{ "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": "2026-06-09", "interval_to": "2026-06-16", "strike": null, "target_key": "06-09\u219206-16", "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": "2026-06-09", "interval_to": "2026-06-16", "strike": null, "target_key": "06-09\u219206-16", "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": "2026-06-16", "interval_to": "2026-06-23", "strike": null, "target_key": "06-16\u219206-23", "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": "2026-06-23", "strike": null, "target_key": "06-16\u219206-23", "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": "2026-06-23", "interval_to": "2026-06-30", "strike": null, "target_key": "06-23\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": "2026-06-23", "interval_to": "2026-06-30", "strike": null, "target_key": "06-23\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": "baseline_fallback", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-07-28", "interval_to": "2026-08-25", "strike": null, "target_key": "07-28\u219208-25", "message_short": "Baseline fallback", "message_long": "Baseline quality: FALLBACK (edge case)", "metrics": { "baseline_n": 1 } }, { "code": "baseline_thin", "scope": "interval", "severity": "INFO", "expiry_dt": null, "interval_from": "2026-08-25", "interval_to": "2026-09-29", "strike": null, "target_key": "08-25\u219209-29", "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": "2026-08-25", "interval_to": "2026-09-29", "strike": null, "target_key": "08-25\u219209-29", "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": "low_coverage", "scope": "run", "severity": "WARN", "expiry_dt": null, "interval_from": null, "interval_to": null, "strike": null, "target_key": "run", "message_short": "Low coverage (29%)", "message_long": "Weighted-mid coverage: 29.4% (threshold: 50%)", "metrics": { "avg_coverage": 29.365079365079364, "threshold": 50.0 } } ], "summary": { "total": 14, "fail_count": 0, "warn_count": 11, "info_count": 3 }, "derived": { "structure_summary": { "iv_7d": { "pct": 26.332891365187706, "pct_cal": 14.041648073000468, "actual_dte": 4, "expiry_date": "2026-06-02", "tau_eff": 0.0031192799304480177, "tau_cal": 0.010970218500868255, "tau_ratio": 3.516907345758038 }, "iv_30d": { "pct": 25.65110676583141, "pct_cal": 14.243707657177168, "actual_dte": 32, "expiry_date": "2026-06-30", "tau_eff": 0.0270200966999275, "tau_cal": 0.0876300405405671, "tau_ratio": 3.2431431135774664 }, "iv_90d": { "pct": 24.75110379972175, "pct_cal": 13.88316146568628, "actual_dte": 88, "expiry_date": "2026-08-25", "tau_eff": 0.0758078131426551, "tau_cal": 0.24094968461996474, "tau_ratio": 3.1784281148771005 }, "front_slope_pct": -0.6817845993562943, "back_slope_pct": -0.9000029661096615, "max_fwd_vol_pct": 26.827341919161118, "max_fwd_vol_interval": { "from": "2026-06-02", "to": "2026-06-09" }, "max_fwd_vol_dte_range": { "start_dte": 4, "end_dte": 11 }, "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": "2026-05-29T15:20:06.232637+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": 4, "end_dte": 11, "forward_vol": 0.2682734191916112, "forward_variance": 0.07197062744475795 }, { "from": "2026-06-23", "to": "2026-06-30", "start_dte": 25, "end_dte": 32, "forward_vol": 0.2662155544940824, "forward_variance": 0.07087072145459175 }, { "from": "2026-06-09", "to": "2026-06-16", "start_dte": 11, "end_dte": 18, "forward_vol": 0.25552817025853897, "forward_variance": 0.06529464579567688 }, { "from": "2026-08-25", "to": "2026-09-29", "start_dte": 88, "end_dte": 123, "forward_vol": 0.25220251262512644, "forward_variance": 0.06360610737442707 }, { "from": "2026-06-30", "to": "2026-07-28", "start_dte": 32, "end_dte": 60, "forward_vol": 0.24602909345328433, "forward_variance": 0.060530314825444916 } ], "lowest": [ { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 123, "end_dte": 214, "forward_vol": 0.22332585752098633, "forward_variance": 0.049874438637483885 }, { "from": "2026-06-16", "to": "2026-06-23", "start_dte": 18, "end_dte": 25, "forward_vol": 0.23163124234328156, "forward_variance": 0.05365303242949203 }, { "from": "2026-07-28", "to": "2026-08-25", "start_dte": 60, "end_dte": 88, "forward_vol": 0.23868081436372843, "forward_variance": 0.056968531145332596 }, { "from": "2026-06-30", "to": "2026-07-28", "start_dte": 32, "end_dte": 60, "forward_vol": 0.24602909345328433, "forward_variance": 0.060530314825444916 }, { "from": "2026-08-25", "to": "2026-09-29", "start_dte": 88, "end_dte": 123, "forward_vol": 0.25220251262512644, "forward_variance": 0.06360610737442707 } ], "neg_intervals": [] }, "forward_volatility_matrix": { "schema_version": "fwdvol_matrix_v2", "status": "available", "expiry_filter_policy_version": "usable_expiries_v1", "expiry_dates": [ "2026-06-02", "2026-06-09", "2026-06-16", "2026-06-23", "2026-06-30", "2026-07-28", "2026-08-25", "2026-09-29", "2026-12-29" ], "dte_days": [ 4, 11, 18, 25, 32, 60, 88, 123, 214 ], "matrix_fwdvol_pct": [ [ null, 26.827341919161118, 26.19783132631734, 25.226857755834146, 25.560785992715264, 25.08153084248753, 24.680956210751834, 24.839716868931337, 23.793203516869703 ], [ null, null, 25.552817025853898, 24.38725878662554, 25.112222759144053, 24.819060520090158, 24.47497858371174, 24.70885644961789, 23.67991672031287 ], [ null, null, null, 23.163124234328155, 24.879553492397193, 24.69294457167888, 24.36367047680816, 24.65094006946569, 23.609162484087285 ], [ null, null, null, null, 26.62155544940824, 24.99248678804367, 24.494605448268878, 24.754990244546875, 23.625792548660517 ], [ null, null, null, null, null, 24.602909345328435, 24.238280257763495, 24.61679819594912, 23.51131009592947 ], [ null, null, null, null, null, null, 23.868081436372844, 24.62302442687853, 23.303930703915704 ], [ null, null, null, null, null, null, null, 25.220251262512644, 23.17409030495895 ], [ null, null, null, null, null, null, null, null, 22.332585752098634 ], [ null, 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, 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": 23.17134878730125, "vmax": 26.303762357090065 }, "usable_count": 9, "excluded": [] }, "expiry_quality_summary": { "schema_version": "expiry_quality_summary_v1", "filter_policy_version": "usable_expiries_v1", "total_count": 10, "usable_count": 9, "excluded": [ { "expiry_date": "2027-03-30", "dte_days": 305, "reject_reason": "insufficient_strikes", "accept_tier": null, "why": "insufficient_strikes" } ] }, "build_metadata": { "git_commit": "503611c4", "build_timestamp": "2026-05-29T09:50:13.941045+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": "2026-05-29T09:50:13.942452+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": 9, "excluded_expiries": 1, "neg_cells": 0, "issues_fail": 0, "issues_warn": 11 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-05-29T09:50:13.945490+00:00", "asof_iso": "2026-05-29T15:20:06.232637+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": [] } } }