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.

Explore the Indexes ↓ See 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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Risk-Neutral Density

Members’ Tools

Risk-Neutral Density

The full probability distribution the options market is pricing into expiration.

Breeden–Litzenberger

The probability distribution the options market is pricing

The second derivative of call price with respect to strike is the risk-neutral probability density: f(K) = erT · ∂²C/∂K². Read it and you can see exactly how much probability the market assigns to every landing zone for the underlying at expiration.

Differentiating raw quotes twice is hopelessly noisy, so this tool first fits a smooth volatility smile across strikes, converts that back into a clean call-price curve, and only then differentiates. Spot and the ±1σ implied range are marked, and you can read the implied probability of finishing inside any price band.

UnderlyingExpiry

Risk-Neutral Density

Cumulative Distribution

probability of finishing at or below each price

Probability of finishing in a range

From $To $

How to read this

  • The peak is the market’s modal expectation; the spread is its uncertainty.
  • A left tail fatter than the right is the equity-index signature — crash insurance is bid, so downside outcomes carry more risk-neutral probability.
  • ±1σ markers use the ATM implied vol scaled to this expiry; roughly 68% of the density sits between them in a symmetric world, less on the downside when skew is steep.

Risk-neutral, not real-world: these probabilities embed the risk premium investors pay for protection, so they overstate true crash odds. Smile fit uses a kernel-smoothed IV curve; r assumed 4.3%.

Nations Indexes · Independent volatility & options-cost analytics. For informational purposes only; not investment advice.

Learn

Learn the Risk-Neutral Density Tool
Foundations
Risk-Neutral Density, Explained

The big-picture guide to what the implied distribution is and why it matters.

Read →Foundations
Reading the Implied Distribution

How option prices encode a full probability distribution of future prices.

Read →Foundations
How to Read the Risk-Neutral Density

A practical walkthrough of the curve: peak, tails, skew and width.

Read →Advanced
Breeden–Litzenberger, Step by Step

The math that turns a strip of option prices into a density curve.

Read →Intermediate
When the Left Tail Fattened — March 2020

A case study of the density during the COVID crash and its fat left tail.

Read →Advanced
A Two-Humped Distribution — a Binary Event

How a binary catalyst splits the density into two distinct humps.

Read →Advanced
Trading with the Implied Distribution

Turning the density into actionable views on skew, tails and pricing.

Read →Foundations
Risk-Neutral Density FAQ & Glossary

Quick answers and key term definitions for the implied distribution.

Read →Advanced
Density Alerts: When the Distribution Shifts

Spotting and reacting to meaningful changes in the implied density.

Read →Foundations
This Week’s Density Read

A regular read of the current implied distribution for the market.

Read →
Learning Center › Skew & Distribution
Related in Skew & Distribution
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