OPEN-SOURCE SCRIPT
Implied Correlation Divergence Oscillator
Updated
Implied Correlation Divergence Oscillator (ICDO)
ICDO uses an SMA calculation as a low-pass filter to determine divergences from trend. This can be useful for multiple strategies, including detecting overbought or oversold trends, and finding dispersion opportunities, including zero delta straddle plays using options for indices and single assets within the S&P 500 Index.
The aim of the oscillator is to provide a unique perspective on the existing signals provided by the CBOE (Chicago Board Options Exchange)
First choose from a variety of Implied Correlation symbols including: COR1M, COR3M, COR6M, COR9M, COR1Y, COR10D, COR30D, COR70D, COR90D
Then once an IC signal is chosen, configure the moving average (MA) as a customized low-pass filter that will determine the sensitivity of the divergence signal.
The resulting signal is an oscillator around the zero bound, which is color coded for bullish (green), or (bearish) signals.
ICDO uses an SMA calculation as a low-pass filter to determine divergences from trend. This can be useful for multiple strategies, including detecting overbought or oversold trends, and finding dispersion opportunities, including zero delta straddle plays using options for indices and single assets within the S&P 500 Index.
The aim of the oscillator is to provide a unique perspective on the existing signals provided by the CBOE (Chicago Board Options Exchange)
First choose from a variety of Implied Correlation symbols including: COR1M, COR3M, COR6M, COR9M, COR1Y, COR10D, COR30D, COR70D, COR90D
Then once an IC signal is chosen, configure the moving average (MA) as a customized low-pass filter that will determine the sensitivity of the divergence signal.
The resulting signal is an oscillator around the zero bound, which is color coded for bullish (green), or (bearish) signals.
Release Notes
Change the default time frame for the indicator to dailyChange the default SMA length to 24. This is something I'm tuning for better alignment with reversals in the 2022 timeframe
Change default style to area bar which better represents the changes in the signal
Release Notes
Make the default style plot.style_columnsCode cleanup
Release Notes
Add plot for the SMA signalOpen-source script
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