A Better Measure Of Implied Volatility
The Nations® Family of VolDex® Implied Volatility Indexes provide an improved measure of option prices and implied volatility. Nations VolDex® Indexes measure the cost of options the way practitioners do, by focusing on at-the-money options. Other measures of implied volatility incorporate a variable number of options with the constituent options changing by the second; constituent options often number in the hundreds and include many deep out-of-the-money options. The result is misleading statistical noise created by phenomena like the distance between strike prices, number of strike prices listed, the second by second change in the number of constituent options, and option skew. Nations VolDex Indexes measure the implied volatility of a precisely at-the-money option due to expire in precisely 30 days.
The underlying security for the Nations Large Cap VolDex is SPY, the S&P 500 exchange traded fund, the most liquid S&P 500 product in the world while VIX is based on the much less liquid SPX options. By measuring option cost and implied volatility the way investors and option practitioners do, the Nations Large Cap VolDex Index provides a clearer, more useful measure of option prices, implied volatility and the amount of “fear” among investors.See The VolDex Fact Sheet