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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Nations Indexes

TailDex®

The price of crash protection — the market's read on tail risk.

What TailDex Measures

The Nations TailDex Index measures the market's estimate of the likelihood of an extreme decline in price — a "tail event," generally defined as a drop of at least three standard deviations. It does so by tracking the price of deep out-of-the-money put options, the contracts traders buy to hedge against a crash. TailDex is the first and only measure of the market's perception of tail risk; it is model-free, theoretically robust, and built from current option prices rather than stale historical data.

How TailDex Is Constructed

TailDex measures the normalized price of the put option that is precisely three standard deviations out-of-the-money with precisely 30 days to expiration. Both the moneyness and the time to expiration are held constant, and the index is recalculated every 15 seconds. Crucially, the three-standard-deviation threshold is derived from the current volatility environment, so the reading always reflects today's market rather than historical averages.

  • Targets the deep, three-standard-deviation out-of-the-money put.
  • Holds moneyness and 30-day expiration constant, updating every 15 seconds.
  • Defines the tail threshold from live option prices, not stale history.

Why Tail Risk Matters

Financial returns are not normally distributed; extreme moves happen far more often than a normal distribution predicts. For monthly S&P 500 returns, tail events occur roughly 22 times more frequently than a normal distribution would imply, and they do outsized damage to long-term portfolios. The gap between how unlikely these events feel and how often they actually occur is exactly what makes TailDex valuable: it quantifies the market's standing perception of crash risk.

How To Use TailDex

TailDex is a gauge of the depth of fear. It tends to rise as uncertainty builds and to spike violently once concern turns into genuine alarm — high readings signal substantial fear, very high readings approach panic. Savvy traders watch not only the level but how quickly TailDex retreats from a spike, treating the speed of that recovery as an additional input. Combined with VolDex and PutDex, TailDex sharpens insight into how seriously the market fears a steep decline.

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.

TailDex® vs. VIX

TailDex® reads the deep, three-standard-deviation tail of the put curve — the market’s standing price on crash risk — a very different signal from a blended volatility index.
FeatureTailDex®VIX
Options usedThree-standard-deviation OTM puts onlyAll strike prices, calls & puts
FocusDownside crash-risk sentimentPure volatility (direction agnostic)
Use caseGauge of bearish sentiment and demand for tail-risk protectionGeneral fear gauge, often used for hedging / timing risk
Updated during the trading dayYes — recalculated every 15 secondsYes

Reading TailDex® as a Sentiment Gauge

TailDex® is a gauge of the depth of fear. High readings signal substantial concern and very high readings approach panic; low readings imply a calm tone and little urgency to hedge. Savvy traders watch not only the level but how quickly TailDex retreats from a spike, treating the speed of that recovery as an additional input. TailDex has historically risen ahead of major dislocations — it was elevated weeks before the 2020 COVID crash.

Watch: TailDex® Explained

Reading TailDex® as a Sentiment Gauge

TailDex® measures the price of deep out-of-the-money puts — the market’s assessment of a steep, sudden decline over the next 30 days. Rising TailDex signals growing demand for crash protection and fear of a large selloff; falling TailDex signals a calmer tone and less urgency to hedge tail risk. By focusing only on the far downside strikes, it isolates concern about extreme moves that standard volatility measures dilute.

TailDex® and Forward Returns

Because it prices black-swan protection specifically, TailDex can diverge sharply from at-the-money volatility: spikes reveal acute demand for disaster hedges, often near moments of stress, while a persistently low TailDex can indicate complacency about tail risk. It is the most sensitive member of the suite to the fear of a discontinuous move.

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