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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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When Vol Pierced the Cone — March 2020

Case Study · Vol Pierces the Cone

Free to read

When Vol Pierced the Cone — March 2020

The COVID crash is the textbook case of a CHEAP reading at the bottom of the cone turning into realized vol that blew straight through the top.

Tier: ETF + EquitiesEvent: Feb–Mar 2020Underlying: SPYReading time: 5 min

A volatility cone is a picture of mean reversion, and March 2020 is the most violent demonstration of it on record. The setup was a long, quiet market; the reading was vol sitting near the floor of its cone; the resolution was realized volatility exploding past its own historical maximum.

The setup

Through late 2019 and into February 2020, the S&P 500 ground higher in unusual calm. Realized vol was low — short-horizon readings near the bottom quartile of the cone — and implied vol followed it down. On the cone, the VolDex® dot was sitting at or below the 25th percentile: options looked CHEAP. After months of that, selling vol had been the winning trade often enough that the floor felt like a resting place rather than a warning.

Jan – mid-Feb 2020

Quiet melt-up. Realized vol near the cone floor; VolDex® implied below the 25th — protection is cheap and nobody wants it.

Wed, Feb 19, 2020

Market tops. The cheapest insurance in years is on offer right as the regime is about to flip.

Mon, Mar 9 → Wed, Mar 18

Fastest 30% drawdown on record; four market-wide circuit breakers. Short-horizon realized vol explodes above the top of the cone — multiples of its own median.

Mon, Mar 23

Closing low, −34% from the peak. The 7-day realized reading is off the historical chart; the long horizons begin to drag up behind it.

CHEAP at the floor → realized through the roof annualized vol 7d30d90d252d Feb: VolDex® CHEAP (below 25th) Mar: realized pierces the top

Illustrative. In February the implied dot sat at the cone floor (CHEAP). Within weeks the realized path tore up through the 75th, the maximum, and beyond — the cone "broke." Schematic, not a price chart.

What the cone flagged

The cone didn't predict the pandemic. What it flagged was asymmetry: with vol pinned to the floor, the distance up to the median — let alone the maximum — was enormous, and the distance down was nearly zero. A CHEAP tag after a long calm is precisely the configuration where owning vol costs little and the payoff, if the regime turns, is the entire height of the cone. That is the trade the chart pointed to, before any headline.

The lesson

CHEAP at the floor is not "vol will stay calm." It's "insurance is on sale and the only way out of the floor is up." The cone makes the asymmetry impossible to miss.

Do it live

This case study is free. To replay a cone across the crash you need the realized-vol history — single names via ETF + Equities, full export via Everything.

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Educational content from Nations Indexes. Event facts (the Feb 19 top, the −34% drawdown, the circuit breakers) are historical and verifiable. The figure is an illustrative recreation, not a price chart, and nothing here is investment advice.

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