IV Rank (IVR) - Foliograph

Calculation and mechanics

From the history of Implied Volatility, the highest and lowest daily close of the last 52 weeks are determined. The current value is placed linearly between these two points. With a yearly low of 12% and a yearly high of 42%, an IV of 27% gives an IV rank of 50.

The value reacts strongly to single outliers. One day with extremely high IV raises the yearly high and pushes the rank of all following days down until that day drops out of the window.

IVR = (IV today - IV low 52W) / (IV high 52W - IV low 52W) x 100

Distinction

IV Percentile counts on how many days of the past year IV was lower than today. Both figures run from 0 to 100 but answer different questions: the rank measures the distance to the extremes, the percentile the frequency. After a short volatility spike the rank can sit at 30 while the percentile reads 85, if IV was low for most of the year.

The IV/HV Ratio relates IV not to its past but to realised price movement.

In Foliograph

The historical IV data delivered by IBKR can contain single values that deviate markedly from the rest of the series. Such outliers can affect the 52-week high or low and with it the IV rank for a long time. Foliograph therefore checks the IV history for implausible extremes before the calculation and removes detected outliers by fixed rules. The ETF heatmap and the Futures tab use the same cleaning method.

The 52-week high and low are taken from the daily highs and lows of the cleaned IV history, the current value from the last available close. The IV rank in Foliograph can therefore differ from what TWS or other platforms show when they use other data series, windows or calculation methods.

The IVR filter above the table hides ETFs below the chosen threshold. Saved screens remember the chosen thresholds and categories.

More in the guide: ETF screener with options data · Try for free

Related terms

IV Percentile (IVP)
Implied Volatility (IV)
IV/HV Ratio (IV/HV, IV-HV ratio)
Expected Move (EM, one standard deviation move)
Historical Volatility (Realised Volatility, HV)

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.