iv percentile

[Tal priel]

Hi,
I want to check a theory and trying to find past reserarch on the subject , maybe somone can refer me to a source...

I want to check stocks that were ranked at their 90+ iv percentile vs their avg stock returns in the 5 ,10 days after they first reach the 90 + level

Thanks,
Tal

 

[MarkBrown]

implied volatility is a flawed calculation. better to use something that actually works like perry kaufman's efficiency ratio or his smoothing constant.