{ "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": "2026-12-29", "interval_from": null, "interval_to": null, "strike": null, "target_key": "2026-12-29", "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": "2026-06-30", "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_coverage", "scope": "run", "severity": "WARN", "expiry_dt": null, "interval_from": null, "interval_to": null, "strike": null, "target_key": "run", "message_short": "Low coverage (49%)", "message_long": "Weighted-mid coverage: 48.8% (threshold: 50%)", "metrics": { "avg_coverage": 48.75, "threshold": 50.0 } } ], "summary": { "total": 5, "fail_count": 0, "warn_count": 4, "info_count": 1 }, "derived": { "structure_summary": { "iv_7d": { "pct": 29.69205746226491, "pct_cal": 16.93930282871212, "actual_dte": 8, "expiry_date": "2026-06-16", "tau_eff": 0.007134838516907999, "tau_cal": 0.021921671661723326, "tau_ratio": 3.0724832257624026 }, "iv_30d": { "pct": 28.814684153760485, "pct_cal": 16.15153949078798, "actual_dte": 29, "expiry_date": "2026-07-07", "tau_eff": 0.024952328090529448, "tau_cal": 0.07941653819149745, "tau_ratio": 3.182730601463984 }, "iv_90d": { "pct": 26.824038817086738, "pct_cal": 15.103820231504084, "actual_dte": 78, "expiry_date": "2026-08-25", "tau_eff": 0.06771237086528838, "tau_cal": 0.2135712267609704, "tau_ratio": 3.1540946511216337 }, "front_slope_pct": -0.8773733085044255, "back_slope_pct": -1.9906453366737464, "max_fwd_vol_pct": 29.267572833297773, "max_fwd_vol_interval": { "from": "2026-06-16", "to": "2026-06-23" }, "max_fwd_vol_dte_range": { "start_dte": 8, "end_dte": 15 }, "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": "2026-06-08T15:20:04.654368+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": "2026-06-16", "to": "2026-06-23", "start_dte": 8, "end_dte": 15, "forward_vol": 0.2926757283329777, "forward_variance": 0.08565908195523898 }, { "from": "2026-06-23", "to": "2026-06-30", "start_dte": 15, "end_dte": 22, "forward_vol": 0.28922548976393836, "forward_variance": 0.08365138392919 }, { "from": "2026-06-30", "to": "2026-07-07", "start_dte": 22, "end_dte": 29, "forward_vol": 0.27171958597096796, "forward_variance": 0.07383153340023424 }, { "from": "2026-07-07", "to": "2026-07-28", "start_dte": 29, "end_dte": 50, "forward_vol": 0.2646668200859999, "forward_variance": 0.07004852565443505 }, { "from": "2026-07-28", "to": "2026-08-25", "start_dte": 50, "end_dte": 78, "forward_vol": 0.24913989041760412, "forward_variance": 0.06207068499729579 } ], "lowest": [ { "from": "2026-08-25", "to": "2026-09-29", "start_dte": 78, "end_dte": 113, "forward_vol": 0.20642380458859183, "forward_variance": 0.04261078710082915 }, { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 113, "end_dte": 204, "forward_vol": 0.24460040584495515, "forward_variance": 0.05982935853951678 }, { "from": "2026-07-28", "to": "2026-08-25", "start_dte": 50, "end_dte": 78, "forward_vol": 0.24913989041760412, "forward_variance": 0.06207068499729579 }, { "from": "2026-07-07", "to": "2026-07-28", "start_dte": 29, "end_dte": 50, "forward_vol": 0.2646668200859999, "forward_variance": 0.07004852565443505 }, { "from": "2026-06-30", "to": "2026-07-07", "start_dte": 22, "end_dte": 29, "forward_vol": 0.27171958597096796, "forward_variance": 0.07383153340023424 } ], "neg_intervals": [] }, "forward_volatility_matrix": { "schema_version": "fwdvol_matrix_v2", "status": "available", "expiry_filter_policy_version": "usable_expiries_v1", "expiry_dates": [ "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": [ 8, 15, 22, 29, 50, 78, 113, 204 ], "matrix_fwdvol_pct": [ [ null, 29.267572833297773, 29.10305938000228, 28.455764384123793, 27.465246996393994, 26.46579198779891, 24.688208242080314, 24.58320931268045 ], [ null, null, 28.922548976393834, 28.022907759399114, 27.084008768806626, 26.132852025071056, 24.3237852909484, 24.389108489871838 ], [ null, null, null, 27.171958597096797, 26.644751376375208, 25.793891000407505, 23.96385882434811, 24.21116194882404 ], [ null, null, null, null, 26.46668200859999, 25.59096707134007, 23.674888569547438, 24.08321582315307 ], [ null, null, null, null, null, 24.913989041760413, 22.658405039560343, 23.73359722907459 ], [ null, null, null, null, null, null, 20.642380458859183, 23.45737509011659 ], [ null, null, null, null, null, null, null, 24.460040584495516 ], [ 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": 22.93804455725503, "vmax": 29.039880738739324 }, "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": 295, "reject_reason": "insufficient_strikes", "accept_tier": null, "why": "insufficient_strikes" } ] }, "build_metadata": { "git_commit": "60c61121e", "build_timestamp": "2026-06-08T09:50:09.697510+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": "2026-06-08T09:50:09.698006+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": 4 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-06-08T09:50:09.700935+00:00", "asof_iso": "2026-06-08T15:20:04.654368+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": [] } } }