Vol Relative-Value Screener · Advanced
Free to readHow the Screener Ranks Vol
Every number in the screener comes from the Nations index store. Here is exactly what each column computes, where the data comes from, and what the three trailing-year columns currently don't show.
The screener is not an approximation. Every cell is a live pull from the Nations index engine — the same indices used across the full Nations suite. Understanding the computation behind each column tells you what the number means and, equally important, what it doesn't.
VolDex® 30d and VolDex® 7d
VolDex® is Nations' clean at-the-money implied volatility index. Unlike broad implied-vol readings that include the full skew surface, VolDex® targets the at-the-money point — the price at which put and call premiums are most symmetric — and holds tenor constant at either 30 calendar days or 7 calendar days using standard interpolation between listed expirations. It is annualized, making it directly comparable across names regardless of their absolute price level.
VolDex® reads the at-the-money implied vol from the skew surface. It ignores puts and calls that are away from spot, giving a clean level reading that is directly comparable across names.
Term Slope
Term Slope is computed as VolDex® 7d minus VolDex® 30d — effectively, the slope of the two-point implied-vol term structure for each name. A positive value means the 7-day implied is running above the 30-day implied, which is backwardation: the near-term is more expensive than the longer tenor. This almost always signals a specific event sitting inside the 7-day window — an earnings date, a major macro release, an FOMC meeting. A negative value — 7d below 30d — is the normal contango shape: the market sees calm in the near term but prices more uncertainty further out. When Term Slope flips from negative to positive on a name, something has entered the window.
Realized 30d
Realized vol for the screener uses the same computation as the Volatility Cones: the annualized standard deviation of trailing daily log returns over 30 calendar days, scaled by √252. Formally: take each close-to-close return, compute the standard deviation of the last 30 days' worth of returns, multiply by √252. This puts realized vol in the same annual unit as VolDex®, making the VRP difference meaningful.
Variance Risk Premium (VRP)
VRP = VolDex® 30d − Realized 30d. It is the premium the options market charges above what the underlying has recently delivered. A positive VRP means sellers receive more than the name has paid out: options are rich. A negative VRP means realized vol is running above implied — either the market underestimated this name's recent moves, or implied vol has lagged a vol expansion — and options are cheap relative to what the name is actually doing. VRP is the primary cross-sectional ranking signal because it is already normalized: you can directly compare a +8% VRP on TSLA to a +2% VRP on SPY without adjusting for their different absolute levels.
RiskDex® 30d
RiskDex® is Nations' directional skew ratio — the 30-day index of how much the market is pricing downside optionality relative to upside. A higher RiskDex® means out-of-the-money put premium is elevated relative to comparable calls. Across the screener, comparing RiskDex® readings cross-sectionally tells you where directional fear is most concentrated right now: the name with the highest RiskDex® is the one the market is most actively buying downside protection on.
IV Rank (1y), IV %ile (1y), and VolDex z (1y) — and why they show "—"
These three columns require a trailing 12-month history of daily VolDex® readings for each symbol. IV Rank is computed as (today's VolDex® − 1y low) ÷ (1y high − 1y low) × 100, giving a position within the year's range. IV %ile is the empirical percentile of today's reading within the full distribution of daily values over the past year — more robust to spikes than rank. VolDex z is a z-score: (today's reading − 1y mean) ÷ 1y standard deviation, normalized so that a +2.0 z means the same thing for IEF as for NVDA.
These three columns are currently not yet wired into the live page — they display "—" rather than a calculated value. This is intentional and honest: the index history pipeline is still being connected. When that data is live, these columns will provide the time-series layer on top of the cross-sectional ranking, and the combination (rich cross-sectionally and historically elevated) will be the strongest signal in the tool. Until then, use the live columns — VRP, Term Slope, RiskDex® — which are fully operational.
Displaying a "—" is more useful than displaying a made-up number. The three trailing-year columns will show real computed values when the history pipeline is fully connected. In the meantime, the VRP, VolDex® readings, and RiskDex® are all live and fully informative for cross-sectional ranking.
The methodology is free. To run the live computation across all 24 names: ETFs with ETF Analytics, single names and metal/crypto ETFs with ETF + Equities, and the full trailing history for rank, percentile, and z-score with Everything.
See plans →Educational content from Nations Indexes. VolDex® and RiskDex® are registered marks of Nations Indexes. VRP is computed as VolDex® 30d minus trailing 30-day realized vol, annualized; diagrams are schematic. Nothing here is investment advice.