Everything! Analytics · Advanced

How the Archive & Statistics Are Built

Daily archive construction, percentile rank calculation, z-score definition, the difference between lifetime and 52-week windows, and the honest limits of each — the full recipe.

The Everything! statistics are computed on-site from the Nations Indexes daily archive. Every number in the statistics column — percentile rank, z-score, high, low — has a specific definition. Here is exactly how each is built and what its limits are.

The daily archive

The archive is a daily time series of index values for each Nations index on each tracked underlying. Coverage begins at the earliest date for which clean, reliable options data existed for that underlying — for the major ETFs, that traces back to 2005. For individual names, coverage begins at the point where Nations indexes could be computed reliably, which varies by underlying. Each daily observation is a single closing-level reading of the index, computed from end-of-day options prices using the same methodology as the live reading. The archive is additive: each trading day appends a new row.

Percentile rank — lifetime

The lifetime percentile rank for today's reading is computed as: of all daily closing-level observations in the full archive for this underlying and index, what fraction are strictly below today's value? Multiply by 100 to express as a percentage. This is the standard empirical percentile (the fraction of the distribution below the current value), with no distributional assumption — it is computed directly from the sorted archive. The lifetime window uses every observation from the first available date through the most recent close.

Percentile rank — 52-week

The 52-week percentile rank is computed identically, but the reference set is restricted to the 252 most recent trading-day observations (approximately one calendar year). A reading can be at the 90th lifetime percentile and the 55th 52-week percentile if the recent period has been broadly elevated — and that gap is informative. If both are high, the reading is extreme by any lens. If only the lifetime is high, the current regime may simply be elevated; within it, today is not unusual.

Z-score — lifetime and 52-week

The z-score is: (today's reading − mean of the reference set) ÷ standard deviation of the reference set. For the lifetime z-score, the reference set is the full archive. For the 52-week z-score, it is the trailing 252 observations. A z-score of +2.0 means today is two standard deviations above the mean of its reference period — roughly the top 2–3% under a normal distribution. The distribution of Nations indexes is not always normal (it can be right-skewed, especially for vol indexes during stress), so z-scores are best interpreted alongside the empirical percentile rank rather than read as normal-distribution probabilities.

Lifetime high and low; 52-week high and low

The lifetime high and low are the maximum and minimum closing-level observations in the full archive. The 52-week high and low are the maximum and minimum of the trailing 252 trading days. These anchor the range and are useful for quickly seeing how much room today's reading has above and below it — especially when checking whether a current extreme is also a historical extreme.

Data revisions and limitations

Options market data, particularly for earlier years, can carry minor revisions as data sources are corrected or supplemented. The archive is updated periodically to incorporate improvements. Coverage start dates represent the earliest point at which Nations deems data clean enough for statistical use; earlier data, where it exists, may be excluded because of liquidity or quality concerns. These decisions are documented in the index methodologies.

Finally: regime change is real. A distribution built from 2005 data includes the 2008–2009 crisis, the 2020 crash, the 2022 rate shock, and many quieter years. If the current market regime differs structurally from the historical mix (e.g., persistently higher or lower structural vol), the lifetime statistics will reflect the blended history, not the current regime alone. That is precisely why the 52-week statistics exist — and why neither measure is a substitute for judgment about the current environment.

Educational content from Nations Indexes. VolDex®, CallDex®, PutDex®, RiskDex®, TailDex®, TermDex® are marks of Nations Indexes. Percentile and z-score computations use empirical methods described above; figures are schematic. Nothing here is investment advice.