Vol Relative-Value Screener · Foundations

How to Read the Vol Screener

Ten columns, 24 names, one snapshot. Here is what each column is telling you and the order in which to read them.

The screener presents 24 rows and ten columns. Each cell is a live reading pulled from the Nations index store. None of them are decorative — each column adds information the others don't have. Here is what to look at and in what order.

The columns, left to right

Symbol — the underlying. Rows are sortable by any column, so "Symbol" is just the label. Sort by VRP or by z-score to start; let the sort surface the extremes.

VolDex® 30d — Nations' clean at-the-money implied vol for the 30-day tenor. This is the standard implied-vol reading: what options are pricing for the coming month. Compare across names to see which carries more absolute implied vol — but remember, level alone means nothing. A 60% implied on NVDA might be historically cheap while a 15% on IEF is historically stretched.

VolDex® 7d — the same clean at-the-money reading for the 7-day tenor. Near-term implied vol. Significantly higher than the 30d reading signals near-term event fear (earnings week, a macro print) concentrated in the front of the curve.

Term Slope — the relationship between the 7d and 30d readings: 7d minus 30d, roughly. A positive slope means the front is elevated above the back — backwardation, usually an event or stress signal. A negative slope — front below back — is contango, the normal resting shape. Watching which names have moved into backwardation is often the first tell of something brewing.

Realized 30d — the trailing 30-day realized volatility, the same annualized close-to-close standard deviation used in the Volatility Cones. This is what the underlying actually delivered over the past month. It is the baseline against which the VRP is measured.

VRP — Variance Risk Premium = VolDex® 30d minus Realized 30d. Positive VRP means implied is running above what the name has recently delivered — options are rich, sellers are being paid. Negative VRP means implied is below realized — options are cheap relative to what the name is actually doing. This is the most important cross-sectional column: sorting by VRP immediately ranks the universe from richest to cheapest.

RiskDex® 30d — Nations' directional skew ratio at the 30-day tenor. RiskDex® measures how much the market is paying for downside protection relative to upside. A high RiskDex® means put premium is elevated — the market fears a drop. A low reading means the skew is flat or even inverted — unusually little put demand. Cross-sectionally, the name with the highest RiskDex® is the one where downside fear is most acute right now.

IV Rank (1y) — where today's VolDex® 30d sits within its own trailing-year range, expressed as a percentile. 0 = lowest implied vol seen in the past year; 100 = highest. This is the time-series layer folded back into the screener. A name with a high cross-sectional VRP and a high IV Rank has a double signal: rich now and rich versus its own history. Note: these trailing-year columns require a full year of index history and currently display "—" on the page while that data is being wired in.

IV %ile (1y) — similar to IV Rank but uses the full distribution of daily readings, not just the range. In a year where vol spiked briefly at one extreme, IV Rank can overstate the current reading's position. IV %ile uses the full empirical distribution and is more robust. Same caveat: currently "—" while trailing data is connected.

VolDex z (1y) — a 1-year z-score of VolDex® 30d: today's reading minus the 1-year mean, divided by the 1-year standard deviation. A z-score above +2 is two standard deviations elevated; below −1.5 is significantly depressed. The z-score normalizes across names with very different vol levels — a z-score of +2 means the same thing for IEF as it does for NVDA, even though their absolute vol levels are miles apart. Currently "—" while trailing data is connected.

The reading order

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