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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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Sizing Down in a Stressed Regime

Case Study · Stressed Regime · Intermediate

Free to read

Sizing Down in a Stressed Regime

Illustrative. When realized vol climbs to its 90th percentile and the Nations indexes confirm genuine stress, the regime multiplier cuts gross exposure automatically — before the worst of the drawdown lands.

Regime: StressedPeriod: Illustrative (2022-style drawdown)Underlying: broad equity ETFReading time: 5 min

This case study is illustrative. The scenario is modeled on the character of 2022 equity conditions — a grinding, high-realized-vol drawdown — but the numbers are representative examples, not precise historical figures.

The hardest thing to do in a drawdown is size down. The temptation is to keep positions at full size and "wait for the bounce." Vol-targeted sizing removes that temptation structurally: as realized vol climbs into its upper percentiles, the tool's regime filter automatically delivers a smaller number — not as a gut call, but as an arithmetic consequence of the framework.

The setup

Imagine a broad equity ETF that has ground lower for several months. Realized vol, which sat near the 35th percentile of its trailing year in Q4 of the prior year, has climbed steadily. By the time the drawdown is well underway, the 30-day realized vol reading sits near the 92nd percentile. VolDex® 30-day implied has risen in tandem, and the RiskDex® reading is elevated — above 3.0. The tool classifies the regime as Stressed.

Late prior year

Realized-vol percentile: ~35th. Regime: Calm. Multiplier: ×1.0. A $100,000 account targeting 1% per position sizes a $5,000 notional — 5% of capital — via the inverse-vol formula.

Drawdown begins

Realized vol climbs. Percentile moves to the 60th–70th range. Regime shifts to Elevated. Multiplier drops to ~×0.70. The same target now delivers ~$3,500 notional — the tool has already trimmed the size by 30% without any discretionary decision.

Stress deepens

Realized-vol percentile reaches the 92nd. VolDex® 30d and RiskDex® confirm. Regime: Stressed. Multiplier: ×0.45. Target notional falls to ~$2,250 — less than half the calm-regime size. Gross exposure is substantially reduced before the worst vol clustering hits.

Illustrative: regime multiplier tracks vol percentile vol percentile / multiplier time (calendar months) → 100th50th0th realized vol pctile size multiplier (×0–1) regime → Stressed

Illustrative. As realized-vol percentile (red) climbs toward the 90th percentile, the size multiplier (green) falls — automatically. By the time the regime is classified Stressed, gross exposure is already below half its calm-period level.

What happens to the position that's already on

A position sized in the calm regime is now too large for the current regime. The correct response — which the tool supports — is to recalculate and trim to the new adjusted size. The trim is not a stop-loss; it is a regime-consistent resizing. The trader takes off a portion of the position and retains a smaller one sized for the stressed environment. Vol-targeting is not about exiting entirely; it's about right-sizing for the conditions that actually exist.

The arithmetic of protection

A position sized at $5,000 in a calm regime, held through a period where realized vol doubles, does roughly twice the damage to the portfolio that the framework intended. A position trimmed to $2,250 — the stressed-regime size — does roughly what the framework intended even if volatility stays elevated. The multiplier is not about predicting direction; it's about matching exposure to the environment.

The danger of overriding the multiplier

The most common mistake in a stressed regime is to turn off the size reduction because "the position is already losing and I don't want to lock in the loss." That reasoning ignores the reason for the multiplier: high-percentile realized vol tends to cluster. The regime filter is most valuable precisely when you least want to listen to it.

Do it live

This case study is free. To see the current regime classification and multiplier for your names: ETFs via ETF Analytics, single stocks via ETF + Equities. The full percentile history and Nations-index feed are available with Everything.

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Educational content from Nations Indexes. This case study is illustrative; figures are representative examples modeled on 2022-style conditions, not precise historical data. VolDex® and RiskDex® are registered marks of Nations Indexes. Nothing here is investment advice.

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