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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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S&P 500 Volatility & Nasdaq-100 Volatility Tell Different Stories

by | Jul 11, 2026 | Volatility Insights

The Weekly Takeaway:

  • The S&P 500 gained 1.23% this week. It is up 10.66% for the year to date;
  • The Nasdaq-100 gained 1.69% this week. It is up 18.12% for the year to date;
  • S&P 500 VolDex (ticker VOLI) fell 7.04% this week to close at 12.46. That is just the 10th percentile of its 52-week range;
  • The yield on Treasury Notes rose by 8.4 basis points to close at 4.569%;
  • Crude oil futures closed at 71.56, an increase of 4.51% on the week, due to the resumption of hostilities with Iran;
  • Every S&P 500 volatility measure fell on the week with the exception of 30-Day CallDex. CallDex measures the normalized price of the call option that is 1 standard deviation out-of-the-money (the 1 standard deviation OTM call has a 16 delta). You can learn more about CallDex at Learn More About CallDex;
  • VolDex on the Nasdaq-100 fell by 11.67% to close at 22.40 which is the 53rd percentile of its 52-week range. We discuss the divergence between S&P 500 VolDex and Nasdaq-100 VolDex below;
  • VolDex in Treasury Bonds rose 5.11% to close at 9.16 although it was rising from a very low level. Even with this week’s increase, Treasury Bond VolDex is still at just the 6th percentile of its 52-week range;
  • Bitcoin rose by 3.84% but traders expect very little volatility in Bitcoin over the next 30 days. We discuss in depth below;
  • The Nations Optimism Index® rose 1.37% on the week to close at 90.80 which is well into “Optimistic” territory;
  • VolDex on individual stocks we follow was mixed. VolDex for some names is starting to ramp in expectation of this quarter’s earnings releases;
  • You can always learn more about all our indexes at Learn More About Our Indexes.

 

Equity Index Volatility:

The S&P 500 gained 1.23% on the week despite losing ground on Tuesday (-0.45%) and Wednesday (-0.28%).

S&P 500 option prices generally fell as you can see below with only CallDex gaining ground and it was up just 0.91% as traditional seasonality kicked in; implied volatility is often low during the summer months.

While S&P 500 volatility measures are low, RiskDex is interesting because its weekly close of 3.09 suggests a slightly bullish tilt versus its historical average value of 3.77 and historical median value of 3.43.

You can learn more about RiskDex at Learn More About RiskDex;

Historical metrics (Average, median, 10th percentile, 25th percentile, 75th percentile, and 90th percentile) for all our indexes are available to subscribers at NationsIndexes.com.

Why It Matters…Historical data for all our indexes is available to subscribers at the Everything! level and they allow option traders to understand the context of the current option pricing environment. You have to understand what normal is in order to do so.

As mentioned above, Nasdaq-100 VolDex fell by 11.67% this week to close at 22.40.

You can learn more about VolDex at Learn More About VolDex.

The interesting action recently has been the divergence between S&P 500 VolDex and Nasdaq-100 VolDex.  While Friday’s closing values show Nasdaq-100 VolDex at a 79.78% premium to S&P 500 VolDex, on July 2 it was at an 89.65% premium, the largest ever recorded.  While traders expect the S&P 500 to be placid over the next 30 days, they recognize the Nasdaq-100 could be very volatile, particularly now that SpaceX (SPCX) is a constituent.

Despite this, every volatility metric on the Nasdaq-100 fell on the week.  Traders expect more movement in NDX than SPX over the next 30 days but they expect less than they did last week. 

You can learn more about TailDex at Learn More About TailDex.

Why It Matters…Traders have to have the objective data provided by our indexes to trade in a way that doesn’t rely on hunches or guesses.

Investor Optimism Index®:

The Investor Optimism Index® rose by 1.37% to close at 90.80.  Traders remain very optimistic regarding the next 30 days despite the divergence between S&P 500 VolDex and Nasdaq-100 VolDex.        

 

The index takes into account the current levels of S&P 500 VolDex, TailDex, and RiskDex and compares them to their rolling 2-year ranges. It is plotted on a 0 to 100 scale.

Our Optimism Index is now available in real-time on our home page at Nations Optimism Index.

TermDex® VolDex Term Structure:

The Nations TermDex® measure of VolDex term structure illustrates S&P 500 VolDex for various tenors.  It provides insight into both near-term and longer-term expectations for volatility in the S&P 500.

Term structure at the close on Friday (in red) was steeply upward sloping signaling little concern over the next 7-15 days.

Options Window:

The Nations Option Window® shows how option flows were driving S&P 500 option prices at fixed locations on the skew.  Since each point has a fixed delta and constant 30 day maturity, changes are a function of supply and demand rather than movement of the S&P 500 or the passage of time.

Traders were selling nearly every location on the skew and only reached to buy out-of-the-money calls.

0DTE and 1DTE Options:

S&P 500 1-Day VolDex fell by 13.50% this week to close at just 6.50 which is the 6th percentile of its 52-week range.

Very short-dated volatility measures which use a variance swap methodology, as 1-day VIX does, inject significant error into the resulting measure because of the way out-of-the-money options trade in the hours before expiration. The VolDex at-the-money methodology is particularly suited for these very short-dated tenors.

Other Asset Volatility:

Treasury Bonds and Notes:

Bond and Note yields spiked in sympathy with crude oil so Treasury Bond VolDex rose by 5.11% albeit from a very low level. Treasury Bond volatility is seasonally low during the summer months but we remain convinced that, at these prices, directional trades in Treasury Bonds should be executed using long positions in at-the-money options. This has not worked out for some months but the renewed fighting in Iran suggests there is the possibility of a surprise which would impact Treasury Bond prices.

Precious Metals:

Gold fell 0.32% this week and silver lost 1.88%.  Volatility metrics in gold were all lower with the exception of RiskDex.  30-Day RiskDex gained 3.62% so vol was lower but slightly more bearish.

Bitcoin:

Bitcoin gained 3.84% to arrest its recent slide but volatility sold off on the news.  Bitcoin VolDex fell 10.89% and is now well below 40, closing at 35.76.  VolDex closed at the 6th percentile of its 52-week range but CallDex closed at its 52-week low.

Equities:

VolDex was mixed for the names we cover as you can see although we’ve added MU, XOM, INTC, ORCL and SPCX to our coverage universe and we’ll including them in future editions of Volatility Insights.     

The 30-Day measures for several of these names now catch earnings.  For example, MSFT reports earnings on July 29 so 30-Day measures fully capture the subsequent move.  MSFT VolDex gained 4.65% for the week to close at 43.99 which is the 52-week high.  So while MSFT VolDex shows significant seasonality, as you can see, this cycle’s vol ramp is greater than the previous 3.  MSFT CallDex is also at the very top of its 52-week range.

 

Something similar is going on in META.  META VolDex gained 22.05% this week.  META is also expected to report earnings on July 29 and META VolDex closed at the 98th percentile of its 52-week range while META CallDex closed at the very top of its 52-week range.  Traders expect earnings to move markets but seem to think the moves for MSFT and META will be higher.

You can learn more about VolDex at Learn More About VolDex.

We’ll continue to comment during the week via our X account, @Nations_Indexes

Scott’s Weekly Commentary:

The renewal of hostilities with Iran hasn’t received the notice it deserves.  Iran has shown a willingness and ability to close the Strait of Hormuz and that is their most potent tactic.  I think that is likely before the month is out.  The thing we should learn from the war in Ukraine is that asymmetrical warfare is effective.  Ukraine has fought Russia to a standstill using drones, some of which have reached targets that are hundreds of miles inside Russia.  Iran is learning too.

In our equity markets, traders are bracing for a wild earnings season as we discussed with MSFT and META.  The “lean” is decidedly bullish as you can see.  When RiskDex values are this low it means that call buyers and put sellers are dominating.  We’ll see what happens but I think there is more risk lurking in the market than most people do.

 

I hope you have a safe and profitable week.

Scott

📞 312-265-6500  ·  support@nationsindexes.com
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