Draft:VolDex

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VolDex is a closed-form measure of precisely at-the-money option implied volatility. It was created by Nations Indexes, Inc. and is calculated on a wide range of asset classes including the S&P 500, Nasdaq-100, Russell 2000, treasury bonds, gold, silver, and a range of stocks popular with option traders including Apple, Nvidia, Tesla, Microsoft and others.

As a closed-form measure, VolDex returns an explicit value for implied volatility without the iterative method traditionally used to calculate implied volatility. VolDex also measures precisely at-the-money implied volatility rather than the weighted average of all listed strike prices used by variance swap methodologies like VIX. When used with other indexes this allows market participants to deconstruct skew and comprehend changes to implied volatility in discrete regions of the range of strike prices.

This focus allows VolDex to be calculated on a wide range of tenors including 0DTE, 1DTE, 7-days, 30-days, etc. Nations Indexes currently calculates VolDex on these tenors and longer-dated tenors including 360 days. 30-day VolDex on SPY, the S&P 500 ETF, is calculated in real time and is publicly available under the ticker symbol VOLI.^[1]

As a measure of implied volatility, VolDex is an estimate of the market's expectations for realized volatility over the relevant tenor.