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Vol-Nowcast Z (MAGNITUDE)

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Auto-generated. This article is rebuilt from app/signals/config/signal_definitions.json by scripts/build_signals_kb.py. Edit the registry entry and re-run the script — do not edit this file directly.

Vol-Nowcast Z (MAGNITUDE)

What it is

Vol-Nowcast Z (MAGNITUDE) — registry key vol_nowcast_z.

MAGNITUDE / vol-nowcast FORWARD CARRIER (2026-06-19). The oriented weighted-z composite over the three SURVIVING positioning/breadth legs from the MAGNITUDE re-target hardening (dealer-gamma analytics + breadth pct_above_200sma + the AAII survey spread; research/findings/MAGNITUDE_retarget_richer_control_2026-06-18.md — naaim COLLAPSED under the joint {VIX,slope,SKEW} control, +0.042 sign-flipped, and is OUT). POSITIVE = elevated forward-vol risk. RESEARCH-EVIDENCED, NOT a shipped product surface: the second-regime falsifier is OPEN, so it is NOT scored / banded / aligned / a health-score component / a dashboard dial / an alert source / wired into drawdown-risk (the drawdown lens is the down-tail; this is the two-sided magnitude analogue — a future operator decision, post-falsifier, may revisit whether they merge). The live forward series accrues from deploy and is graded against forward 20d realized vol by a run-on-demand grader (/api/v1/signals/vol-nowcast-grade). Every surface labels it research-evidenced + forward-graded + 2nd-regime-open, never a validated product read. Prereg: research/planning/prereg_vol_nowcast_2026-06-19.md.

Data-pyramid tier

T1 — Signal. This metric sits at the signal layer of the platform’s six-tier data pyramid (T0 raw inputs → T5 actionable read). The tier reflects how far the value is from a raw measurement — not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

No validated skill horizon is on file for this metric — read it as context / a data carrier, not a validated edge. Stamps are added only when a gated research verdict lands.

Source

Source module: computed
Data source: computed

Derived metric — produced inside the platform (app/signals/computed.py or equivalent) rather than fetched as a raw upstream value. See the How it's computed section below for the formula.

How it’s computed

vol_nowcast_z = sum(oriented_z * weight) / sum(weight) over the three SURVIVING legs (gex / pct_above_200sma / aaii_bull_bear_spread). Per leg: z = (level - trailing_mean) / trailing_std over the trailing ~2y (504-row) baseline; oriented_z = -z (every survivor is NEGATIVE-IC vs forward realized vol — a LOW value = stress/bearish positioning = a BIGGER forward move, so the negation makes +z = elevated forward-vol risk, mirroring drawdown_risk’s +z orientation). Weight = each leg’s HARDENED partial-IC|{VIX,term_slope,SKEW} residual from the richer-control hardening (pct_above_200sma 0.212 / aaii_bull_bear_spread 0.211 / gex 0.120 — the genuinely VIX-independent skill the second-regime test grades; config app/signals/config/scoring_thresholds.json vol_nowcast.feature_weights). Computed at capture (app/signals/vol_nowcast.py:compute_vol_nowcast + capture._inject_vol_nowcast). The live read does NOT residualize on the vol surface — VIX-independence is an established PROPERTY of the legs (proved by the partial-IC study), not a runtime operation, and no fitted model ships (the drawdown-composite posture). ABSTAINS (NULL) when fewer than 2 legs resolve a level + a >=2-sample baseline. Graded forward against the leak-free forward 20d realized vol (std(log_ret[T+1..T+20], ddof=1) * sqrt(252) — the exact research/studies/magnitude_retarget.py:build_targets shape) by a run-on-demand grader; prereg research/planning/prereg_vol_nowcast_2026-06-19.md.

Where it surfaces

Health-score / alignment role

Data carrier — no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

See also