Analysis Techniques & Strategies
Name | Expression | Default | Description |
VoltyStdDevLength | Numeric | 30 | Number of bars to use when calculating the standard deviation (annualized) value. |
MALength | Numeric | 20 | Number of bars to use when calculating the moving average of the IV/VSD ratio. |
PctAboveOrBelowMA | Numeric | 25 | Percentage amount above or below the moving average of the IV/VSD ratio that is considered "extreme", causing a bar to be painted. Enter percentages as whole numbers, not as fractions. For example, for 50% enter 50, not 0.50. } |
PaintHiExtremes | True/False | True | Set to true to paint a bar when IV/VSD is at or above the PctAboveOrBelow MA target. Set to false to not paint the bar for this condition. |
HiColor | Numeric | Red | Sets the bar paint color for high extremes. |
PaintLowExtremes | True/False | True | Set to true to paint a bar when IV/VSD is at or below the PctAboveOrBelow MA target. Set to false to not paint the bar for this condition. |
LoColor | Numeric | Yellow | Sets the bar paint color for low extremes. |
IV/VSD Extreme is an options-related indicator that paints a bar if the ratio of options implied volatility (IV) to N-bar annualized standard deviation (VSD) is a user-specified percentage above or below its moving average.
The percentage amount above or below the moving average is a percentage of the moving average value. Thus, for example, when input pctAboveOrBelowMA is set to 30 bars will be painted when IV/VSD is greater than or equal to 30% above (1.3 times), or less than or equal to 30% below (0.7 times) the average IV/VSD value.
Number | Name | Default Color | Description |
Plot1 | IV/VSD Extr | Red | Paints each bar where the high or low values are reached. |