{ "schema_version": "fwdvar_diagnostics_v4", "issues": [ { "code": "low_tier", "scope": "expiry", "severity": "WARN", "expiry_dt": "2026-09-29", "interval_from": null, "interval_to": null, "strike": null, "target_key": "2026-09-29", "message_short": "LOW tier (direct straddle)", "message_long": "Accept tier: LOW (DIRECT_STRADDLE_ONLY path)", "metrics": {} }, { "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": "2026-05-19", "interval_to": "2026-05-26", "strike": null, "target_key": "05-19\u219205-26", "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": "2026-05-19", "interval_to": "2026-05-26", "strike": null, "target_key": "05-19\u219205-26", "message_short": "LOW confidence", "message_long": "Event confidence: LOW (baseline not robust)", "metrics": { "confidence": "LOW" } }, { "code": "low_source", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-05-26", "interval_to": "2026-06-02", "strike": null, "target_key": "05-26\u219206-02", "message_short": "LOW confidence", "message_long": "Event confidence: LOW (baseline not robust)", "metrics": { "confidence": "LOW" } }, { "code": "baseline_fallback", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-06-02", "interval_to": "2026-06-09", "strike": null, "target_key": "06-02\u219206-09", "message_short": "Baseline fallback", "message_long": "Baseline quality: FALLBACK (edge case)", "metrics": { "baseline_n": 0 } }, { "code": "low_source", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-06-09", "interval_to": "2026-06-30", "strike": null, "target_key": "06-09\u219206-30", "message_short": "LOW confidence", "message_long": "Event confidence: LOW (baseline not robust)", "metrics": { "confidence": "LOW" } }, { "code": "low_source", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-06-30", "interval_to": "2026-07-28", "strike": null, "target_key": "06-30\u219207-28", "message_short": "LOW confidence", "message_long": "Event confidence: LOW (baseline not robust)", "metrics": { "confidence": "LOW" } }, { "code": "low_source", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-09-29", "interval_to": "2026-12-29", "strike": null, "target_key": "09-29\u219212-29", "message_short": "LOW confidence", "message_long": "Event confidence: LOW (baseline not robust)", "metrics": { "confidence": "LOW" } }, { "code": "elevated_fwdvol", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-05-19", "interval_to": "2026-05-26", "strike": null, "target_key": "05-19\u219205-26", "message_short": "Elevated fwd vol (33.8%)", "message_long": "Forward volatility: 33.8% (threshold: 30%)", "metrics": { "fwd_vol": 0.33807589928961185, "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 (35%)", "message_long": "Weighted-mid coverage: 35.4% (threshold: 50%)", "metrics": { "avg_coverage": 35.416666666666664, "threshold": 50.0 } } ], "summary": { "total": 11, "fail_count": 0, "warn_count": 9, "info_count": 2 }, "derived": { "structure_summary": { "iv_7d": { "pct": 30.976372895444992, "pct_cal": 18.108633125761052, "actual_dte": 7, "expiry_date": "2026-05-19", "tau_eff": 0.0067835134581004375, "tau_cal": 0.019849267202005222, "tau_ratio": 2.9261041972729482 }, "iv_30d": { "pct": 30.946991779243007, "pct_cal": 17.479469792016918, "actual_dte": 28, "expiry_date": "2026-06-09", "tau_eff": 0.02467442327151296, "tau_cal": 0.07734413373177935, "tau_ratio": 3.1345872963553507 }, "iv_90d": { "pct": 29.29534159385997, "pct_cal": 16.472605933172968, "actual_dte": 77, "expiry_date": "2026-07-28", "tau_eff": 0.06687063370701528, "tau_cal": 0.21149882230125233, "tau_ratio": 3.1628057127124904 }, "front_slope_pct": -0.029381116201987467, "back_slope_pct": -1.6516501853830357, "max_fwd_vol_pct": 33.807589928961185, "max_fwd_vol_interval": { "from": "2026-05-19", "to": "2026-05-26" }, "max_fwd_vol_dte_range": { "start_dte": 7, "end_dte": 14 }, "neg_interval_count": 0, "clock_primary": "variance_time", "clock_secondary": "calendar", "vt_vintage": "202604", "beta_on": 0.14112572167590545, "beta_we": 0.18483076859226696, "quote_context_dt": "2026-05-12T09:30:04.765346+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": "2026-05-19", "to": "2026-05-26", "start_dte": 7, "end_dte": 14, "forward_vol": 0.33807589928961185, "forward_variance": 0.11429531368047978 }, { "from": "2026-05-26", "to": "2026-06-02", "start_dte": 14, "end_dte": 21, "forward_vol": 0.2961619024736926, "forward_variance": 0.08771187247683701 }, { "from": "2026-06-09", "to": "2026-06-30", "start_dte": 28, "end_dte": 49, "forward_vol": 0.29370584275490447, "forward_variance": 0.08626312206836867 }, { "from": "2026-06-02", "to": "2026-06-09", "start_dte": 21, "end_dte": 28, "forward_vol": 0.2908105245453009, "forward_variance": 0.08457076118631306 }, { "from": "2026-06-30", "to": "2026-07-28", "start_dte": 49, "end_dte": 77, "forward_vol": 0.27465468736667054, "forward_variance": 0.07543519729248353 } ], "lowest": [ { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 140, "end_dte": 231, "forward_vol": 0.2117422485642592, "forward_variance": 0.044834779827048525 }, { "from": "2026-07-28", "to": "2026-09-29", "start_dte": 77, "end_dte": 140, "forward_vol": 0.2539315317783547, "forward_variance": 0.06448122283130156 }, { "from": "2026-06-30", "to": "2026-07-28", "start_dte": 49, "end_dte": 77, "forward_vol": 0.27465468736667054, "forward_variance": 0.07543519729248353 }, { "from": "2026-06-02", "to": "2026-06-09", "start_dte": 21, "end_dte": 28, "forward_vol": 0.2908105245453009, "forward_variance": 0.08457076118631306 }, { "from": "2026-06-09", "to": "2026-06-30", "start_dte": 28, "end_dte": 49, "forward_vol": 0.29370584275490447, "forward_variance": 0.08626312206836867 } ], "neg_intervals": [] }, "forward_volatility_matrix": { "schema_version": "fwdvol_matrix_v2", "status": "available", "expiry_filter_policy_version": "usable_expiries_v1", "expiry_dates": [ "2026-05-19", "2026-05-26", "2026-06-02", "2026-06-09", "2026-06-30", "2026-07-28", "2026-09-29", "2026-12-29" ], "dte_days": [ 7, 14, 21, 28, 49, 77, 140, 231 ], "matrix_fwdvol_pct": [ [ null, 33.807589928961185, 31.852708276450425, 30.935844345697056, 30.16531027178238, 29.099462339645033, 27.4010609074665, 25.072806415016412 ], [ null, null, 29.61619024736926, 29.34066229246064, 29.358665113556103, 28.51882467172266, 26.99543202812676, 24.734161457689854 ], [ null, null, null, 29.081052454530088, 29.296980061110983, 28.38664891005151, 26.842626083551945, 24.564147719486005 ], [ null, null, null, null, 29.370584275490447, 28.284879352763742, 26.69499741066411, 24.39083126397175 ], [ null, null, null, null, null, 27.465468736667052, 26.05240266972003, 23.757771035664437 ], [ null, null, null, null, null, null, 25.39315317783547, 23.007068121993957 ], [ null, null, null, null, null, null, null, 21.17422485642592 ], [ null, 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, 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 ], [ 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": 23.269814141778625, "vmax": 31.531805900686745 }, "usable_count": 8, "excluded": [] }, "expiry_quality_summary": { "schema_version": "expiry_quality_summary_v1", "filter_policy_version": "usable_expiries_v1", "total_count": 9, "usable_count": 8, "excluded": [ { "expiry_date": "2027-03-30", "dte_days": 322, "reject_reason": "insufficient_strikes", "accept_tier": null, "why": "insufficient_strikes" } ] }, "build_metadata": { "git_commit": "5d88bdf2", "build_timestamp": "2026-05-12T04:00:10.422386+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": "2026-05-12T04:00:10.422865+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": 8, "excluded_expiries": 1, "neg_cells": 0, "issues_fail": 0, "issues_warn": 9 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-05-12T04:00:10.425391+00:00", "asof_iso": "2026-05-12T09:30:04.765346+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": [] } } }