{ "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": "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": "baseline_fallback", "scope": "interval", "severity": "WARN", "expiry_dt": null, "interval_from": "2026-07-07", "interval_to": "2026-07-28", "strike": null, "target_key": "07-07\u219207-28", "message_short": "Baseline fallback", "message_long": "Baseline quality: FALLBACK (edge case)", "metrics": { "baseline_n": 1 } }, { "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": "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": "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" } } ], "summary": { "total": 9, "fail_count": 0, "warn_count": 7, "info_count": 2 }, "derived": { "structure_summary": { "iv_7d": { "pct": 26.09194684018591, "pct_cal": 14.293039107057481, "actual_dte": 5, "expiry_date": "2026-06-09", "tau_eff": 0.0041135272038915725, "tau_cal": 0.013708128909739652, "tau_ratio": 3.332451259048725 }, "iv_30d": { "pct": 26.358587716712673, "pct_cal": 14.68252613822553, "actual_dte": 33, "expiry_date": "2026-07-07", "tau_eff": 0.0280395943167643, "tau_cal": 0.09036795094943849, "tau_ratio": 3.222869415603825 }, "iv_90d": { "pct": 24.915664718933726, "pct_cal": 13.991295344510329, "actual_dte": 82, "expiry_date": "2026-08-25", "tau_eff": 0.07079963709152322, "tau_cal": 0.22452263951891144, "tau_ratio": 3.1712399772426707 }, "front_slope_pct": 0.2666408765267636, "back_slope_pct": -1.4429229977789448, "max_fwd_vol_pct": 26.80833364262712, "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": "2026-06-04T15:20:04.351118+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": 0.2680833364262712, "forward_variance": 0.0718686752694413 }, { "from": "2026-06-16", "to": "2026-06-23", "start_dte": 12, "end_dte": 19, "forward_vol": 0.2679007285215286, "forward_variance": 0.07177080034236576 }, { "from": "2026-06-09", "to": "2026-06-16", "start_dte": 5, "end_dte": 12, "forward_vol": 0.26485853182778474, "forward_variance": 0.07015004188196966 }, { "from": "2026-06-30", "to": "2026-07-07", "start_dte": 26, "end_dte": 33, "forward_vol": 0.2554628593262356, "forward_variance": 0.06526127249513604 }, { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 117, "end_dte": 208, "forward_vol": 0.2418757982332624, "forward_variance": 0.05850390177097787 } ], "lowest": [ { "from": "2026-08-25", "to": "2026-09-29", "start_dte": 82, "end_dte": 117, "forward_vol": 0.23025048685311422, "forward_variance": 0.05301528669609613 }, { "from": "2026-07-28", "to": "2026-08-25", "start_dte": 54, "end_dte": 82, "forward_vol": 0.23773066021883274, "forward_variance": 0.056515866808082106 }, { "from": "2026-07-07", "to": "2026-07-28", "start_dte": 33, "end_dte": 54, "forward_vol": 0.24119789426291782, "forward_variance": 0.05817642419686569 }, { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 117, "end_dte": 208, "forward_vol": 0.2418757982332624, "forward_variance": 0.05850390177097787 }, { "from": "2026-06-30", "to": "2026-07-07", "start_dte": 26, "end_dte": 33, "forward_vol": 0.2554628593262356, "forward_variance": 0.06526127249513604 } ], "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, 26.485853182778474, 26.638397307677447, 26.691927723586527, 26.404159110061663, 25.43857092809884, 24.8412820510324, 24.291829312334247, 24.245475855402226 ], [ null, null, 26.790072852152857, 26.798808481208486, 26.37609273432228, 25.257279929881953, 24.669360771183417, 24.13674564570585, 24.160210595917963 ], [ null, null, null, 26.80833364262712, 26.157517413661484, 24.934005461138288, 24.420044864616518, 23.933544808774144, 24.055491341218016 ], [ null, null, null, null, 25.546285932623558, 24.484206393394352, 24.131255984668037, 23.71625950108722, 23.951123331751617 ], [ null, null, null, null, null, 24.11978942629178, 23.922277119960366, 23.556227747980106, 23.884083266035834 ], [ null, null, null, null, null, null, 23.773066021883274, 23.36356504911312, 23.85119404171467 ], [ null, null, null, null, null, null, null, 23.025048685311422, 23.868893653844246 ], [ null, null, null, null, null, null, null, null, 24.187579823326242 ], [ 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": 23.50806207326336, "vmax": 26.792256759416766 }, "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": "d16ebebea", "build_timestamp": "2026-06-04T09:50:09.933021+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": "2026-06-04T09:50:09.933624+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": 7 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-06-04T09:50:09.937088+00:00", "asof_iso": "2026-06-04T15:20:04.351118+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": [] } } }