Nations Indexes
CallDex®
The normalized price of upside — the cost of the out-of-the-money call.
What CallDex Measures
The Nations CallDex Index measures the normalized price of the 30-day call option that is exactly one standard deviation out-of-the-money. It is important to be precise here: CallDex measures the normalized price of the call option that is one standard deviation out-of-the-money — it is not calculated in relation to at-the-money options. It tracks a specific point on the upside of the volatility curve — the cost of reaching for upside exposure.
CallDex is the first and only dedicated measure of the cost of out-of-the-money call options. As such, it reflects expectations for a rally in the underlying stock or ETF as well as the general level of expected volatility over the next 30 days. For traders who think in deltas, one standard deviation out-of-the-money corresponds to roughly a 16-delta option.
How CallDex Is Constructed
CallDex uses current option prices to locate the one-standard-deviation threshold for the two expirations that bracket the moment 30 days from today. It then interpolates a hypothetical option with exactly 30 days to expiration and a strike exactly at that one-standard-deviation out-of-the-money threshold. Finally, that theoretical option price is normalized by dividing by the forward price of the underlying, so values are comparable across time and across assets.
- Use the two expirations bracketing exactly 30 days to expiration.
- Find the strike one standard deviation out-of-the-money and interpolate the option priced exactly at that point.
- Normalize by dividing by the forward price of the underlying.
Reading CallDex
CallDex rises as the price of that out-of-the-money call rises. A rising CallDex means investors are reaching for upside — bidding up call options either to speculate on a rally or to get long volatility. Because it isolates the call side of the curve, CallDex carries information that a blended volatility measure cannot: if VolDex (which tracks at-the-money implied volatility) and a broad gauge like VIX are up but CallDex is down, you know something other traders may not.
How To Use CallDex
Because CallDex measures the cost of a specific option, traders use it as a signal: buy out-of-the-money calls when they are historically cheap and the case for a rally is strong; replace long stock with long calls when calls are inexpensive after a strong run; or sell covered calls when calls are expensive and further upside looks limited. Pairing CallDex with a moving average or other trend filter sharpens these decisions.
Combined with VolDex, CallDex adds nuance: if VolDex sits at a moderate level while CallDex is relatively elevated, that points to positive, upside-leaning sentiment.
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Educational content from Nations Indexes. VolDex®, CallDex®, PutDex®, RiskDex®, and TailDex® are registered marks of Nations Indexes. Nothing here is investment advice.
CallDex® vs. VIX
CallDex® isolates the upside of the volatility curve — the cost of out-of-the-money calls — carrying directional information a blended volatility index cannot.| Feature | CallDex® | VIX |
|---|---|---|
| Options used | One-standard-deviation OTM call options only | All strike prices, calls & puts |
| Focus | Upside directional bias + expected volatility | Pure volatility (ignores direction) |
| Use case | Gauge of bullish sentiment and the cost of upside call exposure | General fear gauge, often used for hedging / timing risk |
| Updated during the trading day | Yes — real-time | Yes |
Reading CallDex® as a Sentiment Gauge
Because CallDex® is a clean, consistent measure, its current level is most useful compared with its own history. As a rough guide, CallDex is high above the 75th percentile of its range and very high above the 90th — investors are reaching aggressively for upside, which can be a useful contrarian signal. It is low below the 25th percentile and very low below the 10th — little appetite for upside exposure. Read alongside VolDex®, PutDex®, RiskDex® and TailDex® for the complete picture.Watch: CallDex® Explained
Reading CallDex® as a Sentiment Gauge
CallDex® isolates the normalized cost of a call option that is exactly one standard deviation out-of-the-money with precisely 30 days to expiration — the first and only measure of the price of call options. When CallDex rises, traders are paying up for upside convexity, a sign of speculative optimism or expectations for a move higher. When it falls, appetite for upside exposure is fading. If CallDex is high while a broad gauge like VIX is muted, the demand is specifically for calls — information other traders miss.
CallDex® and Forward Returns
Because CallDex captures crowd demand for upside, unusually rich readings can flag optimism that has already been paid for — a contrarian caution — while washed-out readings often accompany the depressed sentiment that has preceded relief rallies. CallDex is most powerful read alongside PutDex® and RiskDex®, which together separate a pure change in volatility from a directional shift in positioning.