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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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The Vol Crush — Vaccine Monday, Nov 9, 2020

Case Study · The Vol Crush

Free to read

The Vol Crush — Vaccine Monday, Nov 9, 2020

If March 2020 is the Window lifting, Vaccine Monday is the Window collapsing: a single headline that drained the fear premium out of the entire surface in one session.

Tier: ETF + EquitiesEvent: Nov 9, 2020Underlying: SPYReading time: 5 min

The most useful days for the Option Window are the ones where a feared uncertainty resolves. November 9, 2020 is the textbook example — a relief gap that repriced the surface down, hardest in the places that had been carrying the most fear.

The setup

Markets had spent autumn 2020 carrying two overlapping uncertainties — the U.S. election and the pandemic. Before the open on Monday, November 9, news of roughly 90% vaccine efficacy hit the tape. Equity index futures gapped sharply higher and a violent rotation began. Crucially, two big unknowns had just narrowed at once — and option premium that had been priced for that uncertainty no longer needed to be there.

Late Oct → Fri, Nov 6, 2020

Elevated surface: vol bid for the election and the pandemic. The Window had been lifting; premium sat rich across strikes.

Mon, Nov 9, 2020 — open

Vaccine news; a large up-gap and rotation. The Window prints a broad negative curve — the whole surface repriced cheaper as the fear premium drained.

Nov 9 — the shape

The wings collapse the most: far-OTM puts, which had carried the tail premium, get re-marked sharply lower. Skew flattens.

A relief day — the surface crushes 0% % change vs prior close −3σ−1σATM+1σ put wing crushed the most calls dip less

Illustrative. The whole surface repriced lower (a vol crush), with the put wing falling the most as tail-fear premium drained and skew flattened. Schematic, not a price chart.

What the Window flagged

The mirror image of a crash. A broad negative curve said vol was being sold across the board; a put wing that fell more than the body said the market was specifically unwinding tail protection — skew flattening, TailDex® dropping. For anyone short premium, the Window was a real-time picture of the crush working; for anyone long protection, it was the moment the insurance stopped paying.

The lesson

When a feared event resolves, the Window shows the relief as a downward curve — deepest where the fear had been priced. The shape tells you it's a tail unwind, not just a quiet drift lower.

Do it live

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

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Educational content from Nations Indexes. Event facts (the Nov 9, 2020 vaccine-efficacy announcement, the equity gap and rotation) are historical and verifiable. The figure is an illustrative recreation, not a price chart, and nothing here is investment advice.

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