Splunk Index Directory Structure

Each index occupies a set of directories on the disk. By default, these directories live in $SPLUNK_DB, which, by default, is located in $SPLUNK_HOME/var/lib/splunk.

Look at the following stanza for the main index:

[main] 
homePath = $SPLUNK_DB/defaultdb/db 
coldPath = $SPLUNK_DB/defaultdb/colddb 
thawedPath = $SPLUNK_DB/defaultdb/thaweddb 
maxHotIdleSecs = 86400 
maxHotBuckets = 10 
maxDataSize = auto_high_volume

If our Splunk installation lives at /opt/splunk, the index main is rooted at the path /opt/splunk/var/lib/splunk/defaultdb.

To change your storage location, either modify the value of SPLUNK_DB in $SPLUNK_HOME/etc/splunk-launch.conf or set absolute paths in indexes.conf. 

Source - Orielly Splunk