Reference
Free to readOption Window FAQ & Glossary
Quick answers on the axes, the shapes, and what repricing means — each with a picture — plus the vocabulary, defined.
Frequently asked
What is the Option Window?
A one-day map of how option prices changed across the moneyness surface. It plots the percent change in normalized, constant-30-day option prices — from −3σ puts to +1σ calls — versus yesterday's close. It shows where the market repriced, and by how much.
What does the x-axis (sigma) mean?
Moneyness measured in standard deviations of the underlying — how far out-of-the-money each point is in units of the asset's own vol. The surface runs from −3σ on the put side, through at-the-money, to +1σ on the call side, matching where equity-option demand lives.
What does the y-axis (% change) mean?
The percent change of each point's normalized price versus yesterday's close. Above the zero line, that part of the surface got richer; below it, cheaper. The zero line is "no repricing."
Why a constant 30-day maturity?
To strip out time decay. Options lose value as time passes (theta) regardless of repricing. Holding maturity fixed at 30 days removes that mechanical loss, so any move on the Window is genuine repricing — the market actively marking the surface richer or cheaper.
What does a flat curve mean?
That premiums barely moved — nothing on the surface was meaningfully repriced. A quiet Window is itself information: the option market made no new statement today.
What does a broad lift or drop mean?
The whole curve moving together is a level repricing. A broad lift is a vol bid (often fear entering); a broad drop is a vol crush (often relief after a feared event). It's the VolDex® story as a one-day change.
What do the wings tell me?
When the far-OTM ends move differently from the body, the tails were repriced. Wings lifting means crash/melt-up protection is being bid; wings dropping means tail fear is draining. It's the TailDex® story in motion.
What does a steepening left side mean?
Puts repricing up relative to calls — skew widening. The left side rising more than the right is the daily-change version of the Slope/RiskDex® story. A right side catching up is skew flattening (or a call bid).
Does it show level or change?
Change. The Window is a one-day repricing snapshot, not the absolute level of vol. That's why it pairs with the level tools — VolDex®, the Skew Deconstruction, the Volatility Cones — which tell you whether the new price is rich or cheap.
Which underlyings are covered?
The headline Window is the S&P 500, and the tool covers ETFs on the ETF Analytics tier and any optionable single stock on ETF + Equities. The full surface series is a CSV export on the Everything tier.
How does it relate to the other Nations tools?
The Window is the change lens on the same surface the others read in levels: VolDex® (ATM level), Skew (across strikes), Cones (versus realized history). A parallel Window move foreshadows a VolDex® change; a left-side steepening foreshadows steeper Slope; wings lifting foreshadow higher TailDex®.
Glossary
A one-day map of percent change in normalized, constant-30-day option prices across the moneyness surface.
A price scaled to be comparable across strikes and underlyings, rather than raw dollar premium.
A fixed horizon, interpolated between expirations, that removes time decay so only repricing remains.
The x-axis: moneyness measured in units of the underlying's own volatility (−3σ to +1σ).
The market actively marking part of the surface richer or cheaper — what the Window shows.
A broad downward repricing — premium draining out of the surface, often after a feared event.
The far-OTM ends of the curve; their movement is a tail-risk repricing.
The left side repricing up relative to the right — puts richer versus calls.
The mechanical loss of option value as time passes — removed by the constant maturity.
Nations indexes of ATM vol level and tail-put price; the Window often foreshadows their moves.
Free reference. The tool and its data come with a plan — ETFs (ETF Analytics), single names (ETF + Equities), full history (Everything).
See plans →Educational content from Nations Indexes. Nations Option Window®, VolDex®, and TailDex® are registered marks of Nations Indexes. Diagrams are schematic. Click any diagram to enlarge it. Nothing here is investment advice.