{ "schema_version": "fwdvar_diagnostics_v4", "issues": [ { "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": "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": "rejected", "scope": "expiry", "severity": "INFO", "expiry_dt": "2027-06-29", "interval_from": null, "interval_to": null, "strike": null, "target_key": "2027-06-29", "message_short": "Rejected: insufficient_strikes", "message_long": "Expiry rejected: insufficient_strikes", "metrics": { "reject_reason": "insufficient_strikes" } }, { "code": "neg_fwdvar", "scope": "interval", "severity": "INFO", "expiry_dt": null, "interval_from": "2026-12-29", "interval_to": "2027-03-30", "strike": null, "target_key": "12-29\u219203-30", "message_short": "NEG forward variance", "message_long": "Negative forward variance: -0.0481", "metrics": { "fwd_var": -0.04811185447634253, "near_var": 0.006389626119285, "far_var": 0.0024617016283732846, "ba_age_near": 1.388251, "ba_age_far": 255.9785 } } ], "summary": { "total": 4, "fail_count": 0, "warn_count": 2, "info_count": 2 }, "derived": { "structure_summary": { "iv_7d": { "pct": 18.1871326351331, "pct_cal": 10.818567192968633, "actual_dte": 8, "expiry_date": "2026-07-14", "tau_eff": 0.007992310404951243, "tau_cal": 0.02258714381961873, "tau_ratio": 2.826109432089371 }, "iv_30d": { "pct": 19.195238142313983, "pct_cal": 11.111121006027608, "actual_dte": 29, "expiry_date": "2026-08-04", "tau_eff": 0.026832659070643052, "tau_cal": 0.08008201034939286, "tau_ratio": 2.984497739808747 }, "iv_90d": { "pct": 20.26228407162102, "pct_cal": 11.60621714040314, "actual_dte": 85, "expiry_date": "2026-09-29", "tau_eff": 0.07657879242626249, "tau_cal": 0.2334016544287905, "tau_ratio": 3.047862822510975 }, "front_slope_pct": 1.0081055071808842, "back_slope_pct": 1.0670459293070367, "max_fwd_vol_pct": 20.9151984014223, "max_fwd_vol_interval": { "from": "2026-08-25", "to": "2026-09-29" }, "max_fwd_vol_dte_range": { "start_dte": 50, "end_dte": 85 }, "neg_interval_count": 1, "clock_primary": "variance_time", "clock_secondary": "calendar", "vt_vintage": "202606", "beta_on": 0.15477964854366905, "beta_we": 0.1942884133079315, "quote_context_dt": "2026-07-06T09:30:03.950198+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": "2026-08-25", "to": "2026-09-29", "start_dte": 50, "end_dte": 85, "forward_vol": 0.20915198401422297, "forward_variance": 0.04374455241708578 }, { "from": "2026-08-04", "to": "2026-08-25", "start_dte": 29, "end_dte": 50, "forward_vol": 0.2064996097389252, "forward_variance": 0.04264208882232841 }, { "from": "2026-07-21", "to": "2026-07-28", "start_dte": 15, "end_dte": 22, "forward_vol": 0.20286784885384096, "forward_variance": 0.041155364098584855 }, { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 85, "end_dte": 176, "forward_vol": 0.20154301173373979, "forward_variance": 0.04061958557870637 }, { "from": "2026-07-28", "to": "2026-08-04", "start_dte": 22, "end_dte": 29, "forward_vol": 0.19536664719170604, "forward_variance": 0.03816812683492855 } ], "lowest": [ { "from": "2026-07-14", "to": "2026-07-21", "start_dte": 8, "end_dte": 15, "forward_vol": 0.1897620632871733, "forward_variance": 0.03600964066300516 }, { "from": "2026-07-28", "to": "2026-08-04", "start_dte": 22, "end_dte": 29, "forward_vol": 0.19536664719170604, "forward_variance": 0.03816812683492855 }, { "from": "2026-09-29", "to": "2026-12-29", "start_dte": 85, "end_dte": 176, "forward_vol": 0.20154301173373979, "forward_variance": 0.04061958557870637 }, { "from": "2026-07-21", "to": "2026-07-28", "start_dte": 15, "end_dte": 22, "forward_vol": 0.20286784885384096, "forward_variance": 0.041155364098584855 }, { "from": "2026-08-04", "to": "2026-08-25", "start_dte": 29, "end_dte": 50, "forward_vol": 0.2064996097389252, "forward_variance": 0.04264208882232841 } ], "neg_intervals": [ { "from": "2026-12-29", "to": "2027-03-30", "forward_variance": -0.04811185447634253, "notes": "NEG_FWDVAR", "debug": { "quote_age_near": "1s", "pricing_mode": "weighted_mid" } } ] }, "forward_volatility_matrix": { "schema_version": "fwdvol_matrix_v2", "status": "available", "expiry_filter_policy_version": "usable_expiries_v1", "expiry_dates": [ "2026-07-14", "2026-07-21", "2026-07-28", "2026-08-04", "2026-08-25", "2026-09-29", "2026-12-29", "2027-03-30" ], "dte_days": [ 8, 15, 22, 29, 50, 85, 176, 267 ], "matrix_fwdvol_pct": [ [ null, 18.97620632871733, 19.64242917278691, 19.607237744985788, 20.13535026032176, 20.490432145234365, 20.31025010645536, 9.771503966131643 ], [ null, null, 20.286784885384098, 19.915256831574304, 20.359261155577265, 20.636894349297975, 20.367148605041578, 9.383951597314233 ], [ null, null, null, 19.536664719170606, 20.377339945507718, 20.67576944338823, 20.370853869953095, 8.872481876267132 ], [ null, null, null, null, 20.64996097389252, 20.81514267974166, 20.41039585825032, 8.349618631967074 ], [ null, null, null, null, null, 20.9151984014223, 20.369383176039918, 5.898782514051675 ], [ null, null, null, null, null, null, 20.15430117337398, null ], [ null, null, null, null, null, null, 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, true ], [ false, false, false, false, false, false, false, true ], [ false, false, false, false, false, false, false, false ] ], "clip": { "method": "percentile", "p_lo": 5, "p_hi": 95, "vmin": 8.48033444304209, "vmax": 20.780299370653303 }, "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": "2027-06-29", "dte_days": 358, "reject_reason": "insufficient_strikes", "accept_tier": null, "why": "insufficient_strikes" } ] }, "build_metadata": { "git_commit": "c4f384ac2", "build_timestamp": "2026-07-06T04:00:08.647227+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": "2026-07-06T04:00:08.647642+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": 1, "issues_fail": 0, "issues_warn": 2 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-07-06T04:00:08.650012+00:00", "asof_iso": "2026-07-06T09:30:03.950198+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": [] } } }