It the notation $\mathrm{p_x}$, $\mathrm{p_y}$ and $\mathrm{d_{x^2{-}y^2}}$, are the subscripts variables (and therefore should be in italics) or are they labels (labels for directions, I suppose, and therefore should be upright)?
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1The notation is for the subshells of electrons in atoms. The uses of x,y, and z correspond to the x,y and z axis in 3D space, and are therefore labels not variables. See: https://en.wikipedia.org/wiki/Atomic_orbital#Orbitals_table for the visualized shapes. – MaxW Feb 21 '17 at 06:36
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4@Max you sure they should be upright? I thought they're used slanted-ly everywhere. – M.A.R. Feb 21 '17 at 08:55
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1I'll defer to the ACS style guide -- italic. – MaxW Feb 21 '17 at 14:59
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The subscripts that specify orbital axes are written in italic. This is mentioned in ACS style guide.$^{[1]}$ So for instance
$$\mathrm{d}_{x^2 - y^2}.$$
Be careful though. Other subscripts for orbitals are generally upright, e.g.,
$$\mathrm{t_{2g}}.$$
$[1]$ Anne M. Coghill, Lorrin R. Garson. ($2006$). The ACS Style Guide. Effective Communication of Scientific Information. American Chemical Society. DOI: 10.1021/bk-2006-STYG, ISBN: 9780841239999 (print), 9780841228306 (online). (p 256)

Linear Christmas
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I would say this contradicts the basic rule of labels being upright (and I consider an axis name a label), but there we go. – mhchem Feb 21 '17 at 09:41
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@mhchem It shouldn't contradict. Consider $\mathrm{p}_x$ for example. It specifies in which coordinate axis the $\mathrm{p}$-orbital is "directed". So if it is pointed along the $x$-axis, here $x$ varies and is not a constant. – Linear Christmas Feb 21 '17 at 09:49
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I know this is nitpicking, but I would say x does not stand for a number, it does stand for a (fixed) direction. Or, putting it differently, x is a shorthand label for $x$-axis. It a label. It's a label of direction, just as "south" is. I don't see any 'placeholder of a value' property here. – mhchem Feb 21 '17 at 09:55
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1@mhchem No, I don't think that is correct. It does not refer to the axis. It refers to a mathematical function which appears in the wavefunction corresponding to the orbital. There is no "x2-y2" axis. It just means that that d orbital has a x2-y2 term in its wavefunction. – orthocresol Feb 21 '17 at 10:41
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2The p orbitals just happen to be "(a whole bunch of other stuff) multiplied by one of (x, y, z)". The p_z orbital does indeed point along the z-axis but it is not named so because it points along that axis. – orthocresol Feb 21 '17 at 10:42
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1Yes, I believe @orthocresol is correct. The terms are still called orbital axes though AFAIK, but the analogy indeed only works for $(x, y, z)$. (Correct me if I am wrong.) – Linear Christmas Feb 21 '17 at 11:29
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My interpretation came from IUPAC's Green Book: "The overall rule is that ... labels, are roman. Sometimes there may seem to be doubt as to whether a symbol represents a quantity or has some other meaning (such as a label): a good role is that quantities, or variables, may have a range of numerical values, but labels cannot." However, they continue themselves with electric field strength in x direction as $E_x$. I would have said $x$ here (!) is a label, because it cannot take multiple values, but is just a label/name for a direction. – mhchem Feb 21 '17 at 13:22
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Another interesting find: ACS Style Guide reads "Use italic type for: ... axes: the y axis" (p. 212). (I understood that we have no axis labels here.) – mhchem Feb 22 '17 at 19:52