Nations®

VolDex®

Nations® VolDex® is an improved measure of option volatility and the market’s expectations for fluctuations during the next 30 days.

VolDex® measures implied volatility the way practitioners do, by focusing on the most important, liquid options available, the at-the-money options in the next two expiration cycles.

Focusing on at-the-money options provides a pure measure of implied volatility, expectations for price fluctuations and fear without the misleading statistical noise generated by phenomena like the number of strike prices listed or the distance between those strike prices.

Nations® Indexes calculates VolDex® on a number of asset classes. The Nations® Large Cap VolDex® (ticker symbol: VOLI) uses options on SPY, the most active, liquid equity product in the world assuring the most accurate picture of large cap volatility.

VolDex® is protected by patents pending.

VolDex® is a registered trademark of NationsShares

Nations®

SkewDex®

Nations® SkewDex® provides the best available measure of option skew, an important gauge of investors’ willingness to buy protection in the form of put options and those investors’ willingness to assume risk.

Option skew is the difference in implied volatility among options with different strike prices but the same expiration.

Out-of-the-money put options tend to have higher implied volatilities as a result of the demand for put options to limit risk and the supply of covered calls to generate additional return.

Nations® Indexes calculates SkewDex® on a variety of asset classes providing the ability to compare skew, and fear, in different asset classes.

SkewDex® is protected by patents pending.

SkewDex® is a registered trademark of NationsShares

Nations®

TailDex®

Nations® TailDex® is the only measure of the market’s expectations for an extreme event, often called a “tail event” or a “black swan,” which is a drop of at least three standard deviations.

TailDex® calculates the cost of protecting against such a drop, providing important insight into investors’ expectations.

TailDex® is model-free and robust from a mathematical point of view and since it uses instantaneous implied volatility to calculate standard deviation of returns it responds to current market conditions rather than relying on historical data.

Tail risk is an important consideration for market participants and history shows the occurrence of such loses is more frequent than most financial models anticipate.

TailDex® is protected by patents pending.

TailDex® is a registered trademark of NationsShares

**Improved and Investable Measures of Option Cost, Implied Volatility, Option Skew, Tail Risk and Term Structure –**

All Nations® Option Cost Indexes use superior methodologies to generate more meaningful measures of option cost, implied volatility, option skew and tail risk and then express those measures in more meaningful, intuitive ways. The Nations® family of Option Cost Indexes measure important facets of the option marketplace and do so for a tremendous range of asset classes including the first Option Cost Indexes for fixed income instruments.

### The Nations Option Cost Indexes

**VolDex®**

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.

**SkewDex**^{®}

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The Nations® Family of SkewDex® Indexes provide the best available measure of option skew. By comparing at-the-money options to out-of-the-money put options, SkewDex® provides a clearer measure of option skew and relative expectations for market volatility.

**TailDex**^{®}

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The Nations® Family of TailDex® Indexes measure the market’s expectations of an extreme event, often called a “tail event”. TailDex® provides a consistent measure of the market’s expectations that can be compared across time, market regimes, and asset class.