I am currently computing the option implied volatility by averaging the IV of the 2 closest ATM call and put options (of let's say SPY). From that I compute the 365 day running IV rank: (currentIV - minIV) / (maxIV - minIV) * 100%.
This gives me a full year algorithm warm up period on minute data.
Since I guess creating an Alphi with 1 year warmup period is not done:
Is there a way to compute IV using History data?