{ "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": "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 (33.3%)", "message_long": "Forward volatility: 33.3% (threshold: 30%)", "metrics": { "fwd_vol": 0.3328730973102601, "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 (33.5%)", "message_long": "Forward volatility: 33.5% (threshold: 30%)", "metrics": { "fwd_vol": 0.3350375668337773, "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 (31.0%)", "message_long": "Forward volatility: 31.0% (threshold: 30%)", "metrics": { "fwd_vol": 0.3098628408622063, "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 (30.5%)", "message_long": "Forward volatility: 30.5% (threshold: 30%)", "metrics": { "fwd_vol": 0.30536308456140676, "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 (34%)", "message_long": "Weighted-mid coverage: 33.6% (threshold: 50%)", "metrics": { "avg_coverage": 33.5852930197835, "threshold": 50.0 } } ], "summary": { "total": 7, "fail_count": 0, "warn_count": 6, "info_count": 1 }, "derived": { "structure_summary": { "iv_7d": { "pct": 31.94662595605867, "pct_cal": 18.573781402745247, "actual_dte": 6, "expiry_date": "2026-05-26", "tau_eff": 0.005784123735824872, "tau_cal": 0.017111453789831924, "tau_ratio": 2.958348502098852 }, "iv_30d": { "pct": 32.439256132744184, "pct_cal": 18.27377941079978, "actual_dte": 27, "expiry_date": "2026-06-16", "tau_eff": 0.023675033549237393, "tau_cal": 0.07460632031960605, "tau_ratio": 3.151265664077981 }, "iv_90d": { "pct": null, "pct_cal": null, "actual_dte": null, "expiry_date": null, "tau_eff": null, "tau_cal": null, "tau_ratio": null }, "front_slope_pct": 0.4926301766855101, "back_slope_pct": null, "max_fwd_vol_pct": 33.50375668337773, "max_fwd_vol_interval": { "from": "2026-06-02", "to": "2026-06-09" }, "max_fwd_vol_dte_range": { "start_dte": 13, "end_dte": 20 }, "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": "2026-05-20T09:30:03.585882+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": "2026-06-02", "to": "2026-06-09", "start_dte": 13, "end_dte": 20, "forward_vol": 0.3350375668337773, "forward_variance": 0.11225017118989779 }, { "from": "2026-05-26", "to": "2026-06-02", "start_dte": 6, "end_dte": 13, "forward_vol": 0.3328730973102601, "forward_variance": 0.11080449891292588 }, { "from": "2026-06-09", "to": "2026-06-16", "start_dte": 20, "end_dte": 27, "forward_vol": 0.3098628408622063, "forward_variance": 0.09601498014719696 }, { "from": "2026-06-16", "to": "2026-06-30", "start_dte": 27, "end_dte": 41, "forward_vol": 0.30536308456140676, "forward_variance": 0.09324661341285687 }, { "from": "2026-06-30", "to": "2026-07-28", "start_dte": 41, "end_dte": 69, "forward_vol": 0.2891806427331932, "forward_variance": 0.08362544413158274 } ], "lowest": [ { "from": "2026-07-28", "to": "2026-09-29", "start_dte": 69, "end_dte": 132, "forward_vol": 0.2505060214487027, "forward_variance": 0.0627532667820579 }, { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 132, "end_dte": 223, "forward_vol": 0.26658938405760296, "forward_variance": 0.07106989969221213 }, { "from": "2026-06-30", "to": "2026-07-28", "start_dte": 41, "end_dte": 69, "forward_vol": 0.2891806427331932, "forward_variance": 0.08362544413158274 }, { "from": "2026-06-16", "to": "2026-06-30", "start_dte": 27, "end_dte": 41, "forward_vol": 0.30536308456140676, "forward_variance": 0.09324661341285687 }, { "from": "2026-06-09", "to": "2026-06-16", "start_dte": 20, "end_dte": 27, "forward_vol": 0.3098628408622063, "forward_variance": 0.09601498014719696 } ], "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": [ 6, 13, 20, 27, 41, 69, 132, 223 ], "matrix_fwdvol_pct": [ [ null, 33.28730973102601, 33.39942043114543, 32.59693073340651, 31.797980577552888, 30.530400292112738, 27.915061670959503, 27.398056493148598 ], [ null, null, 33.50375668337773, 32.26957943149358, 31.43276568539457, 30.18877137720011, 27.586576639102802, 27.191256785063196 ], [ null, null, null, 30.98628408622063, 30.691197311006274, 29.67906083452212, 27.169760863650787, 26.943432642276843 ], [ null, null, null, null, 30.536308456140677, 29.45248602902584, 26.893079709586566, 26.78526137408347 ], [ null, null, null, null, null, 28.91806427331932, 26.308870131511597, 26.483124294276045 ], [ null, null, null, null, null, null, 25.050602144870272, 26.008076815480578 ], [ null, null, null, null, null, null, null, 26.658938405760296 ], [ 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": 26.113354476091434, "vmax": 33.36018168610364 }, "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": 314, "reject_reason": "insufficient_strikes", "accept_tier": null, "why": "insufficient_strikes" } ] }, "build_metadata": { "git_commit": "a5365cd7", "build_timestamp": "2026-05-20T04:00:08.080375+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": "2026-05-20T04:00:08.080730+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": 6 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-05-20T04:00:08.082973+00:00", "asof_iso": "2026-05-20T09:30:03.585882+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": [] } } }