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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Midweek Update for 3/4/2026

by ScottN | Mar 4, 2026 | Midweek Update

Equity Indexes

U.S. stocks have been very volatility this week in response to the news from Iran. Buyers managed to stage a comeback on Monday with the S&P regaining all of the morning’s losses. The major indexes are higher on the week with the Nasdaq-100 leading the pack with a weekly gain of nearly 1% thanks to today’s rally.

Our volatility metrics are not as confident. S&P 500 CallDex is lower for the week signaling a continued lack of faith in the market’s ability to rally. RiskDex continues to climb affirming the market’s opinion regarding direction over the next 30 days.

It is important to note that RiskDex is at an extreme level. It measures the ratio of the price of out-of-the-money S&P put prices to the price of out-of-the-money call options. The average index value is 3.75 going back to 2005.

Nasdaq-100 implied volatility is much more optimistic than for the S&P 500 as Nasdaq-100 VolDex is lower (an impressive performance) and while CallDex is lower, so is PutDex.

Equities

The equities we cover are surprisingly mixed with several tech names including MSFT, NVDA, META, and PLTR all up more than 3%.

Volatility for single names is mostly lower in a surprising sign of confidence that the turmoil in Iran will not lead to substantial stock price volatility over the next 30 days. Traders who disagree with that thesis can buy volatility at a discount to Friday’s closing prices.

You can learn more about RiskDex at Learn More About RiskDex.

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