Volatility

IV Percentile (IVP)

IV percentile is the share of trading days in the last 52 weeks on which the implied volatility of an underlying was lower than today. A value of 80 means IV was lower on four days out of five.

Calculation and mechanics

For every trading day of the past year, the Implied Volatility at the close is compared with today's value. The number of days with lower IV is divided by the number of all days in the window, with 252 trading days by 252. The result lies between 0 and 100.

Since the IV percentile only counts on how many days IV was below today's value, the exact size of individual extremes does not affect the result. A single day with an IV of 90% counts the same as a day with 31% when today's IV is 30%.

IVP = days with IV < IV today / days in window x 100

Distinction

IV Rank measures the distance of today's IV to the yearly low and high, the percentile the frequency of lower values. After a short volatility spike that pulled the yearly high far up, the rank stays low for months while the percentile reflects the normal state. That is why the two are usually shown side by side.

Both figures compare IV with itself. The IV/HV Ratio compares it with Historical Volatility instead.

Related terms

All terms in the glossary

All market and analytical information is provided for educational and analytical purposes only and does not constitute investment advice or a trading recommendation.