volatility
IV Percentile (IVP)
What percentage of days in the past year had lower IV than today? More robust than IV Rank because it accounts for time spent at each level.
Formula
IVP = (Days with IV < IV_current) / Total Trading Days × 100
Variables
- IVP
- IV Percentile (0-100%)
- IV_current
- Current implied volatility
- Days with IV < current
- Count of trading days where IV was lower
- Total Trading Days
- Usually 252 (one year)
Worked Example
Inputs
- IV_current
- 35%
- Days IV < 35%
- 180 of 252
Calculation Steps
- 1
IVP = 180 / 252 × 100 - 2
IVP = 71.4%
Result: IVP = 71.4% — IV was lower than today 71% of the time
Intuition
IVP is often more useful than IVR. A stock might spike to 80% IV once in a year (making IVR seem low at 40%), but IVP shows that 40% IV is still higher than 90% of observations. Trust IVP for whether vol is truly "high."