Add Implied Volatility Rank API

[simonsonjack]

Expected Behavior

Implied Volatility Rank is the percentile of the current option's Implied Volatility against the one-year IV minimum and maximum for rolling ATM options.

IVR = 100 * (current IV - 52-week IV low) / (52-week IV High - 52-week IV low)

Essentially, you are taking weighted averages of each OTM contract's implied volatility (symmetrical around the risk-neutral 30-day at-the-money-forward price) of the two options expiration cycles that are closest to the 30-day mark (more than 23 days and less than 37 days to expiration), then interpolating between the two in order to calculate a singular constant-maturity 30-day implied volatility. This calculation is then repeated at a minimum of once per day. Typically, this value will then be compared in a percentile rank calculation to the prior 52-weeks/252 days of values to compute IVR.

Note this process will naturally be reliant on using the relative dispersion of strikes around the ATM (i.e. using a constant OTM moneyness or delta, not a constant strike level) rather than specific contract symbols.

Actual Behavior

Not yet implemented.

Potential Solution

Reproducing the Problem

System Information

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[jaredbroad]

Closing as no demand for now. Can reopen with demand.

[nj20]

As an options trader, implied volatility rank is a must to have since it defines the demand for the option in the market

[kevinostoll-dfg]

As an options trader, implied volatility rank is a must to have since it defines the demand for the option in the market

2nd that request. Could we reopen this?