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IV Percentile (IVP) & IV Rank (IVR)

AlgoTest now supports a robust and actionable view of Implied Volatility Percentile (IVP) and Implied Volatility Rank (IVR), designed with precision using constant maturity implied volatility and displayed in a unique cross-sectional quadrant view.

These tools help you better understand what implied volatility (IV) is doing today versus its own historical behavior, not just for a single stock or index, but across multiple symbols simultaneously.

What Are IVP and IVR?​

TermMeaning
IV Percentile (IVP)Where today’s IV stands in the last 1-year range, measured as a percentile.
IV Rank (IVR)Where today’s IV stands compared to the highest and lowest values over the past year.

These metrics are commonly used by option traders to assess whether options are relatively cheap or expensive.

Significance:​

Uses Constant Maturity IV​

Most platforms in India calculate IVP/IVR using the raw IV of front-month options. This leads to distortion because:

  • A 30-day option behaves very differently than a 2-day option.
  • Raw IV comparison across different expiries is apples-to-oranges.

AlgoTest uses 30-day constant maturity IV to normalize this.

This ensures:

  • IV values are consistent across time.
  • IVP and IVR reflect the true change in implied volatility over time.

Provides Cross-Sectional Analysis​

Instead of just showing IVP/IVR stock-by-stock, AlgoTest gives you a Quadrant View where you can:

  • Sort stocks and indices by IVP, IVR, or IV
  • See how multiple names behave together on a single plot
  • Visualize volatility spikes, regime shifts, and quiet periods

This makes it easier to spot patterns, outliers, and opportunities.

Accessing the Feature​

  1. Go to Builder + Simulator → IV Rank & IV Percentile

IVP & IVR

  1. You'll see a table of stocks/indices with:
    • 30-day constant maturity IV
    • IVP and IVR values

IVP & IVR

  1. Click Graphh to open the IVP/IVR scatter plot

IVP & IVR

Understanding the Quadrants​

The quadrant graph plots:

  • X-axis → IV Percentile (IVP)
  • Y-axis → IV Rank (IVR)

This forms 4 distinct zones, each offering a different narrative.

Quadrant 1: High IVP, High IVR​

“Volatility has spiked recently and is near extreme levels.”

  • Both IVP and IVR > 50
  • IV is elevated both in percentile and rank

Implication: Options are expensive. Good opportunity for option sellers—provided risk is managed.

Quadrant 2: Low IVP, Low IVR​

“Volatility is depressed across the board.”

  • Both IVP and IVR close to zero
  • IV is at historic lows

Implication: Consider long option strategies if you expect a move

⚠️ Caution: Low IV ≠ Cheap IV. You should always compare IV with Realized Volatility (RV) to assess edge.

Quadrant 3: High IVP, Low IVR​

“Volatility recently spiked after being low for a long time.”

  • IVP > 50, IVR < 50
  • Suggests a short-term volatility spike, possibly due to news or sudden market action

Use case: Spotting event-driven trades or breakout setups

Quadrant 4: Low IVP, High IVR​

“Sustained elevated volatility regime.”

  • IVP low but IVR high
  • Indicates that IV has been high for an extended period

Interpretation: Stock or index may have entered a new volatility regime

Use case: Detecting macro-level sentiment shifts

Why This View Matters​

Most platforms only show IVP/IVR stock-by-stock and use non-normalized IVs.

AlgoTest:

  • Uses constant maturity 30-day IVs
  • Offers a cross-sectional visual tool
  • Gives actionable context, not just raw stats

This makes it easier to:

  • Spot regime shifts
  • Identify short-term volatility opportunities
  • Avoid false positives from noisy IV readings

Have any question?​