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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The Option Window, Explained

Option Window · Foundations

Free to read

The Option Window, Explained

Most charts show you what options cost. The Option Window shows you how that cost changed — across the whole surface, in one day, with time decay stripped out.

The Nations Option Window® answers a question the level of vol can't: where did the option market reprice today? It plots the percent change in normalized option prices across the moneyness surface — from deep out-of-the-money puts at −3σ, through at-the-money, to out-of-the-money calls at +1σ — measured against yesterday's close. One glance tells you not just that premiums moved, but which part of the surface moved and by how much.

A constant 30-day maturity strips out decay

The trick that makes it a clean repricing signal is the constant 30-day maturity. Options lose value as time passes no matter what — theta. By holding maturity fixed at 30 days, the Window removes that mechanical decay, so what's left is genuine repricing: the market actively marking some part of the surface richer or cheaper. A flat line near zero means premiums barely moved; a curve with shape means something was repriced.

A day in the Option Window 0% — no change % change vs prior close −3σ−2σ−1σATM+1σ OTM putscalls put wing repriced up calls cheaper

The x-axis is moneyness in standard deviations (note the surface runs farther on the put side); the y-axis is the percent change of the normalized, constant-30-day price versus yesterday. Here the put wing was repriced up while calls slipped — fear bid into the tails, skew widening.

The shape is the message

Read the curve, not a number. A curve that lifts everywhere is a broad vol bid — the whole surface got more expensive. A curve that drops in the wings tells you tail risk is being repriced cheaper. A left side that steepens — puts richening relative to calls — is skew widening. Each shape is a different story about what the market started worrying about, or stopped.

Why a window

It's called a window because it's a single day's view onto the surface — a snapshot of repricing, close to close. Watched day after day, it becomes a tape of where conviction is entering and leaving the option market, strike by strike, before any of it shows up in a single headline vol number.

How it ties to the Nations suite

The Window is the change lens. VolDex® gives the level of at-the-money vol; the Skew Deconstruction gives the shape across strikes; the Option Window shows how that whole surface moved in a day. When the Window's left side steepens, expect the skew's Slope to steepen; when the wings lift, expect TailDex® to rise.

Do it live

These ideas are free. To pull a live Window: ETFs with ETF Analytics, any optionable single stock with ETF + Equities, and the full surface as a CSV with Everything.

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Educational content from Nations Indexes. VolDex®, TailDex®, and Nations Option Window® are registered marks of Nations Indexes. Diagrams are schematic. Nothing here is investment advice.

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