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 Vanna & Charm

Trading

Free to read

Trading Vanna & Charm

Vanna tells you what a vol move will do; charm tells you what the calendar will do. Position ahead of the flow, and know when it expires.

Vanna and charm are anticipatory tools. They don't tell you direction outright — they tell you what dealer hedging will do if vol moves or as time passes, so you can be early to the flow instead of chasing it.

Vanna → trade the vol-crush bid

When implied vol is elevated and a resolution is in sight — an event about to pass, a fear premium set to drain — heavy net dealer vanna is a coiled bid. The play is to anticipate the vanna rally: be positioned for the grind higher as vol falls, rather than fighting a market that won't go down. And know the other side — once the vol has crushed and the vanna is spent, that mechanical bid is gone, and the tape can turn.

Charm → trade the OPEX drift and release

Into a heavy monthly expiration, net dealer charm supplies a steady, supportive bid that intensifies as the date nears — the quiet drift. Two trades fall out: lean with the drift in the calm days before OPEX, and respect the post-OPEX release, when the expiring open interest rolls off and the support that pinned the tape disappears. The charm profile tells you when the support is strongest and when it ends.

House rule — heuristics, not certainties

Vanna and charm are estimates of dealer positioning under a sign convention, and the flows interact with everything else in the market. Use them to anticipate the direction and timing of hedging pressure — not as standalone signals — and size for the possibility that real flow overwhelms the mechanics.

Read them with gamma and the vol tools

The three dealer flows work together. Gamma governs how hedging reacts to price; vanna and charm govern vol and time. And the implied-vol tools tell you when vanna will fire: the Option Window shows the vol crush in real time, and the Event Vol tool tells you when an event is about to resolve and crush. Stack them: an event about to pass + heavy vanna + supportive charm into OPEX is a powerful, layered setup.

Reading
The trade it points to
Heavy vanna, vol set to fall
Anticipate the vanna rally; lean long into the crush, exit as it's spent.
Heavy charm into OPEX
Lean with the drift; respect the post-OPEX release.
Big concentration strikes
The levels where vol/time flow is strongest — magnets and triggers.
Flat tape, vol sliding
Vanna/charm are buying even though gamma is quiet — don't fade blindly.
Do it live

The playbook is free. To map vanna & charm on your names: ETFs with ETF Analytics, single stocks with ETF + Equities; backtest with Everything.

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Educational content from Nations Indexes. Tactics described are educational illustrations of how the profiles map to options trades; they are not recommendations. Vanna and charm are heuristics, not flow models. Nothing here is investment advice.

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