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.

Explore the Indexes ↓ See 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

Variance Risk Premium™

The persistent gap between what the options market charges for volatility and the volatility that actually shows up.

DECONSTRUCT SKEW®

Methodology

Implied today, realized tomorrow

The Variance Risk Premium (VRP) measures the difference between the volatility implied by option prices and the volatility a security subsequently delivers. When the premium is positive, option sellers were paid more for risk than the market ended up requiring; when it is negative, realized movement outran the market’s expectations.

VolDex® readings are 30-day forward-looking measures, and realized volatility is computed over the 30 calendar days immediately following that date. Aligning the two windows this way lets each VolDex® observation be compared directly against the volatility that actually materialized over the same horizon it was forecasting.

VolDex® vs. Realized Vol (30d)

Jan 15 – May 20, 2024 · annualized %

Variance Risk Premium — Summary

Latest reading per ticker · sorted by current VRP, descending. Click a ticker button above to highlight its row and update the chart.

Ticker	Current VolDex®	Realized Vol (30d)	VRP	VRP Percentile	Avg VRP

Learn

Learn the Variance Risk Premium

New to the variance risk premium, or want more from this tool? Start here.

The Variance Risk Premium, Explained

Implied minus realized — what sellers earn and buyers pay.

Read →Foundations

How to Read This Tool

The two vol lines, the premium, and its percentile.

Read →Foundations

Positive, Negative & the Percentile

The sign tells who won; the percentile tells whether to play.

Implied vs realized, matched 30 days, ranked by history.

Read →Advanced

Trading the Premium

Harvest rich carry, respect the tail, trade the percentile.

Read →Intermediate

Case study: The premium goes negative, Mar 2020

Realized blows past implied — a year of carry repaid.

Read →Intermediate

Case study: The carry and the crash, 2017

A year of rich premium, and the session that paid it back.

Read →Advanced

Get told when the premium gets rich — or inverts.

Read →Foundations

This Week’s VRP Read

Who’s rich, who’s thin, who’s inverted across the ETFs.

Read →Foundations

Quick answers and the vocabulary, defined.

Learning Center › Vol Risk Premium & Variance

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