{ "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": "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" } } ], "summary": { "total": 4, "fail_count": 0, "warn_count": 3, "info_count": 1 }, "derived": { "structure_summary": { "iv_7d": { "pct": 19.01319889590232, "pct_cal": 11.183509978990468, "actual_dte": 7, "expiry_date": "2026-08-11", "tau_eff": 0.006729230424603875, "tau_cal": 0.019449996311950213, "tau_ratio": 2.890374542805935 }, "iv_30d": { "pct": 18.965010873633318, "pct_cal": 11.037037978917233, "actual_dte": 28, "expiry_date": "2026-09-01", "tau_eff": 0.02606024604299429, "tau_cal": 0.07694486284172435, "tau_ratio": 2.9525762233702793 }, "iv_90d": { "pct": 18.889774996704563, "pct_cal": 10.862682973884585, "actual_dte": 84, "expiry_date": "2026-10-27", "tau_eff": 0.07614609577382805, "tau_cal": 0.23026450692112202, "tau_ratio": 3.023983102233661 }, "front_slope_pct": -0.04818802226900232, "back_slope_pct": -0.07523587692875311, "max_fwd_vol_pct": 19.29893925083628, "max_fwd_vol_interval": { "from": "2026-08-25", "to": "2026-09-01" }, "max_fwd_vol_dte_range": { "start_dte": 21, "end_dte": 28 }, "neg_interval_count": 0, "clock_primary": "variance_time", "clock_secondary": "calendar", "vt_vintage": "202607", "beta_on": 0.1695145953023504, "beta_we": 0.20016774313035984, "quote_context_dt": "2026-08-04T13:00:04.796386+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": "2026-09-01", "start_dte": 21, "end_dte": 28, "forward_vol": 0.1929893925083628, "forward_variance": 0.03724490562074692 }, { "from": "2026-10-27", "to": "2026-12-29", "start_dte": 84, "end_dte": 147, "forward_vol": 0.19243813745285246, "forward_variance": 0.037032436746322936 }, { "from": "2026-09-29", "to": "2026-10-27", "start_dte": 56, "end_dte": 84, "forward_vol": 0.19085205837731542, "forward_variance": 0.03642450818685821 }, { "from": "2026-08-18", "to": "2026-08-25", "start_dte": 14, "end_dte": 21, "forward_vol": 0.18970107313092796, "forward_variance": 0.035986497147025676 }, { "from": "2026-09-01", "to": "2026-09-29", "start_dte": 28, "end_dte": 56, "forward_vol": 0.1861708082789006, "forward_variance": 0.03465956985521916 } ], "lowest": [ { "from": "2026-12-29", "to": "2027-03-30", "start_dte": 147, "end_dte": 238, "forward_vol": 0.18390965433003398, "forward_variance": 0.033822760955792584 }, { "from": "2026-08-11", "to": "2026-08-18", "start_dte": 7, "end_dte": 14, "forward_vol": 0.18568513325228275, "forward_variance": 0.034478968710918 }, { "from": "2026-09-01", "to": "2026-09-29", "start_dte": 28, "end_dte": 56, "forward_vol": 0.1861708082789006, "forward_variance": 0.03465956985521916 }, { "from": "2026-08-18", "to": "2026-08-25", "start_dte": 14, "end_dte": 21, "forward_vol": 0.18970107313092796, "forward_variance": 0.035986497147025676 }, { "from": "2026-09-29", "to": "2026-10-27", "start_dte": 56, "end_dte": 84, "forward_vol": 0.19085205837731542, "forward_variance": 0.03642450818685821 } ], "neg_intervals": [] }, "forward_volatility_matrix": { "schema_version": "fwdvol_matrix_v2", "status": "available", "expiry_filter_policy_version": "usable_expiries_v1", "expiry_dates": [ "2026-08-11", "2026-08-18", "2026-08-25", "2026-09-01", "2026-09-29", "2026-10-27", "2026-12-29", "2027-03-30" ], "dte_days": [ 7, 14, 21, 28, 56, 84, 147, 238 ], "matrix_fwdvol_pct": [ [ null, 18.568513325228274, 18.77038436712787, 18.94820760904934, 18.761328135317186, 18.87776745166677, 19.04384409681167, 18.786486554924306 ], [ null, null, 18.970107313092797, 19.135229652106688, 18.79369701528541, 18.909126342911783, 19.06901748299337, 18.793335738812036 ], [ null, null, null, 19.29893925083628, 18.757646297347165, 18.90216276985402, 19.074611077976826, 18.78753732692375 ], [ null, null, null, null, 18.61708082789006, 18.850510135214485, 19.06104107748753, 18.770037215468808 ], [ null, null, null, null, null, 19.085205837731543, 19.1958978342665, 18.79325254539198 ], [ null, null, null, null, null, null, 19.243813745285244, 18.741341648665756 ], [ null, null, null, null, null, null, null, 18.390965433003398 ], [ 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": 18.585511951159898, "vmax": 19.227043176428683 }, "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": 329, "reject_reason": "insufficient_strikes", "accept_tier": null, "why": "insufficient_strikes" } ] }, "build_metadata": { "git_commit": "33762bf08", "build_timestamp": "2026-08-04T07:30:11.430853+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": "2026-08-04T07:30:11.432544+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": 3 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-08-04T07:30:11.434808+00:00", "asof_iso": "2026-08-04T13:00:04.796386+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": [] } } }