{ "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": "low_tier", "scope": "expiry", "severity": "WARN", "expiry_dt": "2027-06-29", "interval_from": null, "interval_to": null, "strike": null, "target_key": "2027-06-29", "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": "2027-03-30", "interval_to": "2027-06-29", "strike": null, "target_key": "03-30\u219206-29", "message_short": "LOW confidence", "message_long": "Event confidence: LOW (baseline not robust)", "metrics": { "confidence": "LOW" } } ], "summary": { "total": 4, "fail_count": 0, "warn_count": 4, "info_count": 0 }, "derived": { "structure_summary": { "iv_7d": { "pct": null, "pct_cal": null, "actual_dte": null, "expiry_date": null, "tau_eff": null, "tau_cal": null, "tau_ratio": null }, "iv_30d": { "pct": 18.503264510333896, "pct_cal": 10.549400798494572, "actual_dte": 30, "expiry_date": "2026-10-19", "tau_eff": 0.027585483116394832, "tau_cal": 0.08486365327505895, "tau_ratio": 3.0763881465110927 }, "iv_90d": { "pct": 18.578682632753047, "pct_cal": 10.662799859244672, "actual_dte": 101, "expiry_date": "2026-12-29", "tau_eff": 0.09198298776678006, "tau_cal": 0.27925105916143816, "tau_ratio": 3.035898984597786 }, "front_slope_pct": null, "back_slope_pct": 0.07541812241914914, "max_fwd_vol_pct": 20.111014923197526, "max_fwd_vol_interval": { "from": "2026-10-13", "to": "2026-10-19" }, "max_fwd_vol_dte_range": { "start_dte": 25, "end_dte": 31 }, "neg_interval_count": 0, "clock_primary": "variance_time", "clock_secondary": "calendar", "vt_vintage": "202608", "beta_on": 0.17242368948004796, "beta_we": 0.20058050546898457, "quote_context_dt": "2026-09-18T15:35:06.775407+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": "2026-10-13", "to": "2026-10-19", "start_dte": 25, "end_dte": 31, "forward_vol": 0.20111014923197526, "forward_variance": 0.04044529212410736, "leg_accept_tier_worst": "HIGH", "leg_atm_gate_passed_both": true }, { "from": "2027-03-30", "to": "2027-06-29", "start_dte": 193, "end_dte": 284, "forward_vol": 0.19410186890266945, "forward_variance": 0.03767553551150908, "leg_accept_tier_worst": "LOW", "leg_atm_gate_passed_both": false }, { "from": "2026-12-29", "to": "2027-03-30", "start_dte": 102, "end_dte": 193, "forward_vol": 0.19103695171548737, "forward_variance": 0.03649511692074545, "leg_accept_tier_worst": "LOW", "leg_atm_gate_passed_both": false }, { "from": "2026-10-27", "to": "2026-11-23", "start_dte": 39, "end_dte": 66, "forward_vol": 0.19042177033705357, "forward_variance": 0.03626045061829757, "leg_accept_tier_worst": "HIGH", "leg_atm_gate_passed_both": true }, { "from": "2026-10-06", "to": "2026-10-13", "start_dte": 18, "end_dte": 25, "forward_vol": 0.18844338072174097, "forward_variance": 0.03551090773783901, "leg_accept_tier_worst": "HIGH", "leg_atm_gate_passed_both": true } ], "lowest": [ { "from": "2026-10-19", "to": "2026-10-27", "start_dte": 31, "end_dte": 39, "forward_vol": 0.17868969982407332, "forward_variance": 0.03193000882321743, "leg_accept_tier_worst": "HIGH", "leg_atm_gate_passed_both": true }, { "from": "2026-09-29", "to": "2026-10-06", "start_dte": 11, "end_dte": 18, "forward_vol": 0.17895171798932455, "forward_variance": 0.032023717371330744, "leg_accept_tier_worst": "HIGH", "leg_atm_gate_passed_both": true }, { "from": "2026-09-22", "to": "2026-09-29", "start_dte": 4, "end_dte": 11, "forward_vol": 0.1808191696269739, "forward_variance": 0.03269557210458836, "leg_accept_tier_worst": "HIGH", "leg_atm_gate_passed_both": true }, { "from": "2026-11-23", "to": "2026-12-29", "start_dte": 66, "end_dte": 102, "forward_vol": 0.18434162866425502, "forward_variance": 0.033981836058590086, "leg_accept_tier_worst": "LOW", "leg_atm_gate_passed_both": false }, { "from": "2026-10-06", "to": "2026-10-13", "start_dte": 18, "end_dte": 25, "forward_vol": 0.18844338072174097, "forward_variance": 0.03551090773783901, "leg_accept_tier_worst": "HIGH", "leg_atm_gate_passed_both": true } ], "neg_intervals": [] }, "forward_volatility_matrix": { "schema_version": "fwdvol_matrix_v2", "status": "available", "expiry_filter_policy_version": "usable_expiries_v1", "expiry_dates": [ "2026-09-22", "2026-09-29", "2026-10-06", "2026-10-13", "2026-10-19", "2026-10-27", "2026-11-23", "2026-12-29", "2027-03-30", "2027-06-29" ], "dte_days": [ 3, 10, 17, 24, 30, 38, 65, 101, 192, 283 ], "matrix_fwdvol_pct": [ [ null, 18.081916962697388, 17.992642970962983, 18.28871848533404, 18.709509602436125, 18.52329356401974, 18.754500047681823, 18.637968423882796, 18.866085468655914, 19.045925239052085 ], [ null, null, 17.895171798932456, 18.39546987271816, 18.932051985848414, 18.636222239825788, 18.84014560062957, 18.681018199408648, 18.895929531341057, 19.07018343991746 ], [ null, null, null, 18.844338072174097, 19.431249227737965, 18.86310528473739, 18.964943675012446, 18.74100487133059, 18.932079804754814, 19.09790899522325 ], [ null, null, null, null, 20.111014923197526, 18.87282448177469, 18.98575337596559, 18.73139787560342, 18.93575931669709, 19.104754686394845 ], [ null, null, null, null, null, 17.868969982407332, 18.788650725274355, 18.610895438282853, 18.89158690773169, 19.080732389592665 ], [ null, null, null, null, null, null, 19.042177033705357, 18.700453294445985, 18.941304512991643, 19.11751011448569 ], [ null, null, null, null, null, null, null, 18.434162866425503, 18.91970707209355, 19.12682777219987 ], [ null, null, null, null, null, null, null, null, 19.103695171548736, 19.257550783037615 ], [ null, null, null, null, null, null, null, null, null, 19.410186890266946 ], [ 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": 18.010497769309865, "vmax": 19.37965966882108 }, "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": "38544f868", "build_timestamp": "2026-09-18T10:05:10.388375+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": "2026-09-18T10:05:10.388944+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": 4 } }, "ui_presets": { "schema_version": "ui_presets_v1", "generated_at_utc": "2026-09-18T10:05:10.392775+00:00", "asof_iso": "2026-09-18T15:35:06.775407+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": [] } } }