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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Nations Indexes

RiskDex®

The directional skew ratio — downside demand versus upside demand.

What RiskDex Measures

The Nations RiskDex Index measures the relationship between PutDex and CallDex — specifically the ratio of PutDex to CallDex. It is the first and only measure of the vital relationship between the cost of out-of-the-money puts and the cost of out-of-the-money calls, and it distills directional sentiment into a single, intuitive number. As such it captures the market's expectations for the direction of the underlying over the next 30 days, not just the overall level of volatility.

How RiskDex Is Constructed

RiskDex divides the PutDex index value by the CallDex index value. PutDex measures the normalized price of the one-standard-deviation out-of-the-money put with 30 days to expiration; CallDex measures the normalized price of the one-standard-deviation out-of-the-money call with 30 days to expiration. Their ratio is the most intuitive available measure of option skew — the tendency for different strikes in the same expiration to carry different implied volatilities.

  • RiskDex above 1.00: PutDex exceeds CallDex — the market shows put skew. Put skew is the norm in equity index markets.
  • RiskDex below 1.00: CallDex exceeds PutDex — the market shows call skew, which is rarer but appears in assets prone to upside gaps such as Treasuries, precious metals, and crude oil.

Reading RiskDex

Because PutDex and CallDex frequently diverge — on roughly 42% of S&P 500 trading days — knowing what VolDex (which tracks at-the-money implied volatility) or a blended gauge like VIX is doing does not tell you what the skew is doing. RiskDex fills that gap. A rising equity RiskDex reflects building fear as traders bid up downside protection; a falling RiskDex reflects ebbing fear and growing complacency. RiskDex is also the only Nations measure that compares one portion of the skew directly to another, which makes it well suited to relative-value analysis.

How To Use RiskDex

RiskDex is a natural fit for strategies that pair calls and puts — collars and risk reversals among them — because it tells you whether puts are historically rich or cheap relative to calls. Combined with VolDex it adds nuance: if VolDex is moderate while RiskDex is relatively high, there may be an opportunity to sell puts and buy calls, a bullish posture some traders run delta-neutral to convert it into a pure volatility trade.

Live readings and full history are available with a subscription →

Educational content from Nations Indexes. VolDex®, CallDex®, PutDex®, RiskDex®, and TailDex® are registered marks of Nations Indexes. Nothing here is investment advice.

RiskDex® vs. VIX

RiskDex® compares the cost of OTM puts to OTM calls — a direct read on directional bias that a magnitude-only volatility index simply cannot provide.
FeatureRiskDex®VIX
Option focusOne-standard-deviation OTM puts & callsAll options, including strikes that rarely or never trade
Reflects directional biasYes — skew-basedNo — magnitude of volatility only
Underlying instrumentSPY — the most liquid ETF optionsSPX — generally a wider bid/ask than SPY
Signal clarityHigh — focuses on price skewOften diluted by very-OTM strikes
Updated during the trading dayYes — real-timeYes

Reading RiskDex® as a Sentiment Gauge

RiskDex® above 1.00 means PutDex exceeds CallDex — put skew, the norm in equity-index markets. Below 1.00 means call skew, which is rarer but appears in assets prone to upside gaps such as Treasuries, precious metals and crude oil. A rising equity RiskDex reflects building fear as traders bid up downside protection; a falling RiskDex reflects ebbing fear and growing complacency.

RiskDex® and Forward Returns

Historically, when RiskDex has exceeded 9.00, the average S&P 500 return over the next 20 trading days has been −0.76%. Descriptive of past results for the S&P 500; not a forecast.

Watch: RiskDex® Explained

Reading RiskDex® as a Sentiment Gauge

RiskDex® is the relationship between PutDex® and CallDex® — the price of downside protection relative to upside speculation, and the first and only measure of that vital ratio. A high RiskDex means puts are bid relative to calls: skew and fear are elevated and positioning carries a downside bias. A low RiskDex means calls are bid relative to puts: an upside bias. In one number it is both a measure of skew and a measure of fear.

RiskDex® and Forward Returns

RiskDex extremes are informative precisely because they capture direction, not just magnitude. A very high reading reflects crowded hedging and pessimism that can mark local bottoms; a very low reading reflects one-sided optimism that can precede pullbacks. RiskDex isolates the directional positioning that a headline volatility gauge like VIX blends away.

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