Marketflow does not size every trade the same way. It starts with a market-wide base size taken from the volatility term structure, then applies additional limits when the environment becomes genuinely stressed. Finally, each spread type can still size differently depending on whether it is a short-premium or long-premium structure.
The goal is simple: stay closer to full size in calm conditions, scale down gradually as the backdrop becomes less friendly, and clamp risk decisively when the market starts behaving in a disorderly way.
Credit spreads such as bear call credits and bull put credits inherit the systemic size governor directly. They are short volatility and short gamma, so as IVTS rises the market environment works against them more continuously. A bad move can hurt through both delta and vega at the same time, which is why intermediate sizes like 0.65x are meaningful on credit structures.
Debit spreads such as bull call debits and bear put debits do not simply inherit that same continuous scaling. They are long volatility and long gamma, so volatility expansion can actually help the position even when delta is not yet cooperating. Max loss is also capped at premium paid. For that reason, debit sizing is better expressed as a conviction bucket tied to the structure verdict itself rather than a pure IVTS gradient.
That is why the report may show a market-wide systemic base size of, for example, 0.54x, while a favorable debit spread still prints 1.00x or a cautious debit spread prints 0.50x. The systemic governor sets the background weather. The structure verdict then decides whether that weather should directly control the position size for the specific trade type.
IVTS smoothed is in normal-to-flattening territory and no hard cap fires. The sigmoid delivers a continuous gradient, but the meaningful range in practice is narrow: from roughly 0.93x at IVTS 0.88 down to 0.40x approaching the inflection at 0.97. True 1.00x full-size output only occurs in deep contango (IVTS below ~0.84), which is atypical. In most calm sessions the sigmoid returns something in the 0.80x-0.95x band - intermediate values that are visible in the report and meaningful, but not dramatic.
Either short call risk or short put risk is in the 80-89 range, but no velocity halt is active. The environment is genuinely stressed - premium selling carries elevated risk - but this is not a disorderly or dislocating market. Meaningful size discipline is warranted; panic-level sizing is not. The 0.40x cap overrides whatever the sigmoid proposes if the sigmoid would deliver more than 0.40x.
Either short call risk or short put risk has crossed 90. This is a genuinely extreme reading - the premium-selling environment is severely degraded in at least one direction. Position size is cut to the minimum regardless of IVTS level or sigmoid output. Even if the term structure is relatively calm, an extreme directional risk score warrants full size discipline.
The IVTS velocity circuit breaker has fired - the raw VIX9D/VIX ratio moved more than the halt threshold in a single session, signalling real-time term structure dislocation. This is qualitatively different from high directional risk scores. The market is repricing near-term fear rapidly and non-linearly. All short convexity positions are at maximum risk. The 0.25x floor is unconditional and cannot be overridden by a favorable sigmoid output or low directional risk scores.
Marketflow asks four questions in sequence. Each step can leave size unchanged or push it lower, but none of them can increase risk once the earlier layers have already reduced it.
This replay gives a simple intuition for how the system behaves in live conditions. In a stressed month, the hard caps and velocity halt do most of the work. In calmer weeks, the sigmoid curve contributes more of the day-to-day variation. That is exactly what the design is trying to achieve.