{ "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": "low_tier", "scope": "expiry", "severity": "WARN", "expiry_dt": "2027-03-30", "interval_from": null, "interval_to": null, "strike": null, "target_key": "2027-03-30", "message_short": "LOW tier (direct straddle)", "message_long": "Accept tier: LOW (DIRECT_STRADDLE_ONLY path)", "metrics": {} }, { "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": "2026-12-29", "interval_to": "2027-03-30", "strike": null, "target_key": "12-29\u219203-30", "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": "2026-12-29", "interval_to": "2027-03-30", "strike": null, "target_key": "12-29\u219203-30", "message_short": "Elevated fwd vol (44.1%)", "message_long": "Forward volatility: 44.1% (threshold: 30%)", "metrics": { "fwd_vol": 0.4413550306705195, "threshold": 0.3 } } ], "summary": { "total": 6, "fail_count": 0, "warn_count": 6, "info_count": 0 }, "derived": { "structure_summary": { "iv_7d": { "pct": 26.41016159909093, "pct_cal": 14.05375637253177, "actual_dte": 4, "expiry_date": "2026-06-09", "tau_eff": 0.003106421790403432, "tau_cal": 0.010970279684386646, "tau_ratio": 3.5314842685809036 }, "iv_30d": { "pct": 26.099458863050444, "pct_cal": 14.495989364518339, "actual_dte": 32, "expiry_date": "2026-07-07", "tau_eff": 0.02703248890327616, "tau_cal": 0.08763010172408549, "tau_ratio": 3.241658658869006 }, "iv_90d": { "pct": 24.907241897187383, "pct_cal": 13.972182031208394, "actual_dte": 81, "expiry_date": "2026-08-25", "tau_eff": 0.06979253167803508, "tau_cal": 0.22178479029355846, "tau_ratio": 3.1777725346988377 }, "front_slope_pct": -0.3107027360404857, "back_slope_pct": -1.1922169658630632, "max_fwd_vol_pct": 44.13550306705195, "max_fwd_vol_interval": { "from": "2026-12-29", "to": "2027-03-30" }, "max_fwd_vol_dte_range": { "start_dte": 207, "end_dte": 298 }, "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": "2026-06-05T15:20:04.301832+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": "2026-12-29", "to": "2027-03-30", "start_dte": 207, "end_dte": 298, "forward_vol": 0.4413550306705195, "forward_variance": 0.1947942630981752 }, { "from": "2026-06-16", "to": "2026-06-23", "start_dte": 11, "end_dte": 18, "forward_vol": 0.2697636941264931, "forward_variance": 0.07277245066877214 }, { "from": "2026-06-09", "to": "2026-06-16", "start_dte": 4, "end_dte": 11, "forward_vol": 0.26964745118560585, "forward_variance": 0.0727097479308937 }, { "from": "2026-06-23", "to": "2026-06-30", "start_dte": 18, "end_dte": 25, "forward_vol": 0.25937798611878193, "forward_variance": 0.06727693968303504 }, { "from": "2026-07-07", "to": "2026-07-28", "start_dte": 32, "end_dte": 53, "forward_vol": 0.24650926656270394, "forward_variance": 0.06076681850128223 } ], "lowest": [ { "from": "2026-08-25", "to": "2026-09-29", "start_dte": 81, "end_dte": 116, "forward_vol": 0.23492651132026615, "forward_variance": 0.05519046572111114 }, { "from": "2026-07-28", "to": "2026-08-25", "start_dte": 53, "end_dte": 81, "forward_vol": 0.2371961836710655, "forward_variance": 0.05626202954811785 }, { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 116, "end_dte": 207, "forward_vol": 0.24031276620994715, "forward_variance": 0.057750225603476715 }, { "from": "2026-06-30", "to": "2026-07-07", "start_dte": 25, "end_dte": 32, "forward_vol": 0.24251577864943216, "forward_variance": 0.058813902893940374 }, { "from": "2026-07-07", "to": "2026-07-28", "start_dte": 32, "end_dte": 53, "forward_vol": 0.24650926656270394, "forward_variance": 0.06076681850128223 } ], "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", "2027-03-30" ], "dte_days": [ 4, 11, 18, 25, 32, 53, 81, 116, 207, 298 ], "matrix_fwdvol_pct": [ [ null, 26.964745118560586, 26.970557891862924, 26.650257539091715, 26.058847311218813, 25.45775835650818, 24.835014825489232, 24.42606985612355, 24.251113216498585, 31.838635405271486 ], [ null, null, 26.97636941264931, 26.484706088764465, 25.740930099299163, 25.19415888863782, 24.610027467693996, 24.245364077369867, 24.146833570886347, 31.949470777782114 ], [ null, null, null, 25.937798611878193, 25.072244779770298, 24.81602694851423, 24.330298858936803, 24.035922515046902, 24.033698541828823, 32.06525275271231 ], [ null, null, null, null, 24.251577864943215, 24.551698434007935, 24.139243893250324, 23.895179942934217, 23.96276019435446, 32.196541844319555 ], [ null, null, null, null, null, 24.650926656270393, 24.12315348066838, 23.86503070201474, 23.950956042948725, 32.38114063379881 ], [ null, null, null, null, null, null, 23.719618367106552, 23.59473673214507, 23.852209450801322, 32.96575243647546 ], [ null, null, null, null, null, null, null, 23.492651132026616, 23.882205391032148, 33.98832711588688 ], [ null, null, null, null, null, null, null, null, 24.031276620994717, 35.64559356507125 ], [ null, null, null, null, null, null, null, null, null, 44.13550306705195 ], [ null, 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, 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": 23.746136583845505, "vmax": 33.783812180004595 }, "usable_count": 10, "excluded": [] }, "expiry_quality_summary": { "schema_version": "expiry_quality_summary_v1", "filter_policy_version": "usable_expiries_v1", "total_count": 10, "usable_count": 10, "excluded": [] }, "build_metadata": { "git_commit": "f97df47e2", "build_timestamp": "2026-06-05T09:50:09.568168+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": "2026-06-05T09:50:09.568941+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": 10, "excluded_expiries": 0, "neg_cells": 0, "issues_fail": 0, "issues_warn": 6 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-06-05T09:50:09.574657+00:00", "asof_iso": "2026-06-05T15:20:04.301832+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": [] } } }