One of the key options trading strategies for TastyTrade is utilizing IVR (Implied Votality Rank). You can find so many videos related to IVR discussion at TastyTrade website. If you have Dough.com account (you are not able to register as new user now after they release TastyWorks platform) or already in TastyWorks platform, you will be able to find stocks with IVR indicator at the "Grid" page. I used to rely on stocks listed at Grid page to set my options strategy. However, the number of stocks listed in Grid page is very limited. So I need to find a way to "Scan" IVR for all stocks and ETFs but I am not able to do so from TastyWorks platform.
If you google IVR related keywords, you can find many articles talked about IRV and IV Percentile. In fact, Thinkorswim and TastyTrade are using these two terms differently.
** The Grid page in Dough.com
** Grid page in TastyWorks platform.
If you go to TastyTrade page, the definition of IVR and IVP are as follow:
IV Rank is the description of where the current IV lies in comparison to its yearly high and low IV.IV Rank is the description of where the current IV lies in comparison to its yearly high and low IV.
IV Percentile tells the percentage of days over the past year, that were below the current IV.
Interestingly, I found that IV Percentile in ThinkOrSwin is actually using the same formula as IV Rank defined above.
So go to ThinkorSwim platform, click on "Scan"->"Stock Hacker"->and the very small "Setting icon" at the very right of your page. Then select "Customize".
At the pop up menu, find "IV_Percentile" and click "Add Item(s)".
After "IV_Percentile" moved to the right window, click "OK".
Now you can see that IV Percentile added at the last column. Before we start scanning, we can verify the formula used in the parameter. So right click on "IV Percentile" and you will see a small pull down menu. Select "View Formula...".
As you can see, the formula for IV Percentile in Thinkorswim platform is actually formula for IV Rank stated above. That is great. We can now scan IV Rank using Thinkorswim platform.
Click on "Add study filter", select "Volatility", then "IV_percentile". You can have other filter to speed up the scanning. In this example, I set stock price from USD10 to USD100 with volumn of 2 millions.
I set the IV Rank range from 50% to 100% for the above setup. You can sort the IV Rank by clicking the small arrow before "IV_Percentile".
Now you can compare the IV Percentile from Thinkorswim platform to the IV Rank at Grid page of TastyWorks. They are the same!
So now you are able to scan IVR for all symbols, ETFs etc. Go IVR!