Implied Volatility Percentile (IV Percentile, HVP) [Improved]

2019년 3월 31일

Indicator showing the Implied Volatility (IV) Percentile for any coin/security.

Areas of low volatility are clearly highlighted. As volatility increases, the IV line moves upwards and the script indicates if the move is Bullish or Bearish.

This script has been designed to be:

• Simple - it removes noise and provides a clear visualization of volatility at a glance
  
• Smart - you can define the 'low volatility' threshold and the time period to measure so it can adapt to highly volatile assets in all timeframes
  
• Useful - increased volatility tells us nothing about direction. This script also provides a visual signal indicating if increased volatility corresponds with a bullish or bearish move
  

How it works:

The script compares the current volatility to the volatility of the last 365 periods. The IV is range-bound between 0% and 100% and so provides a clear view of current volatility relative to previous volatility.

Volatility is typically mean-reverting so the longer a period of low volatility, the more likely it is that an increase is upcoming. This knowledge can be used to place trades in advance of big moves.


Examples of how it can assist your trading:

Using the indicator before Bitcoin's 50% drop in November 2018:



Using the indicator before Cardano's (ADA) 60% rise in early 2019: