Tuesday, May 19, 2015

thinkscript included: sdi_ivp_alert - implied volatility percentile that is compatible with study alerts.

it was brought to my attention that implied volatility percentile (aka rank) was not an available selection when composing alerts. this is because, as far as tos is concerned, iv percentile is a number that only has relevence as a stat on the trade tab or as a study filter on the scan tab. the fact that people might want to set alerts when iv percentile reaches a level of interest perhaps has eluded them? 

into this void i bring the sdi_ivp_alert study. this chart study merely plots the iv percentile in a fashion that is compatible with alerts. here's how it looks on a chart:
spy with sdi_ivp_alert study
just a simple line plot, no bells and whistles, those you have to add via marketWatch/alerts/study alert:

here's the code: