Why VolDex and Not VIX?
VIX uses every option listed so it’s impossible to truly understand what it is saying which is necessary to get a full picture of risk.
Our indexes deliver more accurate, actionable insights into market volatility, aiding smarter investment decisions.
Don’t settle for outdated metrics — discover the next generation of volatility analysis.
Options Analytics & Indexes
All Nations® Option Cost Indexes use superior methodologies to generate more meaningful measures of option cost, implied volatility, option skew and tail risk and then express those measures in more meaningful, intuitive ways. The Nations® family of Volatility Indexes measure important facets of the option marketplace and do so for a tremendous range of asset classes including the first at-the-money volatility indexes for fixed income instruments.
Nations® VolDex®
Nations® VolDex® is an improved measure of option volatility and the market’s expectations for fluctuations during the next 30 days.
VolDex® measures implied volatility the way practitioners do, by focusing on the most important, liquid options available, the at-the-money options in the next two expiration cycles.
Focusing on at-the-money options provides a pure measure of implied volatility, expectations for price fluctuations and fear without the misleading statistical noise generated by phenomena like the number of strike prices listed or the distance between those strike prices.
Nations® Indexes calculates VolDex® on a number of asset classes. The Nations® Large Cap VolDex® (ticker symbol: VOLI) uses options on SPY, the most active, liquid equity product in the world assuring the most accurate picture of large cap volatility.
VolDex® is a registered trademark of Nations Indexes, Inc.
Nations® TailDex®
Nations® TailDex® is the only measure of the market’s expectations for an extreme event, often called a “tail event” or a “black swan,” which is a drop of at least three standard deviations.
TailDex® calculates the cost of protecting against such a drop, providing important insight into investors’ expectations.
TailDex® is model-free and robust from a mathematical point of view and since it uses instantaneous implied volatility to calculate standard deviation of returns it responds to current market conditions rather than relying on historical data.
Tail risk is an important consideration for market participants and history shows the occurrence of such loses is more frequent than most financial models anticipate.
TailDex® is a registered trademark of Nations Indexes, Inc.
Nations® CallDex®
The Nations Large Cap CallDex Index is a measure of expectations for market volatility and direction over the next 30 calendar days as expressed by options on SPY, the most important, most liquid options in the world.
Volatility is a measure of both the speed and magnitude of price movements over a finite period of time. The faster or more dramatic the price changes, the greater the volatility.
CallDex provides insight into both expectations for this future volatility and the market’s expectations for the direction of those price changes. Obviously, the direction of the price changes is important to long-term investors.
Learn more about CallDex
Nations® PutDex®
The Nations Large Cap PutDex Index measures expectations for market volatility and direction over the next 30 calendar days as expressed by options on SPY, the most important and most liquid options in the world.
Volatility measures the velocity and magnitude of price changes. Most investors and speculators equate volatility and risk and PutDex provides specific insight into expectations for volatility.
PutDex provides insight into both expectations for this future volatility and the market’s expectations for the direction of those price changes. The direction of price changes is critically important to long-term investors
Nations® RiskDex Indexes®
The Nations family of RiskDex Indexes provide an improved measure of the equity market’s expectations, or fears, for direction and volatility over the next 30 calendar days.
Nations Indexes calculates the Nations Large Cap RiskDex using options on SPY, the leading S&P 500 index ETF. SPY options are the most liquid options in the world with bid/ask spreads which are much tighter than other S&P 500-based option markets, including SPX options.
Nations calculates RiskDex on a variety of domestic and international equity indexes as well as on other products and asset classes including fixed income and commodity markets.