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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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The Implied-Move (Event) Calendar, Explained

Implied-Move Calendar · Foundations

Free to read

The Implied-Move (Event) Calendar, Explained

Every expiration has a price. Read those prices across time and the calendar's events glow in the term structure — visible before they happen, gone the morning after.

The Implied-Move Calendar does one thing: it takes every expiration listed on an underlying's option chain and converts its at-the-money straddle into an implied percentage move. Plot those implied moves across expiration dates and you have the market's forward-looking probability distribution condensed to a single curve — the term structure of implied moves.

On a calm week, that curve glides smoothly upward with time. When a known catalyst sits ahead — an earnings release, an FOMC decision, a CPI print — the curve develops a kink: the expiration that captures the event is priced higher than smooth interpolation would suggest. The kink is the market pricing that event in real time, in size.

The core idea: straddle = implied move

An at-the-money straddle — a call and a put at the same strike, same expiration — costs roughly 1.25 times the expected one-standard-deviation move by expiry. Divide the straddle price by the stock price and you get the implied move: the market's best estimate of how far the underlying could reasonably move, in percentage terms, by that expiration. It is a magnitude estimate, not a directional one.

Term structure of implied moves — the kink marks the event 12%8%4% implied move 7d14d21d35d60d calendar days to expiration kink — earnings here smooth baseline

The solid blue line is the term structure of implied moves read from the live option chain. The dashed line is what a smooth baseline would look like with no event. The amber dot at the 21-day expiration is the kink — the market is pricing a larger move there because earnings fall inside that window. Schematic; not a live chart.

Why the kink appears

Variance is additive. The total variance an option prices equals the continuous diffusive variance over its life plus the discrete expected variance contribution of any event inside that window. If earnings are 18 days out, the 21-day expiration captures the event and the 14-day does not. The 21-day straddle is priced wider — and its implied-move reading jumps — while the 14-day stays on the smooth baseline. That step up is the kink, and it is the market revealing the event's size in real time.

What the calendar adds

The tool overlays a named-event calendar — earnings dates, FOMC windows, CPI and PCE releases, significant macro prints — onto the term structure. Where a kink appears and a named event lines up, the calendar labels it. Where the label feed has not yet connected a date, the kink is still visible in the term structure; the label just isn't populated. The methodology page describes which feeds are live and which are pending.

Implied move is a 1SD magnitude, not a cap

A one-standard-deviation move captures roughly 68% of outcomes. That means about one-third of the time the actual move exceeds the implied move — sometimes by a lot. The implied move is the market's central estimate of magnitude, not a ceiling. It tells you what size is priced in; the market can always deliver more.

How it ties to the Nations suite

The Implied-Move Calendar is the forward-looking companion to Event Volatility Isolation, which deconstructs VolDex® into baseline and event contributions. Where Event Vol Isolation tells you how much event premium is already embedded in today's reading, the Implied-Move Calendar shows you which expiration is carrying that premium, and by how much relative to the surrounding curve. Together they answer the full event-vol question: how much premium, in which expiry, and is it historically rich or cheap?

Do it live

These ideas are free. To pull the live Implied-Move Calendar on any underlying: ETFs with ETF Analytics, any optionable single stock with ETF + Equities, and the full term-structure history with Everything.

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Educational content from Nations Indexes. VolDex® is a registered mark of Nations Indexes. Diagrams are schematic. Implied move is a ~1SD estimate (~68% band), not a cap on the actual move. Nothing here is investment advice.

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