Abstract-Determining the capacity of a modulation scheme is a fundamental topic of interest. Index Modulations (IM), such as Spatial Modulation (SMod), Polarized Modulation (PMod) or Frequency Index Modulation (FMod), are widely studied in the literature. However, finding a closed-form analytical expression for their capacity still remains an open topic. In this paper, we formulate closed-form expressions for the instantaneous capacity of IM, together with its 2nd and 4th order approximations. We show that, in average, the 2nd approximation error tends to zero for low Signal to Noise Ratio (SNR) and is o (SNR). Also, a detailed analysis of the ergodic capacity over Rayleigh, Rice and Nakagami-m channel distributions is provided. As application of the capacity analysis, we leverage the proposed expressions to compute the ergodic capacities of SMod for different antenna configuration and correlations, PMod for different channel components and conditions, and FMod for different frequency separations. Although V-BLAST offers higher capacity, it requires high power budget. On the contrary, OSTBC exploits the full channel diversity at the expense of sacrificing multiplexing gain. Note also that OSTBC can only provide full diversity with 2 transmitting antennas. SMod strikes a balance between V-BLAST and OSTBC by increasing the channel capacity that OSTBC offers with less power requirements and is a trade-off between V-BLAST and OSTBC. In addition, it also provides more flexibility than OSTBC in the achievable rate that is obtained by increasing the number of transmitting antennas.SMod can be classified in to the general modulation strategy of Index Modulations (IM), term employed by [23], [30].