{ "schema_version": "fwdvar_diagnostics_v4", "issues": [ { "code": "sparse_chain", "scope": "expiry", "severity": "INFO", "expiry_dt": "2026-07-07", "interval_from": null, "interval_to": null, "strike": null, "target_key": "2026-07-07", "message_short": "Sparse chain", "message_long": "Option chain is sparse (fewer strikes than normal)", "metrics": { "n_pairs_atm": 4, "min_pairs_required": 5 } }, { "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": "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": "2026-07-07", "strike": null, "target_key": "06-30\u219207-07", "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 (43%)", "message_long": "Weighted-mid coverage: 42.9% (threshold: 50%)", "metrics": { "avg_coverage": 42.87234042553192, "threshold": 50.0 } } ], "summary": { "total": 7, "fail_count": 0, "warn_count": 5, "info_count": 2 }, "derived": { "structure_summary": { "iv_7d": { "pct": 27.997913160609034, "pct_cal": 16.14476508425635, "actual_dte": 5, "expiry_date": "2026-06-09", "tau_eff": 0.004779444140154891, "tau_cal": 0.01437359005070094, "tau_ratio": 3.0073769311246985 }, "iv_30d": { "pct": 26.69135614830487, "pct_cal": 14.988317102129633, "actual_dte": 33, "expiry_date": "2026-07-07", "tau_eff": 0.028705511253027616, "tau_cal": 0.09103341209039978, "tau_ratio": 3.171286910307105 }, "iv_90d": { "pct": 25.68404977739238, "pct_cal": 14.469021648353685, "actual_dte": 82, "expiry_date": "2026-08-25", "tau_eff": 0.07146555402778654, "tau_cal": 0.22518810065987274, "tau_ratio": 3.1510019578427575 }, "front_slope_pct": -1.3065570123041659, "back_slope_pct": -1.0073063709124863, "max_fwd_vol_pct": 27.91419807476312, "max_fwd_vol_interval": { "from": "2026-06-23", "to": "2026-06-30" }, "max_fwd_vol_dte_range": { "start_dte": 19, "end_dte": 26 }, "neg_interval_count": 0, "clock_primary": "variance_time", "clock_secondary": "calendar", "vt_vintage": "202605", "beta_on": 0.1449158863564541, "beta_we": 0.18208533750086023, "quote_context_dt": "2026-06-04T09:30:03.994616+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": "2026-06-23", "to": "2026-06-30", "start_dte": 19, "end_dte": 26, "forward_vol": 0.2791419807476312, "forward_variance": 0.0779202454157109 }, { "from": "2026-06-09", "to": "2026-06-16", "start_dte": 5, "end_dte": 12, "forward_vol": 0.27412952798429124, "forward_variance": 0.0751469981128903 }, { "from": "2026-06-16", "to": "2026-06-23", "start_dte": 12, "end_dte": 19, "forward_vol": 0.2646906055051889, "forward_variance": 0.07006111664270355 }, { "from": "2026-07-07", "to": "2026-07-28", "start_dte": 33, "end_dte": 54, "forward_vol": 0.250895405344393, "forward_variance": 0.06294850442292725 }, { "from": "2026-07-28", "to": "2026-08-25", "start_dte": 54, "end_dte": 82, "forward_vol": 0.2490640613127188, "forward_variance": 0.06203290663758575 } ], "lowest": [ { "from": "2026-08-25", "to": "2026-09-29", "start_dte": 82, "end_dte": 117, "forward_vol": 0.23220282906706508, "forward_variance": 0.053918153826748645 }, { "from": "2026-06-30", "to": "2026-07-07", "start_dte": 26, "end_dte": 33, "forward_vol": 0.23834404987531416, "forward_variance": 0.056807886110966245 }, { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 117, "end_dte": 208, "forward_vol": 0.24027857734867153, "forward_variance": 0.05773379473270153 }, { "from": "2026-07-28", "to": "2026-08-25", "start_dte": 54, "end_dte": 82, "forward_vol": 0.2490640613127188, "forward_variance": 0.06203290663758575 }, { "from": "2026-07-07", "to": "2026-07-28", "start_dte": 33, "end_dte": 54, "forward_vol": 0.250895405344393, "forward_variance": 0.06294850442292725 } ], "neg_intervals": [] }, "forward_volatility_matrix": { "schema_version": "fwdvol_matrix_v2", "status": "available", "expiry_filter_policy_version": "usable_expiries_v1", "expiry_dates": [ "2026-06-09", "2026-06-16", "2026-06-23", "2026-06-30", "2026-07-07", "2026-07-28", "2026-08-25", "2026-09-29", "2026-12-29" ], "dte_days": [ 5, 12, 19, 26, 33, 54, 82, 117, 208 ], "matrix_fwdvol_pct": [ [ null, 27.412952798429124, 26.94514007716362, 27.253444562021606, 26.422618969398865, 25.8528700784706, 25.510154691643795, 24.82170642653933, 24.471488806923855 ], [ null, null, 26.46906055051889, 27.169856889761256, 26.074434340141035, 25.579802336035478, 25.310339882288652, 24.637214928002166, 24.35799042154003 ], [ null, null, null, 27.91419807476312, 25.866166861848306, 25.39513075810943, 25.17706639551605, 24.499487010100566, 24.274851698041854 ], [ null, null, null, null, 23.834404987531414, 24.78171701979849, 24.84413980021473, 24.23884344858331, 24.134456570092333 ], [ null, null, null, null, null, 25.089540534439298, 24.985056671628023, 24.272475490963473, 24.146564601653743 ], [ null, null, null, null, null, null, 24.90640613127188, 23.9913240494636, 24.012797460391138 ], [ null, null, null, null, null, null, null, 23.220282906706508, 23.805275238609518 ], [ null, null, null, null, null, null, null, null, 24.027857734867155 ], [ 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": 23.827122550300942, "vmax": 27.293321621123486 }, "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": 299, "reject_reason": "insufficient_strikes", "accept_tier": null, "why": "insufficient_strikes" } ] }, "build_metadata": { "git_commit": "826a740ca", "build_timestamp": "2026-06-04T04:00:08.951491+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": "2026-06-04T04:00:08.951735+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": 5 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-06-04T04:00:08.954681+00:00", "asof_iso": "2026-06-04T09:30:03.994616+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": [] } } }