Your Week’s Volatility Market Commentary — Make Information Your Edge

The Weekly Takeaway:

• The S&P 500 gained 0.10% this week. It is now up 16.20% for the year;
• The Nasdaq-100 gained 0.59% this week. The index is now up 20.63% for the year;
• S&P 500 VolDex (ticker VOLI) closed at 12.04, a decline of 5.35% for the week. That is just the 4th percentile of its 52-week range;
• S&P 500 TailDex (ticker TDEX) closed at 14.23, a gain of 2.45%. This follows last week’s gain of 12.47%. Clearly some investors are worried about a sizeable decline in the S&P 500 over the next 30 days and are buying protection. Nonetheless, it is at just the 14th percentile of its 52-week range. Important historical metrics for all our indexes including average, median, and critical percentile closes are available to subscribers at NationsIndexes.com;
• S&P 500 PutDex closed at just the 5th percentile of its 52-week range so at-the-money options (VolDex) and out-of-the-money put options (PutDex) are cheap;
• VolDex on the Nasdaq-100 fell by 10.23% to close at 16.12. That is the 5th percentile of its 52-week range despite significant concern regarding the short-term path for AI stocks;
• Every volatility metric on the Nasdaq-100 fell on the week with the exception of 7-Day RiskDex;
• 7-Day VolDex on the Nasdaq-100 fell to its 52-week low. You can learn more about VolDex at Learn More About VolDex;
• The yield on Treasury Notes fell by 4.3 basis points. This week’s closing yield was 4.151%. Every volatility metric on U.S. Treasury Bonds fell on the week and VolDex fell 15.64% to just 9.28;
• Bitcoin fell slightly for the week and Bitcoin VolDex rose by 2.73% to 44.90;
• VolDex for individual names was generally lower in sympathy with the broad market. VolDex was higher on the week for just JPM and LLY;
• The Nations Indexes Optimism Index® rose by 4.97% to close at 82.95 which expresses substantial optimism. Our Optimism Index is always available in real-time on our home page at NationsIndexes.com;
• You can always learn more about all our indexes at Learn More About Our Indexes;

Equity Index Volatility:

The S&P 500 gained 0.10% this week as solid gains on Thursday and Friday reversed losses from earlier in the week. The market was strong on those days thanks to benign unemployment and inflation data.

S&P 500 volatility was generally lower although TailDex rose slightly. CallDex was the other gainer, rising 13.48% as traders scrambled to buy out-of-the-money calls to get defined-risk bullish exposure through the next 30 days.

S&P 500 PutDex fell by 4.96% to just 53.62 which is just the 5th percentile of its 52-week range. Investors who are worried about a downdraft in the S&P 500 once we’re into 2026 and investors take some profits should consider buying protective puts or put spreads to take advantage of low PutDex levels.

You can learn more about PutDex here.

Historical metrics (Average, median, 10th percentile, 25th percentile, 75th percentile, and 90th percentile) for all out indexes are available to subscribers at NationsIndexes.com.

Why It Matters…Historical data for all our indexes is available to subscribers at the Everything! level and they allow option traders to understand the context of the current option pricing environment – the current environment, while not unique, is unusual. Volatility is mean-reverting and that is a phenomenon traders can take advantage of in both directions. But you have to understand what normal is, what the “mean” is, in order to do so.

Nasdaq-100 VolDex fell by 10.23% and PutDex fell by 8.36%.

Why It Matters…Traders have to have the objective data provided by our indexes to trade in a way that doesn’t rely on hunches or guesses.

Nations Investor Optimism Index®:

The Investor Optimism Index® rose by 4.97% to 82.95 which says the market is very optimistic for the S&P 500 for the next 30 days.

The index takes into account the current levels of S&P 500 VolDex, TailDex, and RiskDex and compares them to their rolling 2-year ranges. It is plotted on a 0 to 100 scale.

Our Optimism Index is now available in real-time on our home page at Nations Optimism Index.

1DTE Options:

S&P 500 1-Day VolDex fell by 17.52% to 6.85. That is just the 2nd percentile of its 52-week range so traders expect very little realized volatility on Monday.

Very short-dated volatility measures which use a variance swap methodology, as 1-day VIX does, inject significant error into the resulting measure because of the way out-of-the-money options trade in the hours before expiration. The VolDex at-the-money methodology is particularly suited for these very short-dated tenors.

VolDex Term Structure:

VolDex term structure is normal and upward sloped. This signals very little concern for the next 15 days as you would expect with the holiday season approaching.

Other Asset Volatility:

Treasury Bonds and Notes:

Volatility metrics for Treasury bonds were lower across the board this week as the data catalysts passed uneventfully.

Treasury Bond implied volatility remains VERY low. Treasury Bond VolDex and CallDex closed at their 52-week lows and PutDex closed at the 1st percentile of its 52-week range.

Owning out-of-the-money treasury bond call options can be an effective edge for an equity portfolio since bond prices tend to rise if equities stage a sharp selloff. Treasury Bond CallDex is historically low so investors should consider this trade now.

Why It Matters…We still believe the ability to buy at-the-money Treasury bond options at historically low prices is a unique opportunity given the risks currently present. It can be frustrating for traders to be buying volatility when it is very low and not have it be profitable but it is the disciplined trade.

Regardless, short volatility structures in treasury bonds are to be avoided.

Bitcoin:

Bitcoin fell by 2.70% and closed the week below $88,000. Last week we pointed out that that week’s gain “of just 0.90% would be fairly described as anemic.” The weakness continued and volatility metrics were generally higher.

Bitcoin VolDex rose by just 2.73%.

Interestingly, Bitcoin CallDex rose by 11.13% to close at 105.20.

Precious Metals:

Gold gained another 0.91% on the week and silver gained 8.55%. Despite this, every volatility metric in gold was lower on the week.

Volatility was mixed in silver as you can see.

Silver CallDex continues to modulate after its explosive rally.

Equities:

We have expanded the list of single names we cover to include not only the most dynamic stocks in the S&P 500 and the stocks with the highest option volume, but also the largest names in the S&P 500.

VolDex fell on nearly all equities we cover in sympathy with volatility on the broad indexes and the passing of the data catalysts.

NVDA VolDex fell by 11.19% to close at just 33.67 which is the 5th percentile of its 52-week range. Traders should think about buying at-the-money options to express directional opinions on NVDA for the next 30 days.

A RiskDex reading below 1.00 indicates call skew (CallDex is higher than PutDex).

Only TSLA was showing call skew as the week ended.

You can learn more about RiskDex here.

All our index values are available in real-time to subscribers.

VolDex is below the 10th percentile of the respective 52-week ranges for: META (1st percentile), AMZN (8th), AAPL (3rd), GOOGL (9th), NVDA (5th), TSLA (5th), WMT (8th), BRKB (52-week low), and PLTR (52-week low). Traders with a directional thesis or who wish to hedge gains, should pay particular attention in these names.

Scott’s Weekly Commentary: