{ "schema_version": "fwdvar_diagnostics_v4", "issues": [ { "code": "rejected", "scope": "expiry", "severity": "INFO", "expiry_dt": "2026-09-29", "interval_from": null, "interval_to": null, "strike": null, "target_key": "2026-09-29", "message_short": "Rejected: missing_quotes", "message_long": "Expiry rejected: missing_quotes", "metrics": { "reject_reason": "missing_quotes" } }, { "code": "rejected", "scope": "expiry", "severity": "INFO", "expiry_dt": "2027-03-30", "interval_from": null, "interval_to": null, "strike": null, "target_key": "2027-03-30", "message_short": "Rejected: insufficient_strikes", "message_long": "Expiry rejected: insufficient_strikes", "metrics": { "reject_reason": "insufficient_strikes" } }, { "code": "baseline_thin", "scope": "interval", "severity": "INFO", "expiry_dt": null, "interval_from": "2026-04-28", "interval_to": "2026-05-05", "strike": null, "target_key": "04-28\u219205-05", "message_short": "Thin baseline", "message_long": "Baseline quality: THIN (few neighbors: 1)", "metrics": { "baseline_n": 1 } }, { "code": "low_source", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-04-28", "interval_to": "2026-05-05", "strike": null, "target_key": "04-28\u219205-05", "message_short": "LOW confidence", "message_long": "Event confidence: LOW (baseline not robust)", "metrics": { "confidence": "LOW" } }, { "code": "baseline_thin", "scope": "interval", "severity": "INFO", "expiry_dt": null, "interval_from": "2026-05-05", "interval_to": "2026-05-12", "strike": null, "target_key": "05-05\u219205-12", "message_short": "Thin baseline", "message_long": "Baseline quality: THIN (few neighbors: 1)", "metrics": { "baseline_n": 1 } }, { "code": "low_source", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-05-05", "interval_to": "2026-05-12", "strike": null, "target_key": "05-05\u219205-12", "message_short": "LOW confidence", "message_long": "Event confidence: LOW (baseline not robust)", "metrics": { "confidence": "LOW" } }, { "code": "neg_fwdvar", "scope": "interval", "severity": "INFO", "expiry_dt": null, "interval_from": "2026-05-12", "interval_to": "2026-05-19", "strike": null, "target_key": "05-12\u219205-19", "message_short": "NEG forward variance", "message_long": "Negative forward variance: -0.0241", "metrics": { "fwd_var": -0.024088342665543074, "near_var": 0.0024071654801881793, "far_var": 0.0022615903432056162, "ba_age_near": 1.469939, "ba_age_far": 1.7977400000000001 } }, { "code": "elevated_fwdvol", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-04-28", "interval_to": "2026-05-05", "strike": null, "target_key": "04-28\u219205-05", "message_short": "Elevated fwd vol (31.4%)", "message_long": "Forward volatility: 31.4% (threshold: 30%)", "metrics": { "fwd_vol": 0.31433839705307276, "threshold": 0.3 } }, { "code": "elevated_fwdvol", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-05-05", "interval_to": "2026-05-12", "strike": null, "target_key": "05-05\u219205-12", "message_short": "Elevated fwd vol (41.8%)", "message_long": "Forward volatility: 41.8% (threshold: 30%)", "metrics": { "fwd_vol": 0.4176428702911187, "threshold": 0.3 } }, { "code": "low_coverage", "scope": "run", "severity": "WARN", "expiry_dt": null, "interval_from": null, "interval_to": null, "strike": null, "target_key": "run", "message_short": "Low coverage (25%)", "message_long": "Weighted-mid coverage: 25.0% (threshold: 50%)", "metrics": { "avg_coverage": 25.0, "threshold": 50.0 } } ], "summary": { "total": 10, "fail_count": 0, "warn_count": 5, "info_count": 5 }, "derived": { "structure_summary": { "iv_7d": { "pct": 32.24061208071065, "pct_cal": 18.82907133983635, "actual_dte": 8, "expiry_date": "2026-04-28", "tau_eff": 0.007703936592293964, "tau_cal": 0.022587150948266025, "tau_ratio": 2.9318973070026733 }, "iv_30d": { "pct": 29.851257190569115, "pct_cal": 16.805036795792688, "actual_dte": 29, "expiry_date": "2026-05-19", "tau_eff": 0.025379828822774463, "tau_cal": 0.08008201747804015, "tau_ratio": 3.1553411190141265 }, "iv_90d": { "pct": 27.275232833968037, "pct_cal": 15.234201889470643, "actual_dte": 71, "expiry_date": "2026-06-30", "tau_eff": 0.06085508333749263, "tau_cal": 0.1950717505375884, "tau_ratio": 3.205512832112175 }, "front_slope_pct": -2.389354890141532, "back_slope_pct": -2.576024356601075, "max_fwd_vol_pct": 41.76428702911187, "max_fwd_vol_interval": { "from": "2026-05-05", "to": "2026-05-12" }, "max_fwd_vol_dte_range": { "start_dte": 15, "end_dte": 22 }, "neg_interval_count": 1, "clock_primary": "variance_time", "clock_secondary": "calendar", "vt_vintage": "202603", "beta_on": 0.12931315994459922, "beta_we": 0.19024823173932068, "quote_context_dt": "2026-04-20T09:30:03.725235+05:30", "effective_quote_policy": "weighted_mid", "tau_mode_math": "variance_time", "rr_25d": null, "fly_25d": null, "put_iv_25d": null, "call_iv_25d": null, "rr_fly_diagnostics": null }, "interval_leaderboard": { "highest": [ { "from": "2026-05-05", "to": "2026-05-12", "start_dte": 15, "end_dte": 22, "forward_vol": 0.4176428702911187, "forward_variance": 0.1744255671050042 }, { "from": "2026-04-28", "to": "2026-05-05", "start_dte": 8, "end_dte": 15, "forward_vol": 0.31433839705307276, "forward_variance": 0.09880862786189523 }, { "from": "2026-05-19", "to": "2026-05-26", "start_dte": 29, "end_dte": 36, "forward_vol": 0.2659851691013142, "forward_variance": 0.0707481101818547 }, { "from": "2026-05-26", "to": "2026-06-30", "start_dte": 36, "end_dte": 71, "forward_vol": 0.24990502536839954, "forward_variance": 0.06245252170438042 }, { "from": "2026-06-30", "to": "2026-12-29", "start_dte": 71, "end_dte": 253, "forward_vol": 0.2228748723510743, "forward_variance": 0.04967320872550767 } ], "lowest": [ { "from": "2026-06-30", "to": "2026-12-29", "start_dte": 71, "end_dte": 253, "forward_vol": 0.2228748723510743, "forward_variance": 0.04967320872550767 }, { "from": "2026-05-26", "to": "2026-06-30", "start_dte": 36, "end_dte": 71, "forward_vol": 0.24990502536839954, "forward_variance": 0.06245252170438042 }, { "from": "2026-05-19", "to": "2026-05-26", "start_dte": 29, "end_dte": 36, "forward_vol": 0.2659851691013142, "forward_variance": 0.0707481101818547 }, { "from": "2026-04-28", "to": "2026-05-05", "start_dte": 8, "end_dte": 15, "forward_vol": 0.31433839705307276, "forward_variance": 0.09880862786189523 }, { "from": "2026-05-05", "to": "2026-05-12", "start_dte": 15, "end_dte": 22, "forward_vol": 0.4176428702911187, "forward_variance": 0.1744255671050042 } ], "neg_intervals": [ { "from": "2026-05-12", "to": "2026-05-19", "forward_variance": -0.024088342665543074, "notes": "NEG_FWDVAR", "debug": { "quote_age_near": "1s", "pricing_mode": "weighted_mid" } } ] }, "forward_volatility_matrix": { "schema_version": "fwdvol_matrix_v2", "status": "available", "expiry_filter_policy_version": "usable_expiries_v1", "expiry_dates": [ "2026-04-28", "2026-05-05", "2026-05-12", "2026-05-19", "2026-05-26", "2026-06-30", "2026-12-29" ], "dte_days": [ 8, 15, 22, 29, 36, 71, 253 ], "matrix_fwdvol_pct": [ [ null, 31.433839705307275, 37.16094253816553, 28.747798364559785, 28.215734311297087, 26.478381288053733, 23.42779345428229 ], [ null, null, 41.76428702911187, 27.416894831422933, 27.14684356245466, 25.833714715963797, 23.167993514273086 ], [ null, null, null, null, 15.274123136257547, 22.597182847025625, 22.35319852460975 ], [ null, null, null, null, 26.59851691013142, 25.27166719783336, 22.872113713031577 ], [ null, null, null, null, null, 24.990502536839955, 22.73984154956959 ], [ null, null, null, null, null, null, 22.28748723510743 ], [ null, null, null, null, null, null, null ] ], "neg_mask": [ [ false, false, false, false, false, false, false ], [ false, false, false, false, false, false, false ], [ false, false, false, true, false, false, false ], [ false, false, false, false, false, false, false ], [ false, false, false, false, false, false, false ], [ false, false, false, false, false, false, false ], [ false, false, false, false, false, false, false ] ], "clip": { "method": "percentile", "p_lo": 5, "p_hi": 95, "vmin": 21.936819030164937, "vmax": 37.39110976271285 }, "usable_count": 7, "excluded": [] }, "expiry_quality_summary": { "schema_version": "expiry_quality_summary_v1", "filter_policy_version": "usable_expiries_v1", "total_count": 9, "usable_count": 7, "excluded": [ { "expiry_date": "2026-09-29", "dte_days": 162, "reject_reason": "missing_quotes", "accept_tier": null, "why": "missing_quotes" }, { "expiry_date": "2027-03-30", "dte_days": 344, "reject_reason": "insufficient_strikes", "accept_tier": null, "why": "insufficient_strikes" } ] }, "build_metadata": { "git_commit": "8646dbf0", "build_timestamp": "2026-04-20T04:00:08.643744+00:00", "python_version": "3.13" }, "request_echo": { "event_windows_requested": false, "sliding_windows_requested": false, "diagnostics_level": "lite", "tau_mode": "variance_time", "event_windows_exported": false, "event_windows_count": 0, "sliding_windows_exported": false, "ui_presets_exported": true, "ui_presets_events_count": 0, "ui_presets_missing_reason": null, "required_iv_tenors": [] }, "ui_limits": { "max_horizon_days": 56, "max_horizon_label": "8w_liquid", "min_horizon_days": 0, "tz": "Asia/Kolkata", "notes": "UI clamps horizon; avoid LEAPS/illiquid expiries beyond 8 weeks" }, "ui_capabilities": { "schema_version": "ui_capabilities_v1", "generated_at_utc": "2026-04-20T04:00:08.644456+00:00", "source": "volstrats.analytics.ui_capabilities.build_ui_capabilities", "filter_policy": { "name": "UI_GRADE", "version": "usable_expiries_v1" }, "missing_reason": null, "features": { "forward_matrix_json": false, "quote_cards_html": false, "event_window_tool": false, "sliding_windows": false, "smile_density_plots": false, "chain_snapshots": false, "carry_data": true }, "counts": { "usable_expiries": 7, "excluded_expiries": 2, "neg_cells": 1, "issues_fail": 0, "issues_warn": 5 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-04-20T04:00:08.647302+00:00", "asof_iso": "2026-04-20T09:30:03.725235+05:30", "asof_source": "structure_summary.quote_context_dt", "horizon_days": 56, "tz": "Asia/Kolkata", "source": "market_calendar.list_upcoming_events", "id_namespace": "market_calendar", "id_format": "CATEGORY_YYYYMM", "events": [] } } }