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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How to Read the Risk-Neutral Density

Risk-Neutral Density · Foundations

Free to read

How to Read the Risk-Neutral Density

Pick an underlying, read the shape, check the tails, use the CDF for a probability. Four moves.

The tool draws the full risk-neutral density for your chosen underlying and expiration. Everything you need is on the chart — here is how to work it in four passes.

What every control does

Choose the underlying (ETFs on ETF Analytics; single names on ETF + Equities) and the expiration from the dropdown. The tool then fits the implied-vol smile across all listed strikes for that expiry, converts it to a smooth call-price curve, and differentiates twice to produce the density. Spot, the forward, and the ±1σ implied range are marked automatically. Toggle the CDF view to switch from the probability density to the cumulative distribution — useful for reading off the probability of finishing above or below any price level.

The controls at a glance UnderlyingSPY ▾ Expiration30-day ▾ ViewPDF CDFoff fwd

Pick the underlying and expiration; the density and reference lines appear automatically. Toggle CDF to read off probabilities directly.

Four passes to read it

First, the shape: is the curve symmetric, left-heavy, right-heavy, or bimodal? That is the market's top-level verdict on outcomes. Second, the tails: is the left tail meaningfully fatter than the right (crash fear), or is the right tail running away (squeeze pricing)? Third, the mode vs the forward: how far is the peak from the fair-value anchor? A wide gap signals strong directional skew in the pricing. Fourth, the CDF: switch to the cumulative view, hover over a strike, and read the implied probability of finishing below that level — or above it, or within any band. That is how you turn the density into a tradeable number.

Two common misreads

Misread — "The peak is at $480, so the market expects a $480 close." The mode is the single most-probable outcome, but probability is spread across the whole curve. A fat left tail can carry more total probability than the right even when its per-strike density is lower. Read the area, not just the peak.
Misread — "The left tail is heavy — the market predicts a crash." The density is risk-neutral, not a real-world forecast. Risk premia systematically inflate the left tail versus what historical data would suggest. Use it for pricing and positioning context, not as a directional prediction.
Do it live

Reading the chart is free. To pull the live density on your own names: ETFs with ETF Analytics, single stocks with ETF + Equities, full density export with Everything.

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Educational content from Nations Indexes. VolDex® is a registered mark of Nations Indexes. Diagrams are schematic. Nothing here is investment advice.

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