Nations Indexes
PutDex®
The normalized price of downside protection — the cost of the out-of-the-money put.
What PutDex Measures
The Nations PutDex Index measures the normalized price of the 30-day put option that is exactly one standard deviation out-of-the-money. It is the first and only dedicated measure of the cost of out-of-the-money put options — the classic downside-protection trade. As such, it reflects expectations for a decline in the underlying stock or ETF as well as the general level of expected volatility over the next 30 days. In delta terms, one standard deviation out-of-the-money corresponds to roughly a 16-delta option.
How PutDex Is Constructed
PutDex uses current option prices to locate the one-standard-deviation threshold for the two expirations that bracket the moment 30 days from today. It interpolates a hypothetical put with exactly 30 days to expiration and a strike exactly at that one-standard-deviation out-of-the-money threshold, then normalizes the result by dividing by the forward price of the underlying (derived via put/call parity), making values comparable over time and across assets.
- Use the two expirations bracketing exactly 30 days to expiration.
- Find the strike one standard deviation out-of-the-money and interpolate the put priced exactly at that point.
- Normalize by dividing by the forward price of the underlying.
Reading PutDex
PutDex rises as the price of that out-of-the-money put rises. It is common for implied volatility — and therefore put prices — to climb as the underlying market falls, so a rising PutDex typically signals growing demand for downside protection. Because PutDex and CallDex sit on opposite sides of the volatility curve, they often move in different directions: in the S&P 500 they diverge on a close-to-close basis on roughly 42% of all trading days, a direct read on the market's directional fears.
How To Use PutDex
Traders use PutDex to buy out-of-the-money puts — as speculation or as a hedge — when protection is historically cheap, and to sell cash-secured puts when puts are expensive and the underlying is not especially vulnerable to a decline. Pairing PutDex with trend or momentum tools (for example, an oversold RSI reading) helps identify particularly attractive entries.
Combined with VolDex, PutDex adds nuance: if VolDex is at a moderate level while PutDex is relatively elevated, that points to negative sentiment and a downside directional bias rather than generalized volatility fear.
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Educational content from Nations Indexes. VolDex®, CallDex®, PutDex®, RiskDex®, and TailDex® are registered marks of Nations Indexes. Nothing here is investment advice.
PutDex® vs. VIX
PutDex® delivers a strike-specific read on the cost of downside protection — the out-of-the-money put — removing the noise that dilutes a blended volatility index.| Feature | PutDex® | VIX |
|---|---|---|
| Option focus | One-standard-deviation OTM puts only | All strike prices |
| Reflects real trading? | Yes — based on liquid SPY puts | Includes deep-OTM options that rarely or never trade |
| Signal clarity | High — downside option prices only | Often diluted by the full skew |
| Updated during the trading day | Yes — real-time | Yes |
Reading PutDex® as a Sentiment Gauge
Compared with its own history, PutDex® is high above the 75th percentile and very high above the 90th — elevated demand for downside protection and rising fear; it is low below the 25th and very low below the 10th — complacency. Because large institutions buy these puts to insure against declines, sharp moves in PutDex have historically led market dislocations by days to weeks.Watch: PutDex® Explained
Reading PutDex® as a Sentiment Gauge
PutDex® measures the normalized cost of a put option that is one standard deviation out-of-the-money with 30 days to expiration — the contracts institutions use to insure against declines. It rises when fear and uncertainty build and traders reach to buy protection and “get long volatility,” and eases when hedging demand cools. By isolating the strikes most associated with downside protection, PutDex strips out the noise of less relevant options and reads sentiment around hedging and bearish positioning directly.
PutDex® and Forward Returns
Elevated PutDex means downside insurance is expensive and hedging demand is heavy; the most extreme readings tend to coincide with peak fear, which has historically been associated with mean-reverting bounces. Very low PutDex, by contrast, can signal complacency. Compared with CallDex® through RiskDex®, PutDex tells you whether fear is one-sided or the whole surface is simply repricing.