{
  "generated": "2026-03-11T12:07:42.250034",
  "part1_walkforward_300day": {
    "eod_up_convexity": {
      "label": "Deep Calls (up_convexity) EOD",
      "full_ic": 0.1322,
      "full_pval": 0.0241,
      "full_n": 291,
      "bootstrap_mean": 0.1324,
      "bootstrap_95ci": [
        0.0042,
        0.2495
      ],
      "is_ic_200_100": 0.101,
      "oos_ic_200_100": 0.2491,
      "walk_forward_mean_ic": 0.1626,
      "walk_forward_positive_pct": 85.7,
      "walk_forward_ic_std": 0.1552,
      "walk_forward_n_windows": 7,
      "quintile_spread_bps": 50.5,
      "multi_split": [
        {
          "split": "50/50",
          "is_ic": 0.1187,
          "oos_ic": 0.1581,
          "sign_consistent": true
        },
        {
          "split": "60/40",
          "is_ic": 0.1187,
          "oos_ic": 0.1588,
          "sign_consistent": true
        },
        {
          "split": "67/32",
          "is_ic": 0.0821,
          "oos_ic": 0.2734,
          "sign_consistent": true
        },
        {
          "split": "75/25",
          "is_ic": 0.105,
          "oos_ic": 0.2467,
          "sign_consistent": true
        }
      ]
    },
    "tail_asym": {
      "label": "Tail Asymmetry (down_conv - up_conv)",
      "full_ic": -0.1345,
      "full_pval": 0.0217,
      "full_n": 291,
      "bootstrap_mean": -0.1327,
      "bootstrap_95ci": [
        -0.2572,
        -0.0134
      ],
      "is_ic_200_100": -0.1234,
      "oos_ic_200_100": -0.1634,
      "walk_forward_mean_ic": -0.1163,
      "walk_forward_positive_pct": 28.6,
      "walk_forward_ic_std": 0.1208,
      "walk_forward_n_windows": 7,
      "quintile_spread_bps": -50.9,
      "multi_split": [
        {
          "split": "50/50",
          "is_ic": -0.1398,
          "oos_ic": -0.1057,
          "sign_consistent": true
        },
        {
          "split": "60/40",
          "is_ic": -0.1423,
          "oos_ic": -0.1005,
          "sign_consistent": true
        },
        {
          "split": "67/32",
          "is_ic": -0.1033,
          "oos_ic": -0.1993,
          "sign_consistent": true
        },
        {
          "split": "75/25",
          "is_ic": -0.1322,
          "oos_ic": -0.1132,
          "sign_consistent": true
        }
      ]
    },
    "composite": {
      "label": "Composite (weighted z-score)",
      "full_ic": 0.1271,
      "full_pval": 0.0302,
      "full_n": 291,
      "bootstrap_mean": 0.1266,
      "bootstrap_95ci": [
        0.0019,
        0.2474
      ],
      "is_ic_200_100": 0.1094,
      "oos_ic_200_100": 0.2009,
      "walk_forward_mean_ic": 0.1225,
      "walk_forward_positive_pct": 85.7,
      "walk_forward_ic_std": 0.1315,
      "walk_forward_n_windows": 7,
      "quintile_spread_bps": 37.5,
      "multi_split": [
        {
          "split": "50/50",
          "is_ic": 0.131,
          "oos_ic": 0.1406,
          "sign_consistent": true
        },
        {
          "split": "60/40",
          "is_ic": 0.1277,
          "oos_ic": 0.1292,
          "sign_consistent": true
        },
        {
          "split": "67/32",
          "is_ic": 0.086,
          "oos_ic": 0.2332,
          "sign_consistent": true
        },
        {
          "split": "75/25",
          "is_ic": 0.1182,
          "oos_ic": 0.1502,
          "sign_consistent": true
        }
      ]
    },
    "eod_down_convexity": {
      "label": "Deep Puts (down_convexity) EOD",
      "full_ic": -0.0904,
      "full_pval": 0.124,
      "full_n": 291,
      "bootstrap_mean": -0.089,
      "bootstrap_95ci": [
        -0.2112,
        0.0334
      ],
      "is_ic_200_100": -0.0935,
      "oos_ic_200_100": -0.0908,
      "walk_forward_mean_ic": -0.0577,
      "walk_forward_positive_pct": 28.6,
      "walk_forward_ic_std": 0.1226,
      "walk_forward_n_windows": 7,
      "quintile_spread_bps": -11.7,
      "multi_split": [
        {
          "split": "50/50",
          "is_ic": -0.1255,
          "oos_ic": -0.0341,
          "sign_consistent": true
        },
        {
          "split": "60/40",
          "is_ic": -0.1171,
          "oos_ic": -0.0301,
          "sign_consistent": true
        },
        {
          "split": "67/32",
          "is_ic": -0.0848,
          "oos_ic": -0.1033,
          "sign_consistent": true
        },
        {
          "split": "75/25",
          "is_ic": -0.1007,
          "oos_ic": -0.0504,
          "sign_consistent": true
        }
      ]
    },
    "net_put_call": {
      "label": "Net Put-Call",
      "full_ic": 0.0759,
      "full_pval": 0.1965,
      "full_n": 291,
      "bootstrap_mean": 0.0766,
      "bootstrap_95ci": [
        -0.0415,
        0.1904
      ],
      "is_ic_200_100": 0.0593,
      "oos_ic_200_100": 0.1605,
      "walk_forward_mean_ic": 0.0999,
      "walk_forward_positive_pct": 57.1,
      "walk_forward_ic_std": 0.2359,
      "walk_forward_n_windows": 7,
      "quintile_spread_bps": 15.3,
      "multi_split": [
        {
          "split": "50/50",
          "is_ic": 0.1033,
          "oos_ic": 0.0483,
          "sign_consistent": true
        },
        {
          "split": "60/40",
          "is_ic": 0.0853,
          "oos_ic": 0.0777,
          "sign_consistent": true
        },
        {
          "split": "67/32",
          "is_ic": 0.0658,
          "oos_ic": 0.13,
          "sign_consistent": true
        },
        {
          "split": "75/25",
          "is_ic": 0.0666,
          "oos_ic": 0.1413,
          "sign_consistent": true
        }
      ]
    },
    "eod_parallel_shift": {
      "label": "Parallel Shift EOD",
      "full_ic": 0.0532,
      "full_pval": 0.3658,
      "full_n": 291,
      "bootstrap_mean": 0.055,
      "bootstrap_95ci": [
        -0.0633,
        0.1694
      ],
      "is_ic_200_100": 0.0258,
      "oos_ic_200_100": 0.1251,
      "walk_forward_mean_ic": 0.0357,
      "walk_forward_positive_pct": 57.1,
      "walk_forward_ic_std": 0.1894,
      "walk_forward_n_windows": 7,
      "quintile_spread_bps": 28.3,
      "multi_split": [
        {
          "split": "50/50",
          "is_ic": 0.0421,
          "oos_ic": 0.0599,
          "sign_consistent": true
        },
        {
          "split": "60/40",
          "is_ic": 0.0019,
          "oos_ic": 0.1342,
          "sign_consistent": true
        },
        {
          "split": "67/32",
          "is_ic": 0.0081,
          "oos_ic": 0.1609,
          "sign_consistent": true
        },
        {
          "split": "75/25",
          "is_ic": 0.0471,
          "oos_ic": 0.0536,
          "sign_consistent": true
        }
      ]
    }
  },
  "part2_term_structure_proxies": {
    "vix1d_vix_ratio": {
      "label": "VIX1D/VIX Ratio (near-term stress)",
      "full_ic": 0.1354,
      "full_pval": 0.0024,
      "n": 501,
      "bootstrap_95ci": [
        0.0402,
        0.2329
      ],
      "walk_forward_mean_ic": 0.1922,
      "walk_forward_positive_pct": 81.8,
      "quintile_spread_bps": 16.5
    },
    "vix9d_vix_ratio": {
      "label": "VIX9D/VIX Ratio (term structure slope)",
      "full_ic": 0.073,
      "full_pval": 0.1028,
      "n": 501,
      "bootstrap_95ci": [
        -0.0199,
        0.1599
      ],
      "walk_forward_mean_ic": 0.1227,
      "walk_forward_positive_pct": 72.7,
      "quintile_spread_bps": 18.0
    },
    "vix1d_vix9d_ratio": {
      "label": "VIX1D/VIX9D Ratio (short-end steepness)",
      "full_ic": 0.1327,
      "full_pval": 0.0029,
      "n": 501,
      "bootstrap_95ci": [
        0.0394,
        0.2253
      ],
      "walk_forward_mean_ic": 0.1749,
      "walk_forward_positive_pct": 81.8,
      "quintile_spread_bps": 29.3
    },
    "vix_change": {
      "label": "VIX Daily Change",
      "full_ic": 0.0335,
      "full_pval": 0.4552,
      "n": 500,
      "bootstrap_95ci": [
        -0.0544,
        0.1235
      ],
      "walk_forward_mean_ic": 0.0209,
      "walk_forward_positive_pct": 72.7,
      "quintile_spread_bps": 13.8
    },
    "vix_range": {
      "label": "VIX Intraday Range",
      "full_ic": 0.0554,
      "full_pval": 0.2158,
      "n": 501,
      "bootstrap_95ci": [
        -0.0311,
        0.1434
      ],
      "walk_forward_mean_ic": 0.0952,
      "walk_forward_positive_pct": 81.8,
      "quintile_spread_bps": 2.3
    },
    "vvix_level": {
      "label": "VVIX Level",
      "full_ic": 0.0417,
      "full_pval": 0.3559,
      "n": 492,
      "bootstrap_95ci": [
        -0.0521,
        0.137
      ],
      "walk_forward_mean_ic": 0.0733,
      "walk_forward_positive_pct": 63.6,
      "quintile_spread_bps": 7.1
    },
    "vvix_vix_ratio": {
      "label": "VVIX/VIX Ratio",
      "full_ic": -0.1163,
      "full_pval": 0.0098,
      "n": 492,
      "bootstrap_95ci": [
        -0.2115,
        -0.0278
      ],
      "walk_forward_mean_ic": -0.2255,
      "walk_forward_positive_pct": 9.1,
      "quintile_spread_bps": -22.8
    },
    "vix1d_ratio_change": {
      "label": "VIX1D/VIX Ratio Change",
      "full_ic": 0.0197,
      "full_pval": 0.6597,
      "n": 500,
      "bootstrap_95ci": [
        -0.0733,
        0.1054
      ],
      "walk_forward_mean_ic": 0.0655,
      "walk_forward_positive_pct": 54.5,
      "quintile_spread_bps": -0.3
    },
    "vix9d_ratio_change": {
      "label": "VIX9D/VIX Ratio Change",
      "full_ic": -0.0254,
      "full_pval": 0.5707,
      "n": 500,
      "bootstrap_95ci": [
        -0.1154,
        0.0611
      ],
      "walk_forward_mean_ic": 0.0129,
      "walk_forward_positive_pct": 45.5,
      "quintile_spread_bps": -2.5
    },
    "vix1d_vix_ratio_z": {
      "label": "VIX1D/VIX Z-Score",
      "full_ic": 0.0828,
      "full_pval": 0.0692,
      "n": 482,
      "bootstrap_95ci": [
        -0.0143,
        0.1776
      ],
      "walk_forward_mean_ic": 0.1683,
      "walk_forward_positive_pct": 72.7,
      "quintile_spread_bps": 9.1
    },
    "vix9d_vix_ratio_z": {
      "label": "VIX9D/VIX Z-Score",
      "full_ic": 0.0167,
      "full_pval": 0.7145,
      "n": 482,
      "bootstrap_95ci": [
        -0.0783,
        0.1084
      ],
      "walk_forward_mean_ic": 0.1123,
      "walk_forward_positive_pct": 63.6,
      "quintile_spread_bps": -2.3
    },
    "vix_level_z": {
      "label": "VIX Level Z-Score",
      "full_ic": 0.0175,
      "full_pval": 0.7015,
      "n": 482,
      "bootstrap_95ci": [
        -0.0759,
        0.1125
      ],
      "walk_forward_mean_ic": 0.1948,
      "walk_forward_positive_pct": 90.9,
      "quintile_spread_bps": 1.1
    }
  },
  "part2b_proxy_decomp_correlation": {
    "VIX1D/VIX \u2194 Deep Calls": {
      "corr": 0.0731,
      "pval": 0.2147,
      "n": 290
    },
    "VIX1D/VIX \u2194 Deep Puts": {
      "corr": -0.1359,
      "pval": 0.0206,
      "n": 290
    },
    "VIX9D/VIX \u2194 Parallel Shift": {
      "corr": -0.0139,
      "pval": 0.814,
      "n": 290
    },
    "VIX Change \u2194 Parallel Shift": {
      "corr": -0.1776,
      "pval": 0.0024,
      "n": 290
    },
    "VIX Change \u2194 Deep Puts": {
      "corr": -0.0829,
      "pval": 0.1591,
      "n": 290
    },
    "VVIX Level \u2194 Deep Puts": {
      "corr": -0.203,
      "pval": 0.0005,
      "n": 287
    },
    "VVIX/VIX \u2194 Deep Calls": {
      "corr": -0.0294,
      "pval": 0.6204,
      "n": 287
    },
    "VIX1D Ratio Chg \u2194 Deep Calls": {
      "corr": 0.1081,
      "pval": 0.0661,
      "n": 290
    }
  },
  "part3_gex_combos": {
    "gex_alone_sm_gex_z": {
      "label": "SM GEX Z-Score",
      "ic": -0.0709,
      "pval": 0.2286,
      "n": 290,
      "bootstrap_95ci": [
        -0.1864,
        0.0556
      ]
    },
    "gex_alone_sm_dix_z": {
      "label": "SM DIX Z-Score",
      "ic": 0.0517,
      "pval": 0.3801,
      "n": 290,
      "bootstrap_95ci": [
        -0.0683,
        0.1602
      ]
    },
    "gex_alone_net_gex_z": {
      "label": "Dealer Net GEX Z-Score",
      "ic": -0.0518,
      "pval": 0.3816,
      "n": 288,
      "bootstrap_95ci": [
        -0.16,
        0.0534
      ]
    },
    "decomp_alone_eod_up_convexity": {
      "label": "Deep Calls EOD",
      "ic": 0.131,
      "pval": 0.0257,
      "n": 290
    },
    "decomp_alone_tail_asym": {
      "label": "Tail Asymmetry",
      "ic": -0.1333,
      "pval": 0.0232,
      "n": 290
    },
    "decomp_alone_composite": {
      "label": "Composite",
      "ic": 0.126,
      "pval": 0.0319,
      "n": 290
    },
    "combo_deep_calls_x_gex": {
      "label": "Deep Calls \u00d7 SM GEX (interaction)",
      "ic": -0.0538,
      "pval": 0.3616,
      "n": 290,
      "bootstrap_95ci": [
        -0.1829,
        0.0798
      ],
      "walk_forward_mean_ic": 0.015,
      "walk_forward_positive_pct": 60.0,
      "quintile_spread_bps": -46.2
    },
    "combo_tail_asym_x_gex": {
      "label": "Tail Asym \u00d7 SM GEX (interaction)",
      "ic": 0.0397,
      "pval": 0.5012,
      "n": 290,
      "bootstrap_95ci": [
        -0.0837,
        0.16
      ],
      "walk_forward_mean_ic": -0.0648,
      "walk_forward_positive_pct": 50.0,
      "quintile_spread_bps": 32.9
    },
    "combo_decomp_plus_gex": {
      "label": "Composite + SM GEX (additive)",
      "ic": 0.0697,
      "pval": 0.2364,
      "n": 290,
      "bootstrap_95ci": [
        -0.0541,
        0.1881
      ],
      "walk_forward_mean_ic": 0.0465,
      "walk_forward_positive_pct": 70.0,
      "quintile_spread_bps": 32.4
    },
    "combo_decomp_plus_dix": {
      "label": "Composite + SM DIX (additive)",
      "ic": 0.1371,
      "pval": 0.0195,
      "n": 290,
      "bootstrap_95ci": [
        0.0148,
        0.2605
      ],
      "walk_forward_mean_ic": 0.1402,
      "walk_forward_positive_pct": 90.0,
      "quintile_spread_bps": 48.6
    },
    "combo_decomp_plus_gex_dix": {
      "label": "Composite + GEX + DIX (additive)",
      "ic": 0.1009,
      "pval": 0.0862,
      "n": 290,
      "bootstrap_95ci": [
        -0.024,
        0.232
      ],
      "walk_forward_mean_ic": 0.0862,
      "walk_forward_positive_pct": 70.0,
      "quintile_spread_bps": 42.3
    },
    "combo_decomp_plus_dealer_gex": {
      "label": "Composite + Dealer GEX (additive)",
      "ic": 0.1311,
      "pval": 0.0255,
      "n": 290,
      "bootstrap_95ci": [
        0.0171,
        0.2541
      ],
      "walk_forward_mean_ic": 0.1122,
      "walk_forward_positive_pct": 80.0,
      "quintile_spread_bps": 50.3
    },
    "combo_deep_calls_x_dealer_gex": {
      "label": "Deep Calls \u00d7 Dealer GEX (interaction)",
      "ic": -0.0532,
      "pval": 0.3666,
      "n": 290,
      "bootstrap_95ci": [
        -0.1688,
        0.0629
      ],
      "walk_forward_mean_ic": -0.0475,
      "walk_forward_positive_pct": 30.0,
      "quintile_spread_bps": -9.0
    }
  },
  "metadata": {
    "decomp_days": 291,
    "decomp_range": "2025-01-02 to 2026-03-02",
    "term_structure_days": 502,
    "term_structure_range": "2024-03-11 to 2026-03-11",
    "gex_combo_days": 290,
    "vix_median": 17.2
  },
  "conclusions": {
    "eod_up_convexity": {
      "label": "Deep Calls (up_convexity) EOD",
      "verdict": "ROBUST",
      "assessment": [
        "CI excludes zero \u2713",
        "WF positive 86% \u2713",
        "Sign consistent 4/4 splits \u2713"
      ],
      "full_ic": 0.1322,
      "bootstrap_95ci": [
        0.0042,
        0.2495
      ],
      "walk_forward_positive_pct": 85.7,
      "sign_consistent_splits": "4/4"
    },
    "tail_asym": {
      "label": "Tail Asymmetry (down_conv - up_conv)",
      "verdict": "FRAGILE",
      "assessment": [
        "CI excludes zero \u2713",
        "WF positive only 29% \u2717",
        "Sign consistent 4/4 splits \u2713"
      ],
      "full_ic": -0.1345,
      "bootstrap_95ci": [
        -0.2572,
        -0.0134
      ],
      "walk_forward_positive_pct": 28.6,
      "sign_consistent_splits": "4/4"
    },
    "composite": {
      "label": "Composite (weighted z-score)",
      "verdict": "ROBUST",
      "assessment": [
        "CI excludes zero \u2713",
        "WF positive 86% \u2713",
        "Sign consistent 4/4 splits \u2713"
      ],
      "full_ic": 0.1271,
      "bootstrap_95ci": [
        0.0019,
        0.2474
      ],
      "walk_forward_positive_pct": 85.7,
      "sign_consistent_splits": "4/4"
    }
  }
}