Correlation and relative value · Demo

GLD against SPY: correlation, volatility, and whether there is a trade

Recorded in cvforge on July 30, 2026 by ConvexValue · Published July 31, 2026

Historical correlation and realised volatility for gold against the S&P, then current implied volatility and FMV estimates to test whether the difference is expressible as a position.

Exact prompt

Give me a dashboard that shows the historical price correlation and volatility between GLD and SPY. Then, use options data to identify if there is a tradeable gap moving forward.

Data cadence

Live option snapshots for current implied volatility and FMV estimates, with historical stock prices for the realised and correlation series.

Plan requirements

Runs on the free cvforge app and the free data tier (20 requests/hour). No card needed.

What the agent built

  • Historical price correlation and realised volatility for GLD against SPY.
  • The same pair read through current implied volatility and FMV estimates, so implied sits next to what the two have actually done.
  • A read on whether the difference between them is expressible as a trade.

Fields used

underlying_price, implied_volatility, strike_price, expiration_date, delta, fair_market_value

How to read it

Two steps in one prompt, and the second is the interesting one. Measuring how gold and the S&P have moved together is a statistics exercise; asking whether the option market currently prices that relationship differently is what turns it into a trade idea.

Both halves carry a catch. The correlation depends entirely on the window — a different lookback can reverse it — and a divergence between what two names have done and what their options imply can persist for a long time. Treat the output as somewhere to look rather than a signal, and note that the second step inherits every assumption of the first.

Change it

The prompt is the interface. Ask for a different ticker, a different expiration window, or an extra column in the same sentence style and the agent edits the app in place — you do not start over, and you do not wait for anyone to build it.

Limitations

  • Snapshot data, not a transaction tape: the build reads the chain as it stands, so it cannot attribute a trade to a buyer or a seller.
  • Open interest updates once a day, so an intraday volume/OI comparison is always this session’s volume against yesterday’s open interest.
  • Contract coverage is U.S. listed equities, ETFs and indices. Indices use the I: prefix, for example I:SPX.
  • Current per-contract valuation is Massive fair market value (FMV), a proprietary estimate. cvforge does not provide option bids, asks, midpoint, quote sizes, NBBO or last trades, and FMV is not an executable quote.
  • Correlation is sensitive to the window and the timeframe you pick; a different lookback can reverse the conclusion.
  • Comparing implied against realised volatility compares a forward-looking price to a backward-looking measurement.
  • A gap between two names can persist far longer than a position can wait, so tradeable here means expressible, not profitable.

Related demos

Search focus: gld spy correlation and volatility dashboard. Related: gold versus sp500 relative value options, find a tradeable gap between two tickers. Originally posted on X.