A background diagnostic that tracks whether the S&P 500's index-vs-constituent behavior looks like normal
dispersion (index members moving somewhat independently) or a crowded, correlation-driven market (constituents
moving together, dispersion trades under pressure). It's a read on market structure, not a trade signal by
itself.
New feature. Treat the readings as directional guidance — see
Limitations.
Free Trial, Premium, and WhiteLabel editions only (or Developer mode) — once the Free Trial
period ends, Freeware and Regular users lose access. See the
Licensing & Editions guide.
On the main toolbar, click the Data Chart button's dropdown arrow, then
Dispersion / Correlation Regime.
No OA window needs to be open — this runs independently at the SOAP2 main-window level.
If the item is greyed out, hover it — the tooltip explains why (see
Availability).
The method
SOAP2 tracks five daily series: SPX (cap-weighted index), SPW (equal-weight
index), DSPX (Cboe's S&P 500 Dispersion Index), COR1M (Cboe's 1-month
implied correlation index), and VVIX (vol-of-vol). From these it derives:
Synthetic VIXEQ — sqrt(DSPX² + VIX²), an estimate of average
constituent-level implied vol reconstructed without a direct feed.
SPW/SPX relative return & rolling beta (20-day) — is equal-weight outperforming or
lagging cap-weighted, and how tightly is SPW tracking SPX day to day.
Percentile ranks of DSPX and COR1M against their own recent history — where today's level
sits relative to the recent range, not the absolute number.
The regime label is a simple 2x2 read on those two percentiles: is correlation high or low, and is dispersion
high or low, relative to their own recent history.
Reading the dashboard
Regime (top-left, bold) — Low Corr/High Disp (benign), High Corr/Low Disp (unwind risk), or
Mixed. See Interpretation guide.
COR1M pct / DSPX pct — today's percentile rank for each, against its own trailing
history.
20d SPW-SPX rel. return / Beta — the rolling relative-performance and beta figures.
Reversal flag (red text, only shown when triggered) — correlation (COR1M) is rising fast
while dispersion (DSPX) is falling over the same short window. This is the "unwind starting" signature: a
crowded dispersion trade beginning to snap back toward correlation.
Chart — DSPX (green) and synthetic VIXEQ (grey) on the left axis, COR1M (blue) on the right
axis, over time.
Refresh — re-runs the historical pull (see First-time use)
and recomputes everything from the latest data.
Interpretation guide
Regime
Reads as
What it suggests
Low Corr / High Disp
Benign
Constituents moving relatively independently — normal dispersion conditions, no obvious crowding stress.
High Corr / Low Disp
Unwind risk
Constituents moving together, dispersion compressed — the environment where a crowded dispersion-trade unwind tends to originate.
Mixed
No clean read
Neither percentile is decisively high or low right now.
The Reversal flag is the earlier-warning piece: a fast correlation-up / dispersion-down move can
show up before the regime label itself has fully flipped to High Corr/Low Disp, since the label is a level read
and the flag is a rate-of-change read.
First-time use
The first time you open the dashboard (or whenever there's less than 10 days of history), it automatically pulls
about a year of daily bars for all five tracked series — five quick requests, typically done in seconds. A status
message tracks progress; the chart populates once it finishes. A background recorder also keeps the file current
day-to-day afterward, so subsequent opens are instant.
Availability
Requires an active IB connection to run the historical pull — the status line and message log say so
explicitly if you're not connected.
Requires market data entitlement for DSPX, COR1M, SPW, and VVIX (all Cboe-listed indices) in your IB
account.
Limitations
This is a new feature — treat the regime read as directional guidance, not a precise signal. It is
explicitly a diagnostic, not a standalone trading signal.
DSPX/COR1M are relatively young indices — there isn't decades of history to calibrate "normal" percentile
ranges against, so early readings should be treated cautiously until more history accumulates.
Implied correlation/dispersion reflect option positioning, not fundamentals — this tool tells you about
crowding/fragility in the options market, not whether the underlying earnings/macro story is actually good or
bad.
