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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Volatility Cones, Explained

Volatility Cones · Foundations

Free to read

Volatility Cones, Explained

One implied-vol number tells you what options cost today. A volatility cone tells you whether that price is high or low for this asset — measured against its own history, at every horizon.

A volatility cone is one of the oldest tools on a volatility desk — Burghardt and Lane described it in 1990 — and it answers a question a single vol reading can't: compared to its own past, are this underlying's options expensive, cheap, or fairly priced? It does that by plotting the full historical distribution of realized volatility across a range of horizons, then dropping today's implied vol on top.

The shape is the whole point. Plot realized vol for short windows and it scatters all over the place; plot it for long windows and it averages out to something steady. So the distribution is wide on the left and narrow on the right — a cone lying on its side.

A volatility cone — realized vol by horizon 60%40%20% annualized realized vol 7d30d90d180d252d horizon (trading days) VolDex® implied — above the 75th = RICH

The cone is widest at short horizons (realized vol is jumpy week to week) and narrows as the window lengthens (it averages out). The shaded band is the 25th–75th percentile; the bold line is the median; the faint outer lines are min and max. The amber dot is where today's VolDex® implied vol sits — here, above the 75th, so options are RICH versus this asset's own history.

What the cone answers

Today's VolDex® reading might be 22%. Is that high? On its own, you can't say. Drop it on the cone and the answer is immediate: if 22% sits above the 75th percentile of where realized vol has actually lived at that horizon, options are RICH — you're being paid a premium to sell vol. If it sits below the 25th, they're CHEAP — protection is on sale. In between is fairly priced.

Why it's a cone, not a line

Short-horizon realized vol is volatile: a single gap or a quiet week swings the 7-day reading hard, so its historical range is wide. Long-horizon realized vol smooths over many days, so the 252-day reading barely moves and its range is tight. That convergence — wide mouth, narrow tip — is the cone, and it's why a 7-day reading and a 252-day reading have to be judged against different yardsticks. "High" for the one-week window is a different number than "high" for the one-year window.

How it ties to the Nations suite

The cone is built from realized vol, but the dot on top is Nations VolDex® — the clean at-the-money implied-vol reading. The cone supplies the historical context VolDex® alone can't: it turns "implied vol is 22%" into "implied vol is rich at the 1-month horizon and fair at the 1-year horizon." That gap between horizons is itself a term structure of cost — the same idea the VolDex® Term Structure tool reads on the implied side.

Do it live

These ideas are free. To pull a live cone yourself: ETFs with ETF Analytics, any optionable single stock with ETF + Equities, and the full realized-vol history as a CSV with Everything.

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Educational content from Nations Indexes. VolDex® is a registered mark of Nations Indexes. Diagrams are schematic. Nothing here is investment advice.

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