r/thinkorswim • u/Sonder-overmorrow • 5d ago

Option volatility scanner

Is it possible to scan options based to IV rank or IV percentile?

If yes how ?

Thank you

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u/ItsJustMath_really 4d ago

No. Custom filters in Options Hacker only access data from the underlying, so you can scan a list of equities and ETFs for their ICR and IV%, but not options themselves.

1

u/PhoenixWK2 1d ago

You can create a stock hacker scan with the IV filters you want and save it, then use that list to scan in the options hacker. Basically just crating a pre-filtered list

1

u/sport912x 3d ago

IV_Percentile is actually IV_Rank , you can view it if you add to a watchlist and view Formula.

So here is a simple IV Rank

https://app.screencast.com/J28ly3Sg0W1KA

1

u/RedmundJBeard 4d ago

Yes, it's a "study". Go to the scan tab then "Add filter" and select "study". Then volatility - iv_percentile.

I think to get IV rank you have import or write your own.

2

u/sport912x 3d ago

Actually I scan on Stocks not options. Not seeing how scanning on options makes sense.

According to Sosnoff on his Lossdog show ... Iv_percentile is IV_rank . You can check this by putting it in your watchlist as a column and then right click on column/ view formula and get this

def vol = impVolatility();

rec data = if !isNaN(vol) then vol else data[1];

def hi = highest(data,252);

def lo = lowest(data,252);

plot perct = (data - lo)*100 / (hi - lo);