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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Variance Risk Premium FAQ & Glossary

Reference

Free to read

Variance Risk Premium FAQ & Glossary

Quick answers on implied vs realized, the sign, and the percentile — each with a picture — plus the vocabulary, defined.

Frequently asked

What is the variance risk premium?

The gap between the volatility options imply and the volatility the underlying actually delivers. The tool measures it as the 30-day VolDex® reading minus the realized vol over the same 30 days it was forecasting. Positive means sellers were overpaid; negative means the move outran the price.

implied − realizedimpliedrealized
Why is implied usually above realized?

Because investors pay up for protection. Persistent demand for options as insurance keeps implied vol structurally above the volatility that typically shows up — sellers earn a premium for bearing the risk. That structural overpricing is the premium's source.

insurance demandimpliedrealized
What does a positive VRP mean?

Option sellers were overpaid for risk — the market moved less than the price implied, and short-vol carry paid off. The premium is positive most of the time; harvesting it is a carry trade.

positive = sellers paid+ premium
What does a negative VRP mean?

Realized movement outran what was priced — buyers of options won and sellers paid up. Negative readings are rare but severe; they're the tail that makes selling the premium dangerous.

negative = realized outran− premium
Why match implied to the next 30 days?

Because that's what the implied reading was forecasting. A 30-day implied vol is a prediction about the next 30 days; grading it against the realized vol of those same days is the honest, forward way to measure the premium — the way a trade actually resolves.

forward alignmentimplied (t)realized t → t+30
What's the VRP percentile?

A rank of today's premium against the name's own history. High percentile = unusually rich premium (generous to sellers); low or negative = thin or inverted. It's the number you actually trade off, because it normalizes the premium across names and regimes.

rich / cheap rank78th = rich
Is a rich VRP a sell signal?

It's an edge, not a guarantee. A high-percentile premium says the market is overpaying versus history — favorable for sellers. But the most recent reading is provisional (its realized window isn't finished), and the premium carries a severe negative tail. Size for it.

edge, not certaintyrich carrytail
Why is selling the VRP risky?

Because its payoff is asymmetric: many small positive readings and a few large negative ones. Selling it is being paid to insure a risk that rarely shows up but is severe when it does — so a single event (March 2020, Feb 2018) can hand back months of carry. Defined risk is essential.

small gains, big tailthe print
Which underlyings are covered?

ETFs on the ETF Analytics tier; any optionable single stock on ETF + Equities. The full VRP history is available as a CSV export on the Everything tier.

CoverageETFssingle stocksCSV @ Everything
How does it relate to the cone and the other tools?

VRP joins implied and realized on one number. The Volatility Cones ask whether implied is rich versus realized history; VRP answers it with the actual realized outcome and a sign. VolDex® supplies the implied leg; the Skew and Term Structure give its shape.

implied meets realizedVolDex® impliedrealizedVRP
Does VRP predict the future?

No. It measures how generous the premium has been and ranks it versus history. A rich percentile describes a favorable distribution, not a guaranteed outcome — and the next print can be the negative tail. Context for sizing carry, not a forecast.

context, not forecasthistory, not tomorrow?

Glossary

Variance risk premium

Implied vol minus the realized vol that follows — what sellers get paid and buyers pay for.

Implied volatility

The volatility option prices imply for the future. Here, the 30-day VolDex® reading.

Realized volatility

The annualized standard deviation of returns that actually occurred over the matched window.

VolDex®

Nations' clean at-the-money implied-vol reading — the implied leg of the premium.

Carry

A strategy paid to bear a risk that rarely shows up — the character of selling the VRP.

VRP percentile

The rank of today's premium against the name's own history — rich versus cheap.

Forward window

The next 30 days the implied reading was forecasting; it makes recent VRP provisional.

Tail risk

The rare, large negative VRP that pays back a long run of positive carry.

Short vol

Being a net seller of options to harvest the premium — the typical VRP trade.

Mean reversion

The premium's tendency to swing richly positive after a negative print, and thin after a long rich run.

Do it live

Free reference. The tool and its data come with a plan — ETFs (ETF Analytics), single names (ETF + Equities), full history (Everything).

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Educational content from Nations Indexes. Variance Risk Premium™ and VolDex® are marks of Nations Indexes. Diagrams are schematic. Click any diagram to enlarge it. Nothing here is investment advice.

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