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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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When the Premium Went Negative — March 2020

Case Study · The Premium Goes Negative

Free to read

When the Variance Risk Premium Went Negative — March 2020

The variance risk premium is positive almost all the time. March 2020 is the case that explains why "almost" is the most important word in that sentence.

Tier: ETF + EquitiesEvent: Feb–Mar 2020Underlying: SPYReading time: 5 min

For years, selling the variance risk premium had been a quiet winner. Then COVID delivered the textbook negative print: realized volatility didn't just catch up to implied — it blew past it, and everyone short the premium paid for years of carry in a matter of days.

The setup

Into February 2020, implied vol was low and realized was lower — a comfortably positive VRP. The S&P 500 peaked on February 19. Over the next five weeks COVID drove the fastest 30% drawdown on record. The key fact for the premium: the 30-day implied readings from before the crash were forecasting the calmest of conditions, and the realized vol that actually arrived over those same 30 days was historic.

Jan – mid-Feb 2020

Implied low, realized lower. VRP comfortably positive — the carry is paying, the percentile is unremarkable.

Wed, Feb 19, 2020

Market tops. The 30-day implied here is about to be graded against the worst month in years.

Mar 9 → Mar 23

Circuit breakers; −34% to the low. Realized vol explodes far above the implied that forecast this window — VRP plunges deeply negative.

Late Mar onward

Implied stays very elevated while realized begins to fade. VRP swings richly positive again — the best carry often follows the worst print.

Realized blows past implied → VRP plunges VRP = 0 VRP (implied − realized) Feb → April 2020 positive carry crash: deeply negative VRP richest carry of the cycle

Illustrative. The premium sat modestly positive, plunged deeply negative as realized outran the implied that forecast the crash window, then rebounded to its richest of the cycle as implied stayed high and realized faded. Schematic, not a price chart.

What the VRP showed

Two lessons in one chart. First, the tail: a strategy that harvests a small positive premium most of the time carries an unbounded negative, and March 2020 is what it looks like when it fires. Second, the reversion: the moment of maximum pain was immediately followed by the most generous premium in the cycle, because implied stayed elevated while realized rolled over. The investor who survived the tail was paid handsomely to re-enter.

The lesson

The VRP's edge and its danger are the same fact: positive most days, catastrophic on a few. Size the carry for the tail you can see coming on the chart — and remember the richest premium tends to arrive right after the worst one.

Do it live

This case study is free. To replay the premium across the crash you need the history — single names via ETF + Equities, full export via Everything.

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Educational content from Nations Indexes. Event facts (the Feb 19 top, the −34% drawdown, the circuit breakers) are historical and verifiable. The figure is an illustrative recreation, not a price chart, and nothing here is investment advice.

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