IV Rank (tasty-style) — VIXFix / HV Proxy

IV Rank (tasty-style) — VIXFix / HV Proxy
Overview

This indicator replicates tastytrade’s IV Rank calculation—but built entirely inside TradingView.
Because TradingView does not expose live option-chain implied volatility, the script lets you choose between two widely used price-based IV proxies:

VIXFix (Williams VIX Fix): a fast-reacting volatility estimate derived from price extremes.

HV(30): 30-day annualized historical volatility of daily log returns.

The goal is to approximate the “rich vs. cheap” option volatility environment that traders use to decide whether to sell or buy premium.

Formula

IV Rank answers the question: Where is current implied volatility relative to its own 1-year range?

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100
IVR=
IV
1yHigh
​

−IV
1yLow
​

IV
current
​

−IV
1yLow
​

​

×100

IVcurrent: Current value of the chosen IV proxy.

IV1yHigh/Low: Highest and lowest proxy values over the user-defined lookback (default 252 trading days ≈ 1 year).

IVR = 0 → Current IV equals its 1-year low

IVR = 100 → Current IV equals its 1-year high

IVR ≈ 50 → Current IV sits mid-range

How to Use

High IV Rank (≥50–60%)
Options are relatively expensive → short-premium strategies (credit spreads, iron condors, straddles) may be more attractive.

Low IV Rank (≤20%)
Options are relatively cheap → long-premium strategies (debit spreads, calendars, diagonals) may offer better risk/reward.

Combine with your own analysis, liquidity checks, and risk management.

Inputs & Customization

IV Source: Choose “VIXFix” or “HV(30)” as the volatility proxy.

IVR Lookback: Rolling window for 1-year high/low (default 252 trading days).

VIXFix Parameters: Length and stdev multiplier to fine-tune sensitivity.

Info Label: Optional on-chart label displays current IV proxy, 1-year high/low, and IV Rank.

Alerts: Optional alerts when IVR crosses 50, falls below 20, or rises above 80.

Notes & Limitations

This indicator does not pull real option-chain IV.
It provides a close structural analogue to tastytrade’s IV Rank using price-derived proxies for markets where options data is not directly available.

For live option IV, use broker platforms or third-party data feeds alongside this script.

Tags: IV Rank, Implied Volatility, Tastytrade, VIXFix, Historical Volatility, Options, Premium Selling, Debit Spreads, Market Volatility