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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Exercise and assignment, in depth

Learning CenterExecution & Risk › Exercise & assignment

Exercise and assignment, in depth

IntermediateFree7 min read

Knowing the strategies is one thing; running them is another. The Execution & Risk track covers the mechanics that turn a good idea into a well-managed trade. It starts where every short-option position eventually points: exercise and assignment.

The two sides of the same event

Exercise is the right-holder acting on their option: a call owner buys the stock at the strike, a put owner sells it at the strike. Assignment is the obligation-holder being called to fulfill it. When a long option is exercised, the clearinghouse (the OCC) randomly assigns a short holder of that exact option to deliver. If you are short, assignment is not something you choose — it happens to you.

Automatic exercise at expiration

At expiration, the OCC automatically exercises any option that finishes $0.01 or more in-the-money — “exercise by exception.” You do not have to submit instructions; an in-the-money long is exercised and an in-the-money short is assigned by default. This is why you should never assume an ITM option will “just expire.” It won’t — it will turn into stock.

A short put at expiration

You sold a $50 put for $1.50. At expiration the stock closes at $48. The put is $2 in-the-money, so it is automatically exercised against you: you buy 100 shares at $50 ($5,000). Your effective cost is $48.50 (strike minus the premium kept). If you didn’t have $5,000 in the account, you now have a margin call on a position you may not have planned for. Knowing assignment was coming — the option was ITM going into the close — is what separates a managed outcome from a surprise.

Early assignment: the American-style risk

Most U.S. equity options are American-style and can be exercised any day, so a short in-the-money option can be assigned early. The two situations to watch: a short call before an ex-dividend date (the owner exercises to capture the dividend, most likely when the call has little time value left) and a deep in-the-money short put when it is nearly all intrinsic value. Early assignment is rarely catastrophic, but it can leave you holding stock — and short the cash or margin — unexpectedly.

What assignment leaves you holding

You are… If assigned, you… Result
Short a call Deliver 100 shares at the strike Short stock (or shares sold from your holding)
Short a put Buy 100 shares at the strike Long 100 shares

Common pitfalls

Letting a long ITM option auto-exercise when you can’t afford the stock. If you don’t want the shares, close the option before expiration rather than letting it convert.

Carrying a short ITM call through ex-dividend. Expect early assignment and plan for it — or close/roll the call beforehand.

What to do with this

For every short option, know its moneyness heading into expiration and any dividend dates in between. If it’s in-the-money and you don’t want the resulting stock position, act before the close. The tool for acting — without simply closing — is rolling, the next lesson.

Once you can handle assignment, the next skill is rolling — moving a position in time or price before it gets there.

Next lesson · continue the courseOn to rolling a position →