i didn't resolved the IV Rank yet. i will check this issue once i buy the data. i didn't want to waist time on things that i might get with the data, maybe i will put B&S calculations or not, it depends if the data i will buy will be sufficient for me or not. so i decided to leave it a side right now, continue with my code of the various strategies inside the database. and now i got to a point that i want to compare my results with other tests that TT made (so i will know if i have bugs or not), and as you know from the other post in the forum, i got non equal results which i wanted to understand why i got them. iVolatility explain how they calculate their IV here - http://www.ivolatility.com/faq.j Shay
If my understanding is correct, research on IV ranking, defined by the ratio of Historical-V and Current-IV, was done by Caplan for too many years, published in his Volatility Secret book, and has been used by OptionVue for long time.
yes, i will look at once i buy the data, this is the reason i put it on the side right now, continuing with other stuff, and i will be back to it when i buy the data and i will see what they are offering Shay