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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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S&P Rallies (3.36%) But So Does Crude (10.75%). What Options Say.

by | Apr 4, 2026 | Volatility Insights

This Week’s Edition of Volatility Insights Is Abbreviated Due To the Holiday.

The Weekly Takeaway:

  • The S&P 500 gained 3.36% this week thanks to a rally of 2.91% on Tuesday. The index is now down 3.84% for the year;
  • The Nasdaq-100 gained 3.95% this week. It is now down 4.77% for the year;
  • Crude oil futures rose 10.75% to close at 112.06;
  • S&P 500 VolDex (ticker VOLI) fell 22.86% thanks to the equity rally and closed at 20.31;
  • S&P 500 CallDex fell 39.62% this week to close at 11.10. This reinforces the idea that CallDex is a valuable contrary indicator because traders buy out-of-the-money calls when the S&P is falling sharply and they want to own volatility and sell those calls when the market turns and they need to exit those long vol positions;
  • You can learn more about CallDex at Learn More About CallDex;
  • Every 30-Day volatility metric for the S&P 500 with the exception of RiskDex was lower this week. RiskDex rose because CallDex fell so much more than PutDex. But RiskDex closing the week at 7.66 signals that traders are still deeply concerned about the direction of the S&P over the next 30 days;
  • You can learn more about RiskDex at Learn More About RiskDex;
  • VolDex on the Nasdaq-100 fell by 18.35% to close at 23.82. That is the 28th percentile of its 52-week range but as the high volatility levels experienced in April 2025 roll out of the 52-week window these percentile metrics will appear to deteriorate;
  • The yield on Treasury Notes fell by 12.7 basis points to end the week at 4.313%;
  • Volatility metrics for Treasury Bonds fell this week with the exception of RiskDex which rose 4.27%;
  • The individual equities we cover all gained at least 1.89% this week with the exception of TSLA which fell by 0.34%;
  • VolDex fell for the names we cover with the exceptions of AMZN, MSFT, and LLY;
  • The Nations Indexes Optimism Index® rose by 8.70% to close at 65.75. Our Optimism Index is always available in real-time on our home page at NationsIndexes.com;
  • You can always learn more about all our indexes at Learn More About Our Indexes.

SP VolDex 1-11-2025

SP VolDex 1-11-2025

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.

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

SP VolDex 1-11-2025

SP VolDex 1-11-2025

Nations Investor Optimism Index®:

The Investor Optimism Index® gained 8.70% this week to close at 65.75.

SP VolDex 1-11-2025

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.

SP VolDex 1-11-2025

Equities:

SP VolDex 1-11-2025

SP VolDex 1-11-2025

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