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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Event Vol Alerts

Alerts · Advanced

Free to read

Event Vol Alerts: When the Calendar Moves the Number

The two moments worth knowing: when an event makes a reading expensive, and when the baseline itself gets rich. Get told theinstant either happens.

The deconstruction produces clean, alertable quantities: the share of a reading that is event premium, and the level of the event-stripped baseline. Both translate directly into conditions the Nations alert engine can watch.

What you can be alerted on

The baseline and each event chunk are computed on-site. That makes simple conditions: notify me when the event share of a reading crosses a high threshold (the premium is mostly calendar, about to crush), when the event-stripped baseline crosses rich versus history (a durable vol signal), or when a high-impact event newly enters your tenor.

EVENT-HEAVYSPY · 70% event

Most of the implied reading is now scheduled-event premium — expensive for a date, set to crush. Condition: event share > 65%.

BASELINE RICHQQQ · baseline 82nd pct

The event-stripped baseline crossed into rich territory — a durable vol signal, not a calendar artifact. Condition: baseline percentile > 80th.

Event share crosses the threshold days into the window → event share of VolDex® event-heavy threshold (65%) alert fires

As an event nears, its share of the implied reading climbs; when it crosses your threshold, an alert flags that the premium is mostly calendar — and about to crush.

How it's delivered

Event vol alerts ride the same Nations alert engine as the index alerts — polling on a schedule and dispatching by email or SMS when a condition is met. They're additive: new conditions on data already computed on-site.

Keep in mind

An event-heavy alert tells you premium will crush at the print — but the realized move can still beat the priced chunk. A baseline-rich alert is the more durable signal. Size short-event trades for a move larger than the one priced.

Do it live

Understanding the alerts is free. Setting them on your names rides the tier the underlying needs — ETFs with ETF Analytics, single stocks with ETF + Equities.

See plans →

Educational content from Nations Indexes. Alert availability and delivery depend on plan and configuration. Event variances are modeled estimates. Nothing here is investment advice.

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