IV Crush Signal Dashboard

Description

IV Crush Detection

Identifies sharp Implied Volatility (IV) drops post-events (e.g., earnings, option expiries) for NIFTY, BANKNIFTY, and SENSEX, using metrics like IV drop, option price drop, vega, theta, volume spikes, and open interest (OI) changes.

India-Specific Optimization: Supports Indian market conventions with accurate weekly (Thursdays for NIFTY/BANKNIFTY, Tuesdays for SENSEX) and monthly expiry detection, plus IST (UTC+5:30) timezone handling for precise signal timing.

Confidence Score: Calculates a weighted score (0–100) based on IV drop, option price drop, price movement, volume spikes, OI drop, vega, theta, and expiry timing, categorizing signals as IV Crush (≥70), Setup (40–69), or Neutral (<40).

Customizable Dashboard: Displays key metrics (asset, timeframe, signal type, confidence, trend bias, IV drop, option price drop, vega, theta, volume spike, OI drop) with user-toggled columns and compact mode for streamlined viewing.

Trend Bias Analysis: Determines market direction (Bullish, Bearish, Sideways) using EMA, RSI, MACD, ADX, and option price trends to align trades with market context.

Visual Signals: Plots red triangle-up for IV Crush and yellow triangle-down for Setup signals on the chart for quick identification.

Alert Integration: Configurable alerts for IV Crush and Setup signals, including ticker, input price, and confidence score, for real-time trading notifications.

Flexible Inputs: Customizable parameters like strike price (ATM or user-defined), lookback period, risk-free rate, dividend yield, expiry hour, IV mode (Call/Put), and thresholds for IV drop, option price drop, vega, theta, price move, volume spike, and OI drop.

Open Interest Analysis: Detects significant OI drops using real or simulated data, enhancing IV Crush signal reliability.

Signal Tracking: Counts IV Crush and Setup signals for historical context, aiding traders in assessing signal frequency and reliability.