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 with the Implied Distribution

Risk-Neutral Density · Advanced

Free to read

Trading with the Implied Distribution

The density is a pricing map. Fat left tail, two humps, compressed right tail — each shape points to a different positioning question and a different structure to express it.

A risk-neutral density is not a trading signal in the sense of "buy here." It is a pricing map — a picture of what the options market is charging for each outcome zone. The trade is the difference between what you believe and what the market charges. Here is how to read that map for four common shapes.

Fat left tail — crash fear priced in

When the density's left tail is visibly fatter than the right — significantly more probability mass assigned to large downside moves than to equivalent upside — put protection is expensive. The options market is already pricing the crash. Structures that buy that tail pay a high risk premium; structures that sell it collect that premium but carry the tail itself. A useful read: use the CDF to measure the implied probability of finishing below a specific strike. If the density implies a 15% probability of a 20% decline and your own estimate is lower, selling that tail via a put spread (defined risk) harvests the gap. If your estimate is higher, the tail is cheap to you and owning it makes sense. The density lets you compare market pricing to your view, strike by strike.

Compressed right tail — rally priced out

An extremely fat left tail is almost always paired with a compressed right tail: the market that fears a crash also prices out a large rally. That compression makes call options cheap in relative terms. A trader who is not bearish on the underlying but sees a sharply compressed right tail can consider owning upside optionality — a call spread that spans the compressed right-tail zone — while the market's attention is on the downside. The density makes this asymmetry explicit in a way a scalar implied vol never does.

Density shapes and what they point to strike → fat left tail → puts expensive compressed right → calls cheap mode call spread zone

Crash-fear density: fat left tail means put protection is expensive (collecting that premium → short put spread); compressed right tail means calls are relatively cheap (buying upside → long call spread). The density shows both in one picture. Illustrative.

Bimodal — betting on the binary

A two-humped density means the market is pricing two distinct scenarios. The implied odds are in the relative area under each hump: if the left hump (bad outcome) carries 40% of the area and the right hump (good outcome) carries 60%, the market is at 40/60. If you believe the true odds are 30/70, the right hump is underpriced: buying calls centered on the right hump's mode is a direct expression of your disagreement with the market's probability. If you see the reverse, puts on the left hump's mode are the vehicle. The density gives you the specific price levels and implied odds; the trade is the spread between your probability and the market's.

Using the CDF for probability-based strikes

The CDF view converts the density into a cumulative probability. Toggle it on and hover over any strike to read the implied probability of finishing below that level. Equivalently, 1 − CDF(K) is the implied probability of finishing above K, and CDF(K₂) − CDF(K₁) is the probability of finishing inside a range. Those numbers are the raw material for probability-based strike selection in spreads and condors, and for comparing market-implied probabilities to your own estimates or to model outputs.

The caveat that always applies

The density is risk-neutral — it includes risk premia that systematically inflate the left tail above the physical probability. A CDF reading of "15% chance of a 20% decline" is not a statistical forecast; it is the market's risk-neutral pricing. Use it to find mis-priced options, not to forecast the market.

Do it live

The trading framework is free. To read the live density and CDF on your names: ETFs with ETF Analytics, single stocks with ETF + Equities, density export with Everything.

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

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