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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The Variance Risk Premium, Explained

Variance Risk Premium · Foundations

Free to read

The Variance Risk Premium, Explained

Options almost always imply more volatility than actually shows up. That persistent gap — what sellers get paid and buyers pay for — is the variance risk premium.

The variance risk premium (VRP) is one of the most durable edges in markets: the difference between the volatility option prices imply and the volatility the underlying actually delivers. The Nations tool measures it cleanly — pairing each 30-day VolDex® reading against the realized vol over the same 30 days it was forecasting. Positive means the option market charged more than the market moved; negative means the move outran the price.

Implied today, realized tomorrow

The honest way to measure VRP is forward-looking. You take what implied vol was on a given day and compare it to what realized vol turned out to be over the window that implied was pricing. That's why the tool lines up today's VolDex® with the realized vol of the following 30 days: it grades the forecast against the outcome, the way a trade actually plays out.

Implied vs realized — the premium is the gap annualized vol time → VolDex® (implied) realized (next 30d) + premium (sellers paid) − premium (realized outran)

Most of the time implied (blue) sits above subsequent realized (gray) — a positive premium harvested by sellers. Occasionally realized spikes above implied and the premium goes sharply negative — the buyer's day.

Positive and negative

A positive VRP means option sellers were overpaid for risk — the market moved less than the price implied, and short-vol carry paid off. A negative VRP means realized movement outran expectations — buyers of protection won, and sellers paid up. Because the premium is positive far more often than not, selling it is a carry trade — one that works most of the time and occasionally hands back months of gains in a week.

Rich or cheap — the percentile

A raw VRP number isn't enough; what matters is whether the premium is large or small for this name. The tool ranks it with a percentile against the underlying's own history. A high percentile says the premium is unusually rich — generous to sellers; a low or negative reading says it's thin or inverted — a warning to anyone harvesting it.

How it ties to the Nations suite

VRP is the bridge between the two halves of the suite: the implied side (VolDex®, the Skew, the Term Structure) and the realized side (the Volatility Cones). VolDex® supplies the implied leg; realized vol supplies the outcome; the cone tells you whether today's implied is rich versus history. VRP puts them on one number: were you paid enough for the risk you took?

Do it live

These ideas are free. To track a live premium and its percentile: ETFs with ETF Analytics, any optionable single stock with ETF + Equities, and the full VRP history as a CSV with Everything.

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Educational content from Nations Indexes. Variance Risk Premium™ and VolDex® are marks of Nations Indexes. Diagrams are schematic. Past premium does not guarantee future outcomes, and nothing here is investment advice.

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