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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Glossary

Learning Center › Glossary

Volatility Glossary

Plain-language definitions of the volatility, options, and Nations-index terms used across the Learning Center. Each entry links to the lesson or index where the idea is used in context.

At-the-money (ATM)

An option whose strike price equals the current price of the underlying. ATM options have no intrinsic value, so their price is the purest reflection of implied volatility — the anchor for VolDex®. Learn more →

Backwardation

A downward-sloping volatility term structure where near-dated implied volatility sits above far-dated — the market expecting turbulence soon. Often a warning sign. Learn more →

CallDex®

The Nations index measuring the normalized cost of a 1-standard-deviation out-of-the-money call at 30 days — a direct read on demand for upside. Learn more →

Charm

The rate at which an option’s delta changes as time passes (delta decay). Aggregated across dealer books, charm drives predictable hedging flows into expiration.

Contango

A normal, upward-sloping volatility term structure: far-dated implied volatility above near-dated. Reflects a calm market. Learn more →

Dealer gamma

The aggregate gamma position of options dealers. Positive dealer gamma dampens moves; negative dealer gamma amplifies them, and the flip point can mark regime changes.

Delta

How much an option’s price changes for a $1 move in the underlying — a first-order measure of directional exposure.

Gamma

How fast an option’s delta changes as the underlying moves — the curvature of the position, and the engine behind dealer hedging flows.

Implied volatility (IV)

The market’s forward-looking forecast of how much an asset will move, backed out of option prices. Rises when options get expensive; falls when they cheapen. Learn more →

Out-of-the-money (OTM)

An option with no intrinsic value — a call struck above, or a put struck below, the current price. OTM puts and calls carry the skew signal. Learn more →

PutDex®

The Nations index measuring the normalized cost of a 1-standard-deviation out-of-the-money put at 30 days — the price of downside protection. Learn more →

Realized volatility

How much an asset actually moved over a past window — the backward-looking counterpart to implied volatility. Learn more →

RiskDex®

The ratio of PutDex® to CallDex® — put/call skew expressed as one number, and a clean gauge of directional fear versus greed. Learn more →

Risk-neutral density (RND)

The full probability distribution of future prices implied by the options market, recovered from the smile via the Breeden–Litzenberger result.

Skew

The tendency for downside puts to cost more than upside calls in equity indexes, reflecting demand for crash protection. Information, not noise. Learn more →

Standard deviation

A statistical measure of dispersion. Volatility is an annualized standard deviation of returns; a “1-standard-deviation” strike is the reference point the Nations indexes use.

TailDex®

The Nations index measuring the normalized price of a 3-standard-deviation out-of-the-money put — the market’s assessment of crash, or black-swan, risk over the next 30 days. Learn more →

TermDex®

The Nations index that compresses the shape of the VolDex® term structure into a single number — the slope of the curve from near-dated to far-dated implied volatility — read against each asset’s own history rather than a fixed threshold. A gently upward slope (contango) signals calm; a flat or inverted slope warns of near-term stress. Learn more →

Term structure

Implied volatility plotted across expirations — the market’s expected volatility over time. Its shape (contango vs backwardation) is a regime signal. Learn more →

Vanna

How an option’s delta changes as implied volatility moves (or equivalently, how vega changes with price). A key second-order dealer-flow driver.

Variance risk premium (VRP)

The persistent gap between implied and subsequently realized volatility — compensation option sellers earn for bearing risk.

Vega

How much an option’s price changes for a 1-point move in implied volatility — the position’s exposure to volatility itself.

VIX

The best-known volatility index, blending S&P 500 options across strikes and two expirations into one number — useful as a temperature check, but it averages away the specific signal the Nations indexes isolate. Learn more →

VolDex®

The Nations flagship: implied volatility of the at-the-money option at a constant 30-day horizon — the cleanest, most comparable IV read. Learn more →

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