Nations Indexes · Options Intelligence

Event Volatility Isolation

Deconstructing VolDex® into diffusive (background) volatility and event-driven (discontinuous) volatility for known upcoming macro and earnings events.

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Methodology Note: VolDex® measures the at-the-money implied volatility of the front-month or near-term options complex. When a known event falls within the option expiration window, a portion of total implied volatility reflects the market's expectation of a discrete price jump at the event — the event volatility component. The remainder is diffusive volatility, the continuous day-to-day price process. This tool estimates both components using a variance-additivity framework: Total Variance = Diffusive Variance + Event Variance. Event variance is estimated from the implied move attribution method: the difference in variance between an expiration that spans the event and one that does not, scaled to a per-day basis and then converted back to an annualized volatility. These are model-based estimates; actual event impact will differ. This tool does not constitute investment advice.

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Important Disclaimer — Estimates & Illustrations Only All data, event dates, VolDex® readings, event-move assumptions, and calculations shown on this page are estimates, approximations, and illustrations provided for educational and analytical purposes only. Index values, release dates, and model outputs may be delayed, incomplete, or inaccurate and will differ from actual results. Nothing here constitutes investment, financial, legal, or tax advice, or a recommendation to buy or sell any security. You should independently verify every figure, date, and assumption against official primary sources before relying on it or making any decision. Use entirely at your own risk.

Configure

Deconstruction Inputs

Select an asset, the VolDex® tenor, and the upcoming event(s) that fall within the expiration window. Enter the current VolDex® reading, then deconstruct.

Asset / Ticker

Current 30-Day VolDex® (annualized)

VolDex® Tenor

Select Upcoming Event(s)

Calendar Days to Event

Auto-calculated from the nearest selected event — editable.

Calendar Days to Expiration

Matches the selected VolDex® tenor (7 or 30 days).

Results

VolDex® Deconstruction

Event Contribution Breakdown

Per-Event Detail

Methodology & Assumptions

Variance Additivity

Implied variance — the square of implied volatility — is approximately additive across independent events and the continuous price process. If a known event falls within the option expiration window, the total implied variance can be deconstructed as:

Total Variance = Diffusive Variance + Event₁ Variance + Event₂ Variance + …

This is analogous to the “jump diffusion” deconstruction used by options professionals to isolate event risk from background volatility.

Event Variance Estimation

For each event, we estimate the implied single-day standard deviation (the “event move”) from one of three sources (in order of priority):

User-entered historical earnings move data (for earnings events)
User-entered custom expected move
Nations baseline event move table — derived from historical realized moves around each event type, adjusted by asset class sensitivity

The event variance contribution is move_event² (the square of the single-day move estimate, already in variance terms since it represents a 1-day move).

Diffusive Volatility

Diffusive volatility is the residual: total implied variance minus the sum of all event variances, converted back to an annualized volatility figure. It represents the “event-stripped” level of implied volatility — what VolDex® would likely be if the upcoming events were not in the window.

VolDex® and Nations Indexes

VolDex® is a proprietary Nations Indexes measure of at-the-money implied volatility. Unlike VIX-style variance-weighted measures, VolDex® reflects the true ATM implied volatility of the options complex. The 7-Day VolDex® and 30-Day VolDex® reflect short and medium-term market expectations respectively.

Limitations

Event move assumptions are model-based historical estimates and will differ from actual future moves.
The variance additivity framework assumes independence between events and the diffusive process; correlation and interaction effects are not modeled.
For very short tenors (7-Day VolDex®) with events near expiration, rounding and discretization effects can be material.
This tool is for analytical and educational purposes only and does not constitute investment advice.