Using the Tools
The Nations indexes tell you what the options market is pricing. The tools tell you what to do about it — they take the same raw options data and turn it into the specific views a trader needs: the shape of the curve, the shape of the distribution, where dealers are forced to hedge, how much of today’s volatility is really about an event, and whether a given name is rich or cheap versus its own history.
This page explains what each tool family actually measures and the question it answers, so the concepts are yours whether or not you ever open the live tool. Each family below is evergreen options theory first; the live, always-updating version is what a subscription adds.
The tool families
Term structure & TermDex®
Question: does the market expect turbulence sooner or later?
Implied volatility exists at every expiration, and stringing those points together gives the term structure. A normal upward slope (contango) is calm; an inverted slope — near-dated volatility above far-dated — warns that stress is expected soon. TermDex® compresses that slope into one number so you can track the regime as a moving line instead of eyeballing a curve.
Skew Deconstruction & Risk-Neutral Density
Question: what does the market think the full range of outcomes looks like?
Prices across strikes encode more than one number. Skew — downside puts costing more than upside calls — can be deconstructed into level, slope, and curvature, each telling a different story about demand. Push that further and the Breeden–Litzenberger result lets you recover the entire implied probability distribution (the risk-neutral density) from the option smile: not just “how much will it move” but “how likely is each outcome,” including fat left tails and two-humped distributions around binary events.
Dealer gamma, vanna & charm
Question: are dealer hedging flows dampening moves or amplifying them?
Options dealers hedge their books, and that hedging is mechanical and predictable. When dealers are long gamma they sell rallies and buy dips, dampening moves; when they flip to short gamma, they chase in both directions, amplifying them — so the gamma-flip level often marks a regime change. Vanna and charm add the second-order flows: how hedges shift as volatility moves (vanna) and as time passes (charm), which drives the slow drifts into big expirations.
Event-volatility isolation & the implied-move calendar
Question: how much of this volatility is about a specific event?
An earnings date, an FOMC meeting, or a CPI print concentrates volatility on one day. That “event volatility” sits on top of the ordinary diffusive volatility, and separating the two is what lets you price the straddle around a known catalyst — the implied move — and judge whether the market is over- or under-paying for it.
Variance risk premium
Question: are option sellers being paid enough to bear the risk?
Implied volatility tends to run above subsequently realized volatility — that persistent gap is the variance risk premium, the compensation sellers earn for insuring others. Tracking it tells you when premium is rich (selling volatility is well-paid) versus when it has gone negative (a warning that realized is outrunning implied).
Volatility cones & the relative-value screener
Question: is this reading actually high or low — and for which name?
A volatility number means nothing without context. Cones plot current implied volatility against the historical range at each horizon, so you see instantly whether a level is RICH or CHEAP for that horizon. The screener extends the same idea across names, ranking a whole universe so you can find where volatility is mispriced relative to each name’s own history rather than an absolute threshold.
Backtester, position sizer & trading signals
Question: does the idea survive contact with history, and how big should the trade be?
An edge you can’t test is a guess. A strategy backtester turns a rule into a measurable hit rate, average win/loss, and drawdown — while guarding against overfitting and look-ahead bias. A volatility-targeted position sizer then scales the trade to the current regime, and composite trading signals blend the index readings and technicals into one BUY/HOLD/SELL view you can act on.
How the families fit together
Read them in layers. The curve and the carry tell you the regime — calm or bracing, premium rich or thin. The distribution and the flows tell you the shape and mechanics — where the fat tails are and whether dealers will fight or feed a move. The events tool isolates catalysts. And the context and execution tools turn all of that into a sized, tested trade. No single tool is a strategy; the edge is in stacking them so a reading in one is confirmed — or contradicted — by another.
What to do with this
Start from the question you’re actually asking. Worried about a looming event? That’s the implied-move calendar. Trying to judge whether a sell-off will accelerate? That’s dealer gamma. Wondering if a name’s volatility is cheap? That’s the cones and the screener. The tools are organized around questions, not jargon — match the question to the family and you already know where to look.
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Every concept above is free to learn here. The live tools — the term-structure and TermDex® readouts, the skew and risk-neutral-density charts, dealer gamma/vanna/charm exposure, the event-vol calendar, VRP, cones, the relative-value screener, the backtester and position sizer, and the composite trading signals — update every session inside ETF Analytics, so you’re reading today’s market instead of rebuilding it by hand.