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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Trading the Variance Risk Premium

Trading

Free to read

Trading the Variance Risk Premium

Rich premium pays you to sell volatility; thin or negative premium tells you to stand down. The percentile is the dial — the tail is the constraint.

Trading the VRP is trading carry: you're paid to sell a risk that rarely shows up. The whole craft is harvesting the premium when it's generous and respecting the tail that pays it back.

Rich percentile → harvest the premium

When VRP is positive and ranks high in its percentile, the option market is overpaying for risk relative to this name's own history — the setup to be a net seller of volatility. Defined-risk short-premium structures express it: iron condors, credit spreads, short strangles with wings. You're collecting the spread between rich implied and likely-lower realized, sized for the fact that the spread is collected slowly and can be lost quickly.

Thin or negative → stand down or own it

When the premium is thin, low-percentile, or negative, you're no longer being paid enough to sell — and if it's negative, realized is already outrunning implied. That's the time to reduce short-vol exposure, or to be a buyer of volatility: a negative premium after a long calm is exactly the configuration that precedes the worst short-vol days.

House rule — the carry has an unbounded tail

Selling the VRP is selling insurance. Every short-premium structure is defined-risk and sized for a March-2020-style print, not the average month. The premium's history is mostly small green; the risk lives in the rare large red. Trade the body, survive the tail.

The percentile is the position sizer

Don't trade the raw VRP — trade the percentile. A premium in the top decile of its history justifies a fuller short-vol position; a middling percentile justifies a small one; a low or negative percentile justifies none. Because the percentile normalizes across names, it lets you compare the carry on SPY against the carry on a single stock and put the size where the premium is richest.

Reading
The tactic it points to
Positive, high percentile
Sell premium — defined-risk condors / spreads, sized for the tail.
Positive, mid percentile
Smaller short-vol; the edge is real but ordinary.
Thin / low percentile
Stand down — not paid enough to sell.
Negative
Reduce shorts or own vol — realized is outrunning implied.

Reading VRP with the rest of the suite

VRP is the realized-versus-implied verdict; the other tools shape the trade. The Volatility Cones confirm whether implied is rich versus history before you sell it; the Skew Deconstruction tells you which strikes carry the premium; dealer gamma tells you whether hedging will amplify the move you're short. Premium, shape, and flow — one position.

Do it live

The playbook is free. To rank the premium across your names: ETFs with ETF Analytics, single stocks with ETF + Equities; backtest the carry with Everything.

See plans →

Educational content from Nations Indexes. Structures described are educational illustrations of how premium readings map to options trades; they are not recommendations. Nothing here is investment advice.

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