Implied Volatility w/ IV Rank - thinkScript Chart Study

# IV_with_ivRank - IMPLIED VOLATILITY WITH IV RANK - Plots IV over the chart period with IV rank at right
#
# This combined study shows implied volatility graphically over time, as
# well as the current IV rank (a.k.a IV percentile) at the right of the
# chart. In addition, the chart and its labels are color-coded to hint at
# the IV rank, where lower values appear red and higher values are green,
# suggesting greater premium available to be sold at a higher IV rank.
#
# For a simpler study which only places an IV Rank label on the primary
# chart, see my other thinkScript: http://pastebin.com/jRDkHvXE
#
# By: Chris Baker <ChrisBaker97@gmail.com> @ChrisBaker97
# Latest version maintained at: http://pastebin.com/0Vumd8Gt
# More thinkScripts at: http://pastebin.com/u/ChrisBaker97
#
# Credit goes to Allen Everhart (http://www.smalldoginvestor.com) for the
# original idea and implementation of IV percentile as a chart label.
#
# Portions of this code are derived from the IV_percentile Scan tab
# thinkScript included with the thinkorswim platform by TD Ameritrade.
#
# This thinkScript is designed for use in the Charts tab.
#
# This work is licensed under the Creative Commons Attribution-ShareAlike
# 3.0 Unported License. To view a copy of this license, visit:
# http://creativecommons.org/licenses/by-sa/3.0/deed.en_US
#
# I created this study to provide more context around the current IV rank
# numerical value. While useful, the IV rank simply shows the percentile
# level of implied volatility over the aggregation period, and this can
# be skewed by outliers — high or low IV for a brief period of time. This
# visual depiction shows IV cycles over time, and allows one to get a
# better feel for how the current IV level compares to historical trends.
#
# The user input brightness can range from 0 to 100 and controls the
# intensity of the plot's red-green color scheme. A lower brightness will
# show up better on a light background, and vice versa.

input brightness = 80 ;                 # overall brightness of IV display

declare lower ;
declare hide_on_intraday ;

def ivClean = if isNaN(impVolatility()) # if IV data doesn't exist for a particular period...
    then ivClean[1]                     # ...set it to the previous value so it won't taint the hi/low
    else impVolatility() * 100 ;

def ivHi = HighestAll(ivClean) ;        # highest IV over range
def ivLo =  LowestAll(ivClean) ;        # lowest IV over range

def ivRange = ivHi - ivLo ;             # IV range from low to high

def ivRank = Round( 100 * (ivClean - ivLo) / ivRange, 1) ;  # IV rank

# Define a color level from 0 to 255 based on current IV%
def level = ivRank * 2.55;

# Check bounds and convert brightness input to an intensity factor between 0.2 and 1.0
def intensity = if      brightness <   0 then 0.2
                else if brightness > 100 then 1.0
                else                          0.2 + (brightness * 0.008) ;

# Calculate red and green color levels (modified by intensity) for the color function
def rLvl = intensity * (255 - level) ;
def gLvl = intensity * (level) ;

# Plot raw implied volatility, colored according to IV Rank at each point.
plot iv = if isNaN(impVolatility())     # check to make sure we're not out of data ...
    then double.NaN                     # ... and if we are, plot nothing ...
    else Round( ivClean, 1) ;           # ... else plot the raw IV
iv.AssignValueColor(CreateColor(rLvl, gLvl, 0)) ; # color according to IV Rank
iv.SetLineWeight(2) ;

# Plot high and low raw IV bubbles.
AddChartBubble(ivClean == ivHi and ! isNaN(impVolatility()),
    ivHi,"IV Hi: " + round(ivHi,1) + "%",Color.LIGHT_GRAY,up = yes) ;
AddChartBubble(ivClean == ivLo and ! isNaN(impVolatility()),
    ivLo,"IV Lo: " + round(ivLo,1) + "%",Color.LIGHT_GRAY,up = no) ;

# If the chart is set to extend to the right, we need to count how many bars
# there are before we run out of data, in order to properly position the
# IV Rank bubble horizontally.
def maxBars = HighestAll(if isNan(imp_volatility()) then 0 else BarNumber());

# Plot a bubble at the last data point, showing the present IV Rank.
AddChartBubble(BarNumber() == maxBars,iv,"IV Rank: " + Round(ivRank,1) + "%",iv.TakeValueColor(),up = yes) ;