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

The Weekly Takeaway:

• Several markets exhibited extraordinary volatility this week. The S&P 500 lost 1.23% on Thursday but gained 1.97% on Friday. Bitcoin lost 13.30% on Thursday but gained 10.03% on Friday. And silver lost 16.08% on Thursday but gained more than 5.00% on both Tuesday and Friday;
• The S&P 500 lost 0.10% this week. It is now up 1.27% for the year;
• The Nasdaq-100 lost 1.87% this week as everything AI and software related came under pressure. The Nasdaq-100 is now down 0.69% for the year;
• S&P 500 VolDex (ticker VOLI) gained 1.19% this week and closed at 14.48. The high on Thursday was 19.17. Friday’s close of 14.48 is the 12th percentile of the 52-week range;
• S&P 500 TailDex (ticker TDEX) fell by 8.67% this week and closed at 14.32. That is the 15th percentile of its 52-week range. We discuss why TailDex fell despite the week’s volatility below;
• S&P 500 CallDex fell by 4.51% after falling 7.37% during the previous week. It closed this week at 12.70 which is the bottom of its 52-week range. Traders continued to sell the out-of-the-money calls represented by CallDex to get short exposure to the S&P 500 and because prospects for a meaningful rally over the next 30 days seem remote. You can learn more about CallDex at Learn More About CallDex;
• S&P 500 RiskDex gained 6.89% this week and regained the “5” level, closing at 5.30, the 63rd percentile of its 52-week range. RiskDex continues to signal that investors have much more concern about potential downside than hope for potential upside;
• You can learn more about RiskDex at Learn More About RiskDex;
• VolDex on the Nasdaq-100 rose by 8.05% this week to close at 21.32;
• The yield on Treasury Notes fell by 3.5 basis points to close at 4.206% as some investors fled stocks for Treasuries;
• Bitcoin had a horrible week and Bitcoin volatility exploded. Bitcoin futures lost 16.69% on the week thanks to a 13.30% loss on Thursday. Only a 10.03% rally on Friday saved the week from being a disaster. Bitcoin VolDex gained 40.53% on the week and closed at 58.08 after closing at 85.30 on Thursday;
• Silver lost 7.24% for the week thanks to Thursday’s downdraft. At the low on Thursday silver was below where it ended 2025 but it rallied on Friday and is still up 9.22% for the year;
• VolDex for individual names was mixed as several companies including AMZN, AMD, GOOGL, and PLTR reported earnings this week and experienced the typical post-earnings “volatility crush”;
• The Nations Indexes Optimism Index® rose by 4.29% to close at 71.05. 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 lost just 0.10% this week thanks to Friday’s rally of 1.97%.

Last week we pointed out that “Nonetheless, every S&P 500 volatility metric with the exception of 30-Day CallDex rose by at least 10% this week. Shorter-dated metrics were particularly strong as traders brace for substantial swings next week.”

We certainly got those swings this week.

This week’s metrics can be particularly illuminating. At the close on Thursday CallDex was up 6.35% on the week indicating that traders were scrambling to buy volatility in whatever strike prices were available. But CallDex declined by 10.21% on Friday as stocks prices recovered while prospects for the rally over the next 30 days didn’t keep pace. None of this price action is positive for stocks.

PutDex gained 2.74% this week but TailDex lost 8.67% thanks to a decline of 13.19% on Friday. The gain in VolDex and PutDex but decline in TailDex likely indicates that traders were moving hedges from deep out-of-the-money (i.e., TailDex) to at-the-money (VolDex) and just out-of-the-money (PutDex). This signals increased pessimism on the part of traders and investors.

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.

The Nasdaq-100 lost 1.87% this week and gave back all its gains for the year. Nasdaq-100 VolDex gained 8.05%. Last week we pointed out that the volatility action in the Nasdaq-100 “signals little hope for a significant rally over the next 30 days.” That certainly played out this week.

While traders were eventually willing to sell out-of-the-money calls in the S&P 500 on Friday, they were still reaching to buy volatility at all strike prices in the Nasdaq-100 and Nasdaq-100 CallDex gained 7.41% for the week. The small decline in Nasdaq-100 TailDex signals investors were moving hedges from deeply out-of-the-money to much closer to at-the-money.

Nasdaq-100 VolDex is still at just the 21st percentile of its 52-week range.

You can learn more about VolDex at Learn More About VolDex;

Nasdaq-100 RiskDex fell by 1.95% as vol buyers bid up CallDex more than PutDex. This small decline in RiskDex should not be considered good news. Nasdaq-100 RiskDex is at the 73rd percentile of its 52-week range. We have been saying for the past three weeks that “The implication is that while option prices are low, traders are more pessimistic than optimistic for the Nasdaq-100 over the next 30 days.” This remains the case.

Why It Matters…Traders need 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 4.29% to close at 71.05. This increase in optimism is due to the decline in TailDex so we discount it for the reasons discussed above.

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.

Nations Option Window:

Option Window fills in the blanks between TailDex, PutDex, VolDex, and CallDex and reveals how trade flows were driving option prices. This week you can see buying of a broad range of strike prices from just above at-the-money to 1.5 standard deviations below at-the-money (approximately 6450 in the S&P 500). This is the price action traders should be paying attention to rather than the decline in the far-left tail.

1DTE Options:

S&P 500 1-Day VolDex fell by 10.00% on the week thanks to Friday’s “relief rally.”

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.

Other Asset Volatility:

Treasury Bonds and Notes:

Treasury Bond volatility metrics were mixed again this week as VolDex fell by 9.29% in what we consider a surprising move to be taken advantage of.

With the release of January employment data moved to this coming Wednesday, February 11, due to the brief partial government shutdown earlier this week, there is an opportunity for traders to express a directional point of view in Treasuries by owning at-the-money options at attractive levels.

Treasury Bond VolDex remained about 10.00 but is still very low.

Bitcoin:

Bitcoin fell by 16.69% this week. It fell a combined 24.29% during its 4-day losing streak on Monday through Thursday.

Bitcoin volatility exploded as would be expected. VolDex gained 40.53% on the week but was up 106.39% at Thursday’s close.

Levels in Bitcoin VolDex that had been important will have to be reestablished.

Last week we noted that “The rally in Bitcoin TailDex is interesting as it is back above 20.00.” That certainly worked out and Bitcoin TailDex closed the week at 56.76 after closing at 93.24 on Thursday.

You can learn more about TailDex at Learn More About TailDex.

Precious Metals:

Silver fell 7.24% this week after falling 19.47% during the previous week. PutDex was strong, gaining 20.38%, and CallDex was weak, falling 13.56%, as traders take much more pessimistic positions in silver after January’s epic rally.

A Silver VolDex reading of 90.58 (Friday’s close) signals that traders expect daily moves in silver of 5.66% (Divide VolDex by 16 to turn the annual value to a daily value).

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.

Technology and AI-related names had a very tough week with AMZN, AMD, MSFT, META, and PLTR all falling more than 6%. “Old economy” names including JPM, BRKB, LLY, and WMT all gained ground.

Several technology names saw VolDex fall in the typical volatility crush. This should not be construed as positive for these names over the next 30 days. It is simply an expression of the passing of the most important catalyst for an individual equity (the quarterly earnings release).

AMZN shares fell by 12.11% this week due to investor concerns regarding the company’s plans for up to $200 billion in capital expenditures – focused heavily on AI infrastructure and data centers for AWS – in 2026.

RiskDex remains a good indicator of expectations for direction over the next 30 days by comparing PutDex to CallDex.

A RiskDex reading above 1.00 indicates that out-of-the-money puts are more expensive than out-of-the-money calls because traders are more pessimistic than optimistic.

You’ll note that every RiskDex measure for individual equities rose on the week with the exception of a small decline in NVDA. RiskDex rose substantially for some names. It even climbed above 1.00 for TSLA which has often displayed more expensive call prices.

You can learn more about RiskDex at Learn More About RiskDex.

Scott’s Weekly Commentary: