Market Summary Term structure Forward matrix Details â–¼
ATM IV (30d)
23.8%
7d / 30d IV
22.7%% / 23.8%%
NEG Cells
0
why?
Usable Expiries
8
Clock: VT (primary) | Calendar (secondary) • Vintage: 202609 • β_on=0.181 • β_we=0.205

📈 Term Structure VT

Term Structure

🔲 Forward Matrix VT

Forward Volatility Matrix

📊 Carry Analysis

Spot: 22421.95
Showing 8 expiries (2 excluded)
Spot → Futures Forward / Roll
Exp DTE Basis Carry →Days Roll Fwd
10-06 5 41.1 13.4% 7 0.05% 2.5%
10-13 12 51.7 7.0% 6 0.11% 6.5%
10-19 18 75.8 6.8% 8 0.12% 5.3%
10-27 26 102.1 6.4% 7 0.12% 6.4%
11-03 33 129.7 6.4% 20 0.35% 6.3%
11-23 53 207.3 6.3% 36 0.64% 6.4%
12-29 89 350.4 6.4% 91 1.66% 6.5%
03-30 180 723.6 6.4% — — —
Carry/Fwd are annualized. Roll is the realized step return to next expiry.

See details → Carry tab

Advanced Details

Feature Availability

Feature Status Description
Forward Matrix JSON ✓ Always available
Quote Cards HTML ✓ ATM quote cards table
Event Window Tool ✗ Custom implied moves
Sliding Windows ✗ Not shipped yet
Smile Density Plots ✗ FULL mode only
Chain Snapshots ✗ FULL mode only
Carry Data ✓ Carry curve analysis

Data Counts

Metric Count
Usable Expiries 8
Excluded Expiries 2
NEG Cells 0
Issues (FAIL) 0
Issues (WARN) 2

Excluded Expiries

Expiry DTE Reject Reason
2027-06-29 270 insufficient_strikes
2027-09-28 361 insufficient_strikes

Export Files

File Description
run_diagnostics.json Full diagnostics with issues and metrics
quote_cards.html HTML table of all ATM quotes

Useful jq Queries

# Get all issues
cat exports/run_diagnostics.json | jq '.issues'

# Count issues by severity
cat exports/run_diagnostics.json | jq '.issues | group_by(.severity) | map({severity: .[0].severity, count: length})'

# Get structure summary
cat exports/run_diagnostics.json | jq '.structure_summary'

# Get NEG intervals
cat exports/run_diagnostics.json | jq '.structure_summary.neg_interval_count'

Debug artifacts only available in FULL mode.