OPEN-SOURCE SCRIPT
Updated IV History from Realized Volatility
# Realized Volatility History - Quick Start Guide
## What This Does
Displays historical realized volatility (RV) calculated directly from price movements. Compare it against your current implied volatility to identify options trading opportunities and gauge whether premium is expensive or cheap.
## How to Use
1. **Get Current IV**: Check your broker's options chain and find the ATM (at-the-money) implied volatility for your ticker
2. **Input the Value**: Open indicator settings and enter the current IV (e.g., `0.15` for 15%) - this creates a reference line
3. **Read the Chart**:
- **Purple line** = Historical realized volatility from actual price movements
- **Red dashed line** = Your current ATM IV (reference)
- **Orange line** = 30-day moving average (optional)
4. **Interpret the Data**:
- **RV below IV** → Options premium is relatively expensive (consider selling premium)
- **RV above IV** → Options premium is relatively cheap (consider buying options)
- **IV Rank > 70%** → High volatility environment
- **IV Rank < 30%** → Low volatility environment
## Settings You Can Adjust
- **Current ATM IV**: Reference line for comparison (update periodically)
- **RV Rolling Window**: Calculation window for realized volatility (default: 10 days)
- **Lookback Period**: Period for IV rank calculation (default: 60 days)
- **Show 30-Day Average**: Toggle moving average line
## Limitations
This indicator requires manual IV updates since TradingView doesn't have direct access to options data. You'll need to check your broker periodically and update the input for accuracy.
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*Method: Calculates annualized realized volatility using rolling standard deviation of log returns, providing a comparison baseline for evaluating implied volatility levels.*
## What This Does
Displays historical realized volatility (RV) calculated directly from price movements. Compare it against your current implied volatility to identify options trading opportunities and gauge whether premium is expensive or cheap.
## How to Use
1. **Get Current IV**: Check your broker's options chain and find the ATM (at-the-money) implied volatility for your ticker
2. **Input the Value**: Open indicator settings and enter the current IV (e.g., `0.15` for 15%) - this creates a reference line
3. **Read the Chart**:
- **Purple line** = Historical realized volatility from actual price movements
- **Red dashed line** = Your current ATM IV (reference)
- **Orange line** = 30-day moving average (optional)
4. **Interpret the Data**:
- **RV below IV** → Options premium is relatively expensive (consider selling premium)
- **RV above IV** → Options premium is relatively cheap (consider buying options)
- **IV Rank > 70%** → High volatility environment
- **IV Rank < 30%** → Low volatility environment
## Settings You Can Adjust
- **Current ATM IV**: Reference line for comparison (update periodically)
- **RV Rolling Window**: Calculation window for realized volatility (default: 10 days)
- **Lookback Period**: Period for IV rank calculation (default: 60 days)
- **Show 30-Day Average**: Toggle moving average line
## Limitations
This indicator requires manual IV updates since TradingView doesn't have direct access to options data. You'll need to check your broker periodically and update the input for accuracy.
---
*Method: Calculates annualized realized volatility using rolling standard deviation of log returns, providing a comparison baseline for evaluating implied volatility levels.*
Release Notes
ver 1.1Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.