VOLQ is the newest entrant in a trading space long dominated by a single “fear gauge” VIX option. VOLQ uses the Nations VolDex methodology to measure implied volatility which interpolates the first and second in-the-money and first and second out-of-the-money call and put options for the four weekly expirations, bracketing the moment 30 days in the future. Prices for these 32 options are used to calculate a mathematically robust, closed-form measure of at-the-money implied volatility.
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