Nations Indexes

VolDex®

The clean, at-the-money read on implied volatility — the starting point for deconstructing skew.

What VolDex Measures

The Nations VolDex Index is a refined measure of option-implied volatility built the way professional option traders actually think: it focuses on at-the-money options, the most actively traded and most informative strikes in any expiration. By isolating the at-the-money read, VolDex gives a clean, intuitive picture of expected volatility over the next 30 calendar days without the noise introduced by far out-of-the-money strikes.

VolDex was launched in 2005 and is calculated across five broad asset classes — equities, fixed income, precious metals, cryptocurrency, and volatility itself — as well as on the largest, most important, highest-option-volume U.S. stocks.

How VolDex Is Constructed

VolDex targets precisely at-the-money implied volatility at exactly 30 days to expiration. To do that, it uses the first in-the-money and first out-of-the-money call and put options for the two weekly expirations that bracket the moment exactly 30 days in the future. Those components are interpolated into a mathematically robust, closed-form measure of at-the-money implied volatility — no iterative root-finding required.

Nations also publishes 7-day versions for traders focused on shorter-dated expirations or looming catalysts, and a 1-day version of VolDex for the S&P 500.

VolDex vs. VIX

VolDex isolates a single, well-defined point on the volatility surface: the at-the-money strike. The widely followed VIX, by contrast, blends a large and variable number of out-of-the-money strikes — many of which trade rarely — into one value using a variance-swap methodology. That blending obscures what is actually moving the market. When a broad index rises, you cannot tell whether at-the-money options, deep out-of-the-money puts, or calls are responsible, yet each tells a very different story. VolDex removes that ambiguity by measuring the cleanest, most liquid part of the curve.

Deconstruct Skew®

Because VolDex pins down the at-the-money level, it becomes the anchor that lets traders Deconstruct Skew® — comparing the at-the-money read against the cost of out-of-the-money calls and puts to see exactly which part of the option market is moving and why. VolDex is where that analysis begins.

How To Use VolDex

Because VolDex is a robust, consistent measure of at-the-money implied volatility, its current level can be compared against its own history to gauge whether volatility is historically rich (a sign of fear) or cheap (a sign of complacency). That context helps traders choose appropriate option strategies and time entries and exits.

VolDex can also be compared across asset classes to gauge relative sentiment and to structure relative-value trades in the option space. Combined with the other Nations indexes, it delivers complete but nuanced insight into market expectations for the coming 30 days.

Watch: VolDex® Explained

Reading VolDex as a Sentiment Gauge

Because VolDex® is a clean, consistent measure, its current level is most useful compared with its own history. As a rough guide: high is above the 75th percentile of its historical range and very high above the 90th (elevated fear); low is below the 25th percentile and very low below the 10th (complacency). Read alongside CallDex®, PutDex®, RiskDex® and TailDex®, VolDex gives a complete but nuanced picture of what the options market expects over the next 30 days.

VolDex and Forward Returns

Because VolDex measures sentiment, it has historically carried information about what comes next. Grouping S&P 500 VolDex into deciles, the average subsequent 21-trading-day return of the S&P 500 has been:

Historical averages for the S&P 500 (SPY); descriptive, not a forecast. Past results do not guarantee future returns.

Live readings and full history are available with a subscription →

Educational content from Nations Indexes. VolDex®, CallDex®, PutDex®, RiskDex®, and TailDex® are registered marks of Nations Indexes. Nothing here is investment advice.