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 Vol Relative-Value Screener, Explained

Vol Relative-Value Screener · Foundations

Free to read

The Vol Relative-Value Screener, Explained

Every other Nations tool asks: is this name's vol high or low versus its own history? The Screener asks something different: right now, which names are the richest and which are the cheapest — across the whole universe?

There are two axes on any vol relative-value question. The first is time-series: is AAPL vol high today compared to where AAPL vol has been? That's what the Volatility Cones, the VRP tool, and the Term Structure tool answer. The second is cross-sectional: across all names available right now, who is the richest and who is the cheapest? That is what the Vol Relative-Value Screener answers, and it is the only Nations tool that works that way.

The screener ranks the full Nations universe — 24 symbols, from mega-cap tech to small-cap equity, from bond ETFs to precious metals and crypto — by a set of live implied-vol readings, realized vol, the Variance Risk Premium (VRP), and skew. One screen, everything ranked, cross-sectionally. The tagline is simple: where is volatility rich, and where is it cheap?

Cross-sectional vs time-series relative value Time-series (other tools) AAPL today vs AAPL history one name, over time Cross-sectional (Screener) all names, one moment in time NVDA TSLA SPY IEF GLD ← richest ← cheapest all names, right now

Time-series tools (left) rank one name against its own history. The Screener (right) ranks all names against each other at a single moment — cross-sectional relative value.

The universe

The screener covers 24 symbols drawn from across the options market. Fourteen are single names — the mega-cap and high-activity names where vol is richest and most tradeable: AAPL, MSFT, NVDA, AMZN, GOOGL, META, AVGO, TSLA, LLY, JPM, WMT, BRKB, AMD, and PLTR. Four are equity-index ETFs: SPY, QQQ, IWM, and EEM. Three are fixed-income ETFs: IEF, HYG, and TLT. Three are precious-metal and crypto ETFs: GLD, SLV, and IBIT. Together they span the volatility surface from the quietest bond ETF to the most event-driven single stock.

What the screener is not

The screener does not rank AAPL against its own history — that's the Cones tool. It does not rank AAPL's 30-day implied against its 7-day implied — that's the Term Structure. It does not deconstruct earnings vol from diffusive vol — that's the Event Vol tool. The screener's one job is to take a snapshot of the entire universe and sort it. At 9:45 a.m., which name has the highest VRP? Which name's vol is at the highest z-score relative to the last year? That is the screener's answer, and nothing else in the Nations suite provides it.

The core insight

Cross-sectional relative value is how vol desks think about the universe. Not "is NVDA vol high?" but "is NVDA vol high relative to TSLA and AAPL?" The screener gives you that comparison in one place, updated live.

How it connects to the rest of the suite

Use the screener as the first filter. Find the richest and cheapest names cross-sectionally, then go deeper on those specific names with the time-series tools — the Cones for historical percentile, the Term Structure for tenor curve shape, the Skew for put/call distribution. The screener opens the door; the other tools tell you if the signal holds up under closer examination.

Do it live

These ideas are free. To run the live screener across all 24 names: equity-index and fixed-income ETFs with ETF Analytics, single names and metal/crypto ETFs with ETF + Equities, and the full index history for IV Rank, IV %ile, and z-score with Everything.

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Educational content from Nations Indexes. VolDex® and RiskDex® are registered marks of Nations Indexes. Diagrams are schematic. Nothing here is investment advice.

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