Our Indexes

The world's leading
independent volatility indexes.

Five precision-engineered indexes that strip away the distortions of legacy vol measures — giving you a clean, real-time read on what options are actually pricing.

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VolDex®

A better way to measure option volatility

VolDex® focuses on the options that matter most—at-the-money (ATM) options with near-term expirations—giving a cleaner, more accurate view of implied volatility.

By isolating these highly liquid and actively traded contracts, VolDex avoids the distortion caused by less relevant, far out-of-the-money options. The result is a more precise snapshot of market expectations for price movement and investor sentiment—without the noise.

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CallDex®

A clearer signal of bullish sentiment & expected volatility

CallDex® tracks the cost of out-of-the-money call options to gauge market sentiment for the next 30 days. It uses call options that are one standard deviation out-of-the-money to measure what investors are expecting in terms of both volatility and potential price direction.

Higher CallDex values generally suggest traders are anticipating bigger moves or a possible market rally. Lower values indicate a calmer outlook or reduced interest in upside exposure.

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PutDex®

Focused on downside risk pricing

PutDex® delivers a clear, strike-specific measure of implied volatility by concentrating on one key data point: the normalized cost of a 30-day, one standard deviation out-of-the-money (OTM) SPY put option.

This approach isolates the segment of the options market most directly associated with downside protection, removing the noise from less relevant strike prices. The result precisely indicates market sentiment around tail risk, hedging activity, and bearish positioning.

By zeroing in on these put options—widely used by institutional investors to protect against market declines—PutDex offers valuable insight into how much investors are willing to pay to insure against losses over the next month.

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RiskDex®

A Clear Signal of Expected Market Direction

RiskDex® measures investor sentiment by comparing the normalized cost of 30-day, one standard deviation out-of-the-money (OTM) SPY put and call options. This simple ratio reveals whether the market is more focused on downside protection or upside opportunity — offering a direct view of expected equity direction over the next month.

Unlike traditional volatility indexes, which reflect overall price movement, RiskDex highlights directional bias. A rising RiskDex indicates OTM put prices are increasing at a faster rate than OTM call prices and suggests growing concerns about potential declines; a lower reading signals confidence or complacency.

This makes RiskDex a valuable tool for traders and risk managers seeking clarity on where the market thinks it's headed—not just how volatile it might be.

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TailDex®

A smarter signal for downside risk & tail hedging demand

TailDex® measures the price of deep out-of-the-money put options to assess bearish sentiment and demand for tail risk protection over the next 30 days. By focusing on puts that are three standard deviations OTM, it reflects how concerned traders are about a major downside move, often called a 'tail event'.

Higher TailDex values suggest rising demand for crash protection or increased fear of large selloffs. Lower values imply a calmer market tone and less urgency to hedge against tail risk.

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Hit Rate vs. Average Win/Loss

Strategy Backtester · Intermediate

Free to read

Hit Rate vs. Average Win/Loss

Win rate is the most over-weighted number in trading. What matters is expectancy — and a low win rate can have plenty of it.

The expectancy formula

Per-trade expectancy = (hit rate × average win) − (loss rate × average loss). A rule that wins just 40% of the time is profitable if its average winner is twice its average loser. Conversely, an 80% win rate bleeds money if the occasional loss is five times the typical gain.

Why trend rules win small-often-lose-rarely’s opposite

Trend-following rules often post low hit rates with large average wins; mean-reversion rules often post high hit rates with the risk of a rare large loss. Neither is “better” — the backtester lets you see which profile a rule actually has before you trade it.

Sample size matters

Ten trades prove nothing. Treat expectancy from a small trade count as a hint, not a verdict, and prefer rules with enough history to be believable.

Do it live. Test a rule on ETFs with ETF Analytics, on any optionable single stock with ETF + Equity, and export trade-by-trade results as a CSV with Everything! See plans →

Open the Backtester →Explained →How to read this tool →

Educational content from Nations Indexes. Backtests are descriptive of historical data and are not investment advice or a promise of future results.

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