IVPercentile.ThinkScript

# IV Percentile Label for charts

#HINT:use 252 as input length for 1-year or 52-week IV percentile
#HINT:use 189 for 9-month IV percentile
#HINT:use 126 for 6-month IV percentile

declare upper;

input aggregationLength = 252;
#hint aggregationLength: number of bars to use in determining the implied volatility percentile.
input greenCutoff = 55;
#hint greenCutoff: percentile numbers above (inclusive) this number are colored green.
input redCutoff = 45;
#hint redCutoff: percentile numbers below (exclusive) this number are colored red.

rec IVHist = impVolatility();

def countAbove = (fold i = 1 to AggregationLength with ca do ca + 
if IsNaN(getValue(IVHist, i, AggregationLength)) then 0 
else if IsNaN(getValue(IVHist, 0, AggregationLength)) then 0 
else if (getValue(IVHist, i, AggregationLength) > getValue(IVHist, 0, AggregationLength)) then 1 
else 0);

def countBellow = (fold j = 1 to AggregationLength with cd do cd + if IsNaN(getValue(IVHist, j, AggregationLength)) then 0 
else if IsNaN(getValue(IVHist, 0, AggregationLength)) then 0 
else if (getValue(IVHist, j, AggregationLength) < getValue(IVHist, 0, AggregationLength)) then 1 
else 0);

def IVPercentile = Round((countBellow / (countAbove + countBellow)) * 100, 0);

Addlabel(yes, Concat("IV Percentile: ", IVPercentile), if ivPercentile >= greenCutoff then Color.GREEN else if ivPercentile < redCutoff then Color.RED else Color.YELLOW);