01
Why a rank at all
An implied volatility of 14 means different things in different markets and different years. Rank and percentile answer a simpler question: is volatility high or low compared with this market's own recent past?
02
The two measures
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IV rank = (current IV - 1-year low) / (1-year high - 1-year low) x 100.
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IV percentile = the share of days in the past year on which IV was below today's level.
Example: current IV 14, one-year low 10, one-year high 20. IV rank = (14 - 10) / (20 - 10) = 40.
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Why they can disagree
Rank depends only on the extreme high and low, so one spike can pull the rank down for months even though IV is above where it usually trades. Percentile counts days, so it is less sensitive to a single outlier. When the two differ a lot, the one-year range is probably dominated by an outlier.
04
India VIX and ATM implied volatility
India VIX is NSE's volatility index, calculated from NIFTY option prices and reflecting expected annualised volatility over about 30 days. You can rank India VIX itself or the at-the-money implied volatility of a chosen expiry; they are related but not identical, so state which one a rank refers to.
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Limits
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A high rank says volatility is expensive relative to its history, not that it must fall.
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One year may not include a full range of conditions.
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Rank says nothing about direction.
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In the Arkenwell terminal
The terminal has an IVR command that ranks implied volatility against a year of daily history, and the volatility workspace shows India VIX, the smile and term structure for context.
07
Frequently asked questions
What is IV rank?
IV rank shows where current implied volatility sits between its one-year low and high, from 0 to 100.
What is the difference between IV rank and IV percentile?
Rank uses only the range's extremes; percentile uses the share of days IV was lower. Percentile is less affected by one-off spikes.
Is high IV rank a signal to sell options?
It only says options are expensive versus their own history. Whether that matters depends on the strategy and the risk taken, and this is analysis, not advice.
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