The people at nations.com are creating the next generation of implied volatility indices, spectacular indeed.

The TDEX’s (https://nations.com/wp-content/uploads/2020/01/Nations-TailDex-Tail-Risk-Indexes.pdf) construction is unique and my favorite.

The TCs of the TDEX vs. the SP500. Got to think bi-dimentionally (along side price) to really understand it’s message.

Now VOLI (https://nations.com/wp-content/uploads/2020/01/Nations-Large-Cap-VolDex-Index.pdf, similar to the VIX+OYM options.) The (SP500/VOLI) below.

The TCs applied to VOLI (2005 - now.) The trip from extreme fear (11/08) to extreme greed (8/21.)

The TCs applied to SDEX (https://nations.com/wp-content/uploads/2020/01/Nations-SkewDex-Index-Fact-Sheet.pdf, 2005 - now.)