VolDex

VolDex is a family of financial indices measuring implied volatility, developed by Nations Indexes, Inc., a Chicago-based index provider. The principal index, VOLI, tracks the implied volatility of the S&P 500 over a 30-calendar-day period using at-the-money options on the SPDR S&P 500 ETF (ticker: SPY). Nations Indexes calculates VolDex on a wide variety of underlyings including the Nasdaq-100, Russell 2000, Gold, Silver, Treasury Notes, Treasury Bonds, High-yield bonds, Volatility itself, Bitcoin, and several equities including Apple, Tesla, Microsoft, SpaceX, and others.

VolDex indices are most often compared with the CBOE Volatility Index (VIX). The primary methodological distinction is that the VIX uses a variance swap-based calculation drawing on a broad range of strike prices, while VolDex is a closed-form calculation using only options near the current market price of the underlying asset.

History

Nations Indexes, Inc. was founded by Scott Nations, a former Chicago-based proprietary options trader. The company introduced VolDex in June 2013. Writing in the financial trade journal Risk, journalist Yakob Peterseil described the launch as a challenge to the VIX's two-decade market position, noting that VolDex "only looks at the implied volatility of a precisely at-the-money option due to expire in precisely 30 days," contrasting this with the VIX, which "prices future S&P 500 variance."

In August 2013, the International Securities Exchange (ISE) filed with the U.S. Securities and Exchange Commission a proposed rule change to list options on the Nations VolDex index. The SEC published notice of proceedings in November 2013 and approved the rule change on January 28, 2014 (Exchange Act Release No. 71365, 79 FR 4512).

In 2018, Crain's Chicago Business identified VolDex as one of several products seeking to challenge Cboe's dominance in volatility products following controversy surrounding the VIX.

In 2019, Nasdaq licensed the VolDex methodology from Nations Indexes to create the Nasdaq-100 Volatility Index (VOLQ). CME Group announced futures on VOLQ in August 2020 and launched the contracts on October 5, 2020.

Methodology

VolDex is a closed-form measure of at-the-money implied volatility. The calculation uses the first in-the-money and first out-of-the-money call and put options for expirations that bracket the target tenor. For the 30-day index, this means one expiration before and one after 30 calendar days (43,200 minutes) from the moment of calculation.

Forward prices for each expiration are derived from put-call parity. These define the at-the-money level; option prices are then interpolated to yield hypothetical at-the-money put and call prices, which are combined to produce the VolDex value.

The methodology can be applied to multiple tenors and asset classes. Tenors include zero days-to-expiration (0DTE), one day, seven days, thirty days, and periods through 360 days. Asset classes include the S&P 500, Nasdaq-100, Russell 2000, U.S. Treasury bonds, gold, silver, and individual equities.

The component expirations for the 30-day index roll each Thursday morning to the Friday expirations that are approximately 29 and 36 days in the future.

Indices

VOLI (S&P 500)

VOLI is the original VolDex index, measuring 30-day implied volatility from at-the-money options on SPY, the S&P 500 ETF. It is disseminated in real time under the ticker symbol VOLI, and historical data maintained by Nasdaq covers a period beginning January 31, 2005.

See also

• CBOE Volatility Index (VIX)
• Implied volatility
• S&P 500
• Nasdaq-100

External links

• Nations Indexes (official site)
• Nasdaq-100 Volatility Index (VOLQ) Futures at CME Group