A method that sizes each trade so its expected volatility contribution to the portfolio matches a chosen target — regardless of how volatile the underlying is. High-vol names get smaller notionals; low-vol names get larger ones. The result: every position contributes roughly the same expected risk, and the portfolio's total volatility is a deliberate choice rather than an accident of position size.

The core math: notional = capital × (target_vol / realized_vol). If capital is $100,000 and your target is 1%, a name with 20% realized vol gets $5,000 (5% of capital); a name with 40% realized vol gets $2,500 (2.5%). Double the vol → half the notional → same expected risk. The regime multiplier then scales this result based on current conditions.

The regime filter is Layer 1 of the three-layer framework. Before the inverse-vol formula runs, it asks: are conditions calm, elevated, or stressed? It pulls the underlying's realized-vol percentile over its trailing year and combines it with the live VolDex® 30-day and RiskDex® readings. A stressed regime — high realized-vol percentile, elevated risk premium — applies a multiplier below 1.0 that cuts the inverse-vol result, reducing gross exposure before the worst conditions can do maximum damage.

Where today's 30-day realized vol sits in the distribution of all 30-day realized-vol readings over the past 252 trading days (the trailing year). A 92nd-percentile reading means realized vol is higher than 92% of the past year's readings — extreme stress. A 20th-percentile reading means it's lower than 80% of readings — a calm environment. The percentile is what drives the regime classification, not the raw vol level.

VolDex® is Nations' clean at-the-money implied-vol reading at the 30-day tenor. It tells you what the options market is pricing for near-term volatility — independently of realized vol. When VolDex® 30d diverges sharply from realized vol (options pricing much more than the asset has been moving), the regime panel weights the implied reading more heavily, which can push the regime classification toward Stressed even if the realized-vol percentile is moderate. The tool uses both because each tells you something the other can't.

RiskDex® measures the risk premium embedded in options — roughly, how much implied vol exceeds expected realized vol, normalized. A high RiskDex® reading (above 3.0) signals that options traders are paying a significant premium for protection, which often precedes sustained stress. In the regime panel it acts as a confirming signal: high realized-vol percentile plus high RiskDex® is a much stronger Stressed classification than high percentile alone.

At minimum: whenever the regime classification changes. In practice: weekly for active positions, plus a real-time check whenever a significant catalyst hits (earnings, FOMC, CPI). Realized vol can move fast; a position sized in a calm regime can be 2× too large within weeks if vol doubles. The tool is designed to be re-run quickly — enter the ticker, target, and capital; read the output.

No. Vol-targeting sizes a position based on the vol the underlying has been realizing; it cannot protect against an overnight gap that exceeds the daily vol the formula assumed. A stock that gaps down 30% on a surprise news event will inflict losses well beyond what a 1%-vol-target size implies, because that gap happened outside of normal trading hours before a rebalance was possible. Vol-targeting reduces systematic sizing errors; it doesn't replace risk management tools like stop-losses or position limits.

The Position Sizer sizes each position independently. It does not aggregate the correlation structure across the book. Ten positions each sized to 1% vol contribution are not a 10%-vol portfolio if those positions are highly correlated — they can behave as one position in a stress event. The tool handles single-position sizing; you handle the portfolio-level correlation as a separate step.

Yes, but use the delta-equivalent notional as the sizing input, not the premium. A 50-delta call on a $100 stock is $5,000 of delta-equivalent exposure per contract. Size that the same way you'd size the stock. Sizing on premium alone will systematically oversize every options position because the premium is far smaller than the delta-equivalent — you'd end up with far more delta exposure than the vol target implies.

Realized vol is what the underlying actually did — used in the sizing formula as the denominator. VolDex® is what options are pricing for the future — used in the regime panel alongside RiskDex® to calibrate the multiplier. The sizing formula runs on realized because that's the best estimate of future realized; the regime panel incorporates implied because the options market often prices stress before it shows up in realized. You need both.

The trailing-year percentile requires 252 trading days of realized-vol history. For recently listed names with fewer than 252 days, the tool flags that the percentile is based on a shorter window, which makes the regime classification less reliable. In that case, the regime panel defaults to a more conservative multiplier — treating the limited-history name as Elevated rather than Calm — and the flag is visible in the output. Trade smaller or avoid until history builds.

A lower per-position target means smaller positions and lower gross exposure — which is less risky in the narrow sense of individual-position loss. But a portfolio of 0.25%-target positions may need 40 positions to reach meaningful gross exposure, making it harder to manage and more likely to produce benchmark-like returns without the concentration needed to add alpha. The target is a design parameter; "safer" depends on your goals, your time horizon, and your ability to monitor a large number of positions.