ThinkScript : IV Correlation, use to identify divergences in implied and realized volatility

Nic_IVCorrelation

#
# https://github.com/NVentimiglia
# Nic_IVCorrelation
# ThinkScript : IV Correlation, use to identify divergences in implied and realized volatility
#

declare lower;

input length = 10;
def ImpVol = IMP_VOLATILITY();
plot Correlation = correlation(close, ImpVol, length);

Correlation.DefineColor("Positive", Color.DOWNTICK);
Correlation.DefineColor("Negative", Color.UPTICK);
Correlation.AssignValueColor(if Correlation >= 0 then Correlation.Color("Positive") else Correlation.Color("Negative"));
Correlation.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);