR TEXT INTENDED TO INSTRUCT YOU ON HOW TO MAKE BUY OR SELL DECISIONS USING ANY OF THESE INDICATORS.

*Thinkorswim is a chart analysis platform offered by TD Ameritrade: www.tdameritrade.com

TD Ameritrade provides financial services including the trading of Stocks, Futures, Options and Forex.

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Watch the video, Thinkorswim Historical Implied Volatility below:

Here is an updated version of the chart study which has already been configured to work as a scan. Seems that there are some additional steps required by the current version of Thinkorswim which were not required at the time this video was published.

# This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
# Author: Pete Hahn (Hahn-Tech, LLC)
# tutorial video: https://www.hahn-tech.com/thinkorswim-historical-implied-volatility/

declare lower;
declare hide_on_intraday;

input length = 20;
input basis = {default Annual, Monthly, Weekly, Daily};
input volatilitySpreadMultiplier = 2.0;

def ap = getAggregationPeriod();

Assert(ap >= AggregationPeriod.MIN, "Study can only be calculated for time-aggregated charts: " + ap);

def barsPerDay = (RegularTradingEnd(getYyyyMmDd()) - RegularTradingStart(getYyyyMmDd())) / ap;
def barsPerYear =
    if ap > AggregationPeriod.WEEK then 12
    else if ap == AggregationPeriod.WEEK then 52
    else if ap >= AggregationPeriod.DAY then 252 * AggregationPeriod.DAY / ap
    else 252 * barsPerDay;

def basisCoeff;
switch (basis) {
    case Annual:
        basisCoeff = 1;
    case Monthly:
        basisCoeff = 12;
    case Weekly:
        basisCoeff = 52;
    case Daily:
        basisCoeff = 252;
}

def clLog = log(close / close[1]);

def wklyPrctMove = round( ( highest(high, 5) - lowest(low, 5) ) / lowest(low,5), 3) * 100;

def mthlyPrctMove = round( ( highest(high, 21) - lowest(low,21) ) / lowest(low,21), 3) * 100;

def impVol = IMP_VOLATILITY();
def hv = stdev(clLog, length) * Sqrt(barsPerYear / basisCoeff * length / (length - 1));

# to use in scan mode, place '#' in front of these two plot statements
def impVolLine = impVol;
def histVolLine = hv ;

def doubleVolSpread = impVol > hv * volatilitySpreadMultiplier;
def signal = doubleVolSpread and highest(doubleVolSpread[1], 10) < 1;
def check = impVol != Double.NEGATIVE_INFINITY;
def check2 = impVol != Double.POSITIVE_INFINITY;

# use ONE of these three plot statements in scan mode. After commenting out
# the two plot statments above, select one of the three below and remove the
# '#' symbol from in front of the plot statment

# use this to find stocks where Implied Vol has reached two times Hist Vol
plot scan = if signal and check and check2 then 1 else Double.NaN;

# use this to find stocks where Implied Vol has crossed above Hist Vol
#plot scan = impVol > hv and impVol[1] < hv[1] and check and check2;

# use this to find stocks where Implied Vol has crossed below Hist Vol
#plot scan = impVol < hv and impVol[1] > hv[1] and check and check2;