IV Rank

i didn't resolved the IV Rank yet.
i will check this issue once i buy the data.
i didn't want to waist time on things that i might get with the data,
maybe i will put B&S calculations or not, it depends if the data i will buy will be sufficient for me or not.

so i decided to leave it a side right now,
continue with my code of the various strategies inside the database.
and now i got to a point that i want to compare my results with other tests that TT made (so i will know if i have bugs or not), and as you know from the other post in the forum, i got non equal results which i wanted to understand why i got them.

iVolatility explain how they calculate their IV here -
http://www.ivolatility.com/faq.j

Shay
 
If my understanding is correct, research on IV ranking, defined by the ratio of Historical-V and Current-IV, was done by Caplan for too many years, published in his Volatility Secret book, and has been used by OptionVue for long time.
 
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Shay said:
Hi,

i am doing back tests,
and i want to calculate the IV-Rank (the percentile) myself
the problem is that i don't know how to do that.

i know the formula (taking the highest and lowest and put it in the forumla)
but highest and lowest of what ??

should i take the IV of the underline
or
should i take the IV of a specific strike with a specific duration until expiration.

if i should take the underline, than i understand what to do,
but i think i should take the IV of the option, but then -
i can't compare option which is ATM with 10 points OTM and with 30 points OTM because of the smile skew
and i can't compare options which is 35 days to expiration with 7 days to expiration

so which highest and lowest i should take ?

if i only take IV of the same time period
and i only take options with the same distance from ATM,
i will get only 12 values, and it's not enough to calculate the IVR

should i normalize all the parameters (the time and the strike) ???

could you please help me understand how to calculate the IVR.

Thanks,
Shay
More...
SHay,

Look at ivolatility.com... they might have IV ranks for each stocks...
 
optioncoach said:
SHay,

Look at ivolatility.com... they might have IV ranks for each stocks...
More...
yes, i will look at once i buy the data,
this is the reason i put it on the side right now, continuing with other stuff, and i will be back to it when i buy the data and i will see what they are offering

Shay
 
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