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CallDex is a financial index that measures the market price of out-of-the-money call options. It is published by Nations Indexes, Inc., a United States index provider. The principal index tracks the normalised cost of a call option on the SPDR S&P 500 ETF (ticker: SPY) struck one standard deviation above the prevailing market level and expiring in 30 days.[1][2]
CallDex belongs to a family of option-derived indices published by Nations Indexes, the best known of which is VolDex, a measure of at-the-money implied volatility.[3] Its counterpart for put options is PutDex, and the ratio of PutDex to CallDex is published as a separate index, RiskDex.[4] Nations Indexes calculates CallDex on a range of underlyings in addition to the S&P 500, including the Nasdaq-100, other equity indices, Treasury securities, precious metals, cryptocurrencies and individual equities.[5][2]
Methodology
[edit]CallDex is calculated from the prices of listed call options. For each of the two expirations that bracket a point 30 calendar days in the future, the index locates the strike lying one standard deviation above the current level of the underlying, where the standard deviation is derived from prevailing option-implied volatility rather than from historical price data. Prices for those two options are then interpolated to give the price of a hypothetical call with exactly 30 days to expiration.[1][6] Under a normal distribution a call struck one standard deviation out of the money has roughly a 16% chance of expiring in the money.[5]
The resulting option price is normalised so that readings can be compared across time and across underlyings trading at different price levels.[1] Versions with other tenors, including a seven-day index, are also calculated.[2]
Interpretation
[edit]CallDex rises when out-of-the-money calls become more expensive. That can reflect a general increase in implied volatility, since calls are among the instruments traders buy to establish long-volatility positions, or specific demand for upside exposure in anticipation of a rally.[1] Because broad volatility measures such as the VIX blend options across many strikes, and in equity indices are dominated by put prices, a move in CallDex can differ from a move in those measures. Nations Indexes reports that S&P 500 CallDex and PutDex diverged on a close-to-close basis on 42.2% of trading days between January 2005 and July 2025.[4]
In July 2026, CNBC cited CallDex in reporting on reduced bullish positioning in technology stocks, noting that the cost of one-standard-deviation out-of-the-money Nasdaq-100 calls had fallen from the 99th percentile of its range in May to the 58th percentile.[5]
See also
[edit]References
[edit]- 1 2 3 4 "CallDex". Nations Indexes. Retrieved 28 September 2026.
- 1 2 3 "About Our Indexes". Nations Indexes. Retrieved 28 September 2026.
- ↑ Peterseil, Yakob (20 September 2013). "Vix challenged by new volatility index". Risk.
- 1 2 "RiskDex". Nations Indexes. Retrieved 28 September 2026.
- 1 2 3 "Tech bulls lose conviction as key trading metric blows out to the widest since 2008". CNBC. 2 July 2026. Retrieved 28 September 2026.
- ↑ "Nations Large Cap CallDex Index" (PDF). Nations Indexes. Retrieved 28 September 2026.
External links
[edit]- Nations Indexes (official site)
Category:American stock market indices Category:Derivatives (finance) Category:Mathematical finance