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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Expiration, exercise, and assignment

Learning CenterOptions Foundations › Expiration, exercise, and assignment

Expiration, exercise, and assignment

BeginnerFree6 min read

Options don’t last forever — and what happens at the end trips up more new traders than any other topic. Three terms carry the whole story: expiration, exercise, and assignment.

Expiration

Expiration is the last day the option exists. After it, the contract is gone. Most U.S. equity options are American-style, meaning they can be exercised any time up to expiration; index options are often European-style, exercisable only at expiration. At expiration, an option is worth exactly its intrinsic value — all extrinsic value has decayed to zero.

Exercise and assignment

Exercise is the owner invoking their right — a call owner buys the shares at the strike; a put owner sells them at the strike. Assignment is the flip side: when an owner exercises, a seller of the same option is chosen (assigned) to fulfill the obligation. If you are short a call and it’s assigned, you must deliver 100 shares at the strike; short a put and assigned, you must buy 100 shares at the strike.

In practice, most in-the-money options are exercised automatically at expiration by the clearinghouse if they are in-the-money, even by just one penny. This is intended to protect owners of options who might miss or forget about expiration. However, it’s an option and an option owner can choose not to exercise an option that is in-the-money by “abandoning” it. They just need to notify their broker. While this is very rare, some sophisticated traders will abandon options that are barely in-the-money at the 3:00 p.m. CT close if the underlying moves enough between 3:00 p.m. CT and the actual end of trading 15 minutes later.

Assignment in action

You sold a $100 put for $2 and the stock closes at $96 on expiration. The put is $4 in-the-money, so it’s exercised against you: you are assigned and must buy 100 shares at $100 ($10,000), now worth $9,600. Your net cost basis is $98 (the $100 strike minus the $2 premium you kept) — a loss of $200 on paper, and you now own the stock.

Two risks new sellers miss

Early assignment. Because American options can be exercised any time, a short ITM option can be assigned before expiration — most commonly a short call just before a stock’s ex-dividend date, when the dividend makes early exercise worthwhile for the owner. Pin risk. If the stock closes almost exactly at your strike, you may not know whether you’ll be assigned, leaving an uncertain position over the weekend.

Common pitfalls

Letting an ITM option auto-exercise by accident. A long ITM call you can’t afford to exercise, or forgot about, can land you a large unwanted stock position. Close or manage before expiration.

Selling calls through a dividend without expecting early assignment. Short ITM calls are frequently assigned the day before ex-dividend.

What to do with this

Know your expiration dates, know whether you’re American or European style, and never carry a short ITM option into expiration — or through a dividend — without a plan for assignment. With the full life cycle in hand, the last foundation is a picture that ties it all together: the payoff diagram.

Next lesson · continue the courseHow to read a payoff diagram →

Keep going

Assignment and exercise mechanics get their own deep-dive in the Execution & Risk track.

Exercise & assignment, in depth →