{ "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": "2026-05-26", "interval_to": "2026-06-02", "strike": null, "target_key": "05-26\u219206-02", "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": "2026-05-26", "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": "low_source", "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": "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": "2026-06-09", "interval_to": "2026-06-16", "strike": null, "target_key": "06-09\u219206-16", "message_short": "Baseline fallback", "message_long": "Baseline quality: FALLBACK (edge case)", "metrics": { "baseline_n": 0 } }, { "code": "baseline_fallback", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-06-16", "interval_to": "2026-06-30", "strike": null, "target_key": "06-16\u219206-30", "message_short": "Baseline fallback", "message_long": "Baseline quality: FALLBACK (edge case)", "metrics": { "baseline_n": 1 } }, { "code": "low_source", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-06-16", "interval_to": "2026-06-30", "strike": null, "target_key": "06-16\u219206-30", "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": "2026-06-30", "interval_to": "2026-07-28", "strike": null, "target_key": "06-30\u219207-28", "message_short": "Baseline fallback", "message_long": "Baseline quality: FALLBACK (edge case)", "metrics": { "baseline_n": 1 } }, { "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": "2026-07-28", "interval_to": "2026-09-29", "strike": null, "target_key": "07-28\u219209-29", "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": "2026-09-29", "interval_to": "2026-12-29", "strike": null, "target_key": "09-29\u219212-29", "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": "2026-09-29", "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": "2026-05-26", "interval_to": "2026-06-02", "strike": null, "target_key": "05-26\u219206-02", "message_short": "Elevated fwd vol (33.4%)", "message_long": "Forward volatility: 33.4% (threshold: 30%)", "metrics": { "fwd_vol": 0.33448515189913247, "threshold": 0.3 } }, { "code": "elevated_fwdvol", "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": "Elevated fwd vol (32.4%)", "message_long": "Forward volatility: 32.4% (threshold: 30%)", "metrics": { "fwd_vol": 0.3243739884765115, "threshold": 0.3 } }, { "code": "elevated_fwdvol", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-06-09", "interval_to": "2026-06-16", "strike": null, "target_key": "06-09\u219206-16", "message_short": "Elevated fwd vol (30.9%)", "message_long": "Forward volatility: 30.9% (threshold: 30%)", "metrics": { "fwd_vol": 0.3093485926685362, "threshold": 0.3 } }, { "code": "elevated_fwdvol", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-06-16", "interval_to": "2026-06-30", "strike": null, "target_key": "06-16\u219206-30", "message_short": "Elevated fwd vol (30.6%)", "message_long": "Forward volatility: 30.6% (threshold: 30%)", "metrics": { "fwd_vol": 0.3059562856356677, "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 (38%)", "message_long": "Weighted-mid coverage: 38.0% (threshold: 50%)", "metrics": { "avg_coverage": 38.03418803418803, "threshold": 50.0 } } ], "summary": { "total": 18, "fail_count": 0, "warn_count": 15, "info_count": 3 }, "derived": { "structure_summary": { "iv_7d": { "pct": 35.46982378894267, "pct_cal": 20.820982167837645, "actual_dte": 8, "expiry_date": "2026-05-26", "tau_eff": 0.007782980711007663, "tau_cal": 0.022587158091743352, "tau_ratio": 2.9021218130218123 }, "iv_30d": { "pct": 33.268104650142575, "pct_cal": 18.836767582599055, "actual_dte": 29, "expiry_date": "2026-06-16", "tau_eff": 0.025673890524420186, "tau_cal": 0.08008202462151748, "tau_ratio": 3.1192009853491434 }, "iv_90d": { "pct": 30.92922500959418, "pct_cal": 17.404694022578834, "actual_dte": 71, "expiry_date": "2026-07-28", "tau_eff": 0.06177163640458157, "tau_cal": 0.19507175768106572, "tau_ratio": 3.1579502994451567 }, "front_slope_pct": -2.2017191388000903, "back_slope_pct": -2.338879640548397, "max_fwd_vol_pct": 33.448515189913245, "max_fwd_vol_interval": { "from": "2026-05-26", "to": "2026-06-02" }, "max_fwd_vol_dte_range": { "start_dte": 8, "end_dte": 15 }, "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": "2026-05-18T09:30:03.499804+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": "2026-05-26", "to": "2026-06-02", "start_dte": 8, "end_dte": 15, "forward_vol": 0.33448515189913247, "forward_variance": 0.1118803168409857 }, { "from": "2026-06-02", "to": "2026-06-09", "start_dte": 15, "end_dte": 22, "forward_vol": 0.3243739884765115, "forward_variance": 0.10521848440016 }, { "from": "2026-06-09", "to": "2026-06-16", "start_dte": 22, "end_dte": 29, "forward_vol": 0.3093485926685362, "forward_variance": 0.09569655178600392 }, { "from": "2026-06-16", "to": "2026-06-30", "start_dte": 29, "end_dte": 43, "forward_vol": 0.3059562856356677, "forward_variance": 0.09360924871997425 }, { "from": "2026-06-30", "to": "2026-07-28", "start_dte": 43, "end_dte": 71, "forward_vol": 0.28433002651876754, "forward_variance": 0.08084356398016304 } ], "lowest": [ { "from": "2026-07-28", "to": "2026-09-29", "start_dte": 71, "end_dte": 134, "forward_vol": 0.25405364433290384, "forward_variance": 0.0645432541988296 }, { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 134, "end_dte": 225, "forward_vol": 0.25795811791072043, "forward_variance": 0.06654239059604114 }, { "from": "2026-06-30", "to": "2026-07-28", "start_dte": 43, "end_dte": 71, "forward_vol": 0.28433002651876754, "forward_variance": 0.08084356398016304 }, { "from": "2026-06-16", "to": "2026-06-30", "start_dte": 29, "end_dte": 43, "forward_vol": 0.3059562856356677, "forward_variance": 0.09360924871997425 }, { "from": "2026-06-09", "to": "2026-06-16", "start_dte": 22, "end_dte": 29, "forward_vol": 0.3093485926685362, "forward_variance": 0.09569655178600392 } ], "neg_intervals": [] }, "forward_volatility_matrix": { "schema_version": "fwdvol_matrix_v2", "status": "available", "expiry_filter_policy_version": "usable_expiries_v1", "expiry_dates": [ "2026-05-26", "2026-06-02", "2026-06-09", "2026-06-16", "2026-06-30", "2026-07-28", "2026-09-29", "2026-12-29" ], "dte_days": [ 8, 15, 22, 29, 43, 71, 134, 225 ], "matrix_fwdvol_pct": [ [ null, 33.448515189913245, 32.929492761414245, 32.26343915789149, 31.61438743817057, 30.218439522016276, 27.906876257786866, 27.046259036488102 ], [ null, null, 32.43739884765115, 31.69503401056417, 31.161517720358816, 29.814558464493807, 27.567016775006024, 26.819139562147964 ], [ null, null, null, 30.93485926685362, 30.71225909994476, 29.416153285033303, 27.230289501896504, 26.60091754094233 ], [ null, null, null, null, 30.59562856356677, 29.151767024463403, 26.96232567087147, 26.43029587541943 ], [ null, null, null, null, null, 28.433002651876755, 26.379939446940387, 26.091776801300576 ], [ null, null, null, null, null, null, 25.405364433290384, 25.635600251007716 ], [ null, null, null, null, null, null, null, 25.795811791072044 ], [ 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": 25.69167429003023, "vmax": 32.757259891597165 }, "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": 316, "reject_reason": "insufficient_strikes", "accept_tier": null, "why": "insufficient_strikes" } ] }, "build_metadata": { "git_commit": "d4e35b43", "build_timestamp": "2026-05-18T04:00:08.138054+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": "2026-05-18T04:00:08.138447+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": 15 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-05-18T04:00:08.140786+00:00", "asof_iso": "2026-05-18T09:30:03.499804+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": [] } } }