volatility
IV Rank (IVR)
Where is current IV relative to its 52-week range? Tells you if vol is high or low in a simple 0-100% scale.
Formula
IVR = (IV_current - IV_52w_low) / (IV_52w_high - IV_52w_low) × 100
Variables
- IVR
- IV Rank as a percentage (0-100%)
- IV_current
- Current implied volatility
- IV_52w_low
- Lowest IV in the past 52 weeks
- IV_52w_high
- Highest IV in the past 52 weeks
Worked Example
Inputs
- IV_current
- 35%
- IV_52w_low
- 20%
- IV_52w_high
- 60%
Calculation Steps
- 1
IVR = (35 - 20) / (60 - 20) × 100 - 2
IVR = 15 / 40 × 100
Result: IVR = 37.5% — IV is in the lower third of its range
Intuition
IVR > 50% = vol is elevated, favor selling strategies (iron condors, short strangles). IVR < 30% = vol is cheap, favor buying strategies (long straddles, calendars). Most options sellers wait for IVR > 50% before entering trades.