{"asof": "2026-10-28", "disclaimer": "research & market data, not investment advice", "evidence_url": "https://liquilens-undertow.com/markets/", "full_fidelity": "/undertow/x402/board (x402, $0.05)", "funding_regime": "STRAIN", "report_scope": "Public observation subset; coverage counts describe the full board. A withheld composite does not suppress the available observations.", "segment_reports": [{"coverage": {"blockers": [], "history_eta_days": null, "history_eta_scope": "Observation-count and elapsed-span projection only; excludes source, universe and validation blockers.", "rating_status": "PUBLISHED", "report_status": "PUBLISHED", "schema": "undertow.segment-evidence.v1", "score_eta_days": null, "source_findings": [], "summary": "Composite published: minimum observation and replay gates passed. 1 stress test(s) failed; inspect validation scope.", "use_now": "Inspect dealer settlement fails, positioning and auction measures with their observation dates.", "validation_scope": "At least one historical cell stress test passed on the available source coverage. Retrospective construction replay, not forecasting or an as-published-vintage backtest. Stress tests also failed: oct2022_ust_illiquidity."}, "n_measures": 19, "n_qualifying": 6, "n_visible_measures": 2, "observations": [{"asof": "2026-10-26", "measure": "2s10s slope (DGS10-DGS2)", "obs": 12597, "span_days": 18409.0, "stress_pctl": null}, {"asof": "2026-10-15", "measure": "UST auction concession (10Y curve point)", "obs": 101, "span_days": 2157.0, "stress_pctl": null}], "report_url": "https://liquilens-undertow.com/markets/ust/", "segment": "UST", "tier": "NORMAL"}, {"coverage": {"blockers": [], "history_eta_days": null, "history_eta_scope": "Observation-count and elapsed-span projection only; excludes source, universe and validation blockers.", "rating_status": "PUBLISHED", "report_status": "PUBLISHED", "schema": "undertow.segment-evidence.v1", "score_eta_days": null, "source_findings": [], "summary": "Composite published: minimum observation and replay gates passed.", "use_now": "Compare corporate spreads and dealer measures; credit spreads also reflect credit risk.", "validation_scope": "At least one historical cell stress test passed on the available source coverage. Retrospective construction replay, not forecasting or an as-published-vintage backtest."}, "n_measures": 3, "n_qualifying": 3, "n_visible_measures": 2, "observations": [{"asof": "2026-10-26", "measure": "IG OAS (BAMLC0A0CM)", "obs": 783, "span_days": 1092.0, "stress_pctl": 0.6341}, {"asof": "2026-10-14", "measure": "dealer corporate net positions (congestion)", "obs": 707, "span_days": 4942.0, "stress_pctl_withheld": true, "stress_pctl_withheld_note": "withheld: the numeric stress_pctl of this row, and of this row only. The cell score is the MEAN of its n_qualifying rows, so with exactly one qualifying row behind the free trim, score x n_qualifying minus the free percentiles is that trimmed row's percentile exactly, and the free register names it. Withholding one free qualifying percentile leaves two unknowns in that equation instead of one. This row keeps its name, its limits and its caveat; the cell keeps its tier, its score and its true counts. The percentile is Agent/Desk tier, the same tier it is on any trimmed row."}], "report_url": "https://liquilens-undertow.com/markets/ig/", "segment": "IG", "tier": "NORMAL"}, {"coverage": {"blockers": [], "history_eta_days": null, "history_eta_scope": "Observation-count and elapsed-span projection only; excludes source, universe and validation blockers.", "rating_status": "PUBLISHED", "report_status": "PUBLISHED", "schema": "undertow.segment-evidence.v1", "score_eta_days": null, "source_findings": [], "summary": "Composite published: minimum observation and replay gates passed. 1 stress test(s) failed; inspect validation scope.", "use_now": "Compare high-yield OAS with the NY Fed CMDI; CMDI is an existing composite index with overlapping credit inputs and a monthly release lag.", "validation_scope": "Passing stress evidence covers named measures only; the complete composite has not passed a historical stress test. Retrospective construction replay, not forecasting or an as-published-vintage backtest. Stress tests also failed: hy_cmdi_dec2015_dislocation_v1."}, "n_measures": 2, "n_qualifying": 2, "n_visible_measures": 2, "observations": [{"asof": "2026-09-25", "measure": "HY Corporate Bond Market Distress Index (NY Fed CMDI)", "obs": 1134, "span_days": 7931.0, "stress_pctl": 0.1614}, {"asof": "2026-10-26", "measure": "HY OAS (BAMLH0A0HYM2)", "obs": 784, "span_days": 1092.0, "stress_pctl": 0.8068}], "report_url": "https://liquilens-undertow.com/markets/hy/", "segment": "HY", "tier": "NORMAL"}, {"coverage": {"blockers": [{"action": "Correct the model and validate a separately registered candidate on unseen evidence; additional live history alone does not clear this failure.", "code": "FAILED_NEGATIVE_CONTROL", "detail": "Failed negative control: calm_2017_vix_control, calm2019_equity_benchmark_impact_control.", "episodes": ["calm_2017_vix_control", "calm2019_equity_benchmark_impact_control"]}], "history_eta_days": null, "history_eta_scope": "Observation-count and elapsed-span projection only; excludes source, universe and validation blockers.", "rating_status": "WITHHELD", "report_status": "PUBLISHED", "schema": "undertow.segment-evidence.v1", "score_eta_days": null, "source_findings": [], "summary": "5/9 measures qualify; composite withheld by validation.", "use_now": "Inspect volatility and monthly price-impact proxies; neither is an executable order-book quote.", "validation_scope": "At least one historical cell stress test passed on the available source coverage. Retrospective construction replay, not forecasting or an as-published-vintage backtest."}, "n_measures": 9, "n_qualifying": 5, "n_visible_measures": 2, "observations": [{"asof": "2026-09-30", "measure": "ETF proxy: iwm_amihud", "obs": 60, "span_days": 1797.0, "stress_pctl": 0.075}, {"asof": "2026-09-30", "measure": "ETF proxy: iwm_lambda_hat", "obs": 60, "span_days": 1797.0, "stress_pctl": 0.0583}], "report_url": "https://liquilens-undertow.com/markets/equity/", "segment": "EQUITY", "tier": "PARTIAL"}, {"coverage": {"blockers": [{"action": "Correct the model and validate a separately registered candidate on unseen evidence; additional live history alone does not clear this failure.", "code": "FAILED_NEGATIVE_CONTROL", "detail": "Failed negative control: calm2019_fixed_etf_impact_control.", "episodes": ["calm2019_fixed_etf_impact_control"]}], "history_eta_days": null, "history_eta_scope": "Observation-count and elapsed-span projection only; excludes source, universe and validation blockers.", "rating_status": "WITHHELD", "report_status": "PUBLISHED", "schema": "undertow.segment-evidence.v1", "score_eta_days": null, "source_findings": [], "summary": "4/6 measures qualify; composite withheld by validation.", "use_now": "Compare completed-month SPY/IWM impact proxies with the structural authorized-participant inventory; these do not measure today\u2019s executable bid-ask spread.", "validation_scope": "At least one historical cell stress test passed on the available source coverage. Retrospective construction replay, not forecasting or an as-published-vintage backtest."}, "n_measures": 6, "n_qualifying": 4, "n_visible_measures": 2, "observations": [{"asof": "2026-10-28", "measure": "ap_top_complex_share_of_mapped_flow", "obs": 48, "stress_pctl": null}, {"asof": "2026-09-30", "measure": "iwm_amihud", "obs": 60, "span_days": 1797.0, "stress_pctl": 0.075}], "report_url": "https://liquilens-undertow.com/markets/etf/", "segment": "ETF", "tier": "PARTIAL"}, {"coverage": {"blockers": [{"action": "Accrue eligible observations or obtain a documented point-in-time history; descriptive backfills do not automatically qualify.", "code": "INSUFFICIENT_QUALIFIED_HISTORY", "detail": "0/2 measures qualify; 2 need a published percentile, at least 60 eligible observations and 21 elapsed days.", "episodes": []}, {"action": "Resolve the recorded failure or inconclusive result with eligible evidence; preserve the original verdict.", "code": "NO_PASSING_REPLAY", "detail": "No positive validation episode has passed; a calm control alone cannot establish sensitivity.", "episodes": []}], "history_eta_days": 1738.5, "history_eta_scope": "Observation-count and elapsed-span projection only; excludes source, universe and validation blockers.", "rating_status": "WITHHELD", "report_status": "PUBLISHED", "schema": "undertow.segment-evidence.v1", "score_eta_days": null, "source_findings": [], "summary": "Observations published; 0/2 measures qualify for a composite.", "use_now": "Inspect currency-ETF wrapper measures; these observations do not measure the OTC interbank FX market.", "validation_scope": "No registered stress test has passed. Retrospective construction replay, not forecasting or an as-published-vintage backtest."}, "n_measures": 2, "n_qualifying": 0, "n_visible_measures": 2, "observations": [{"asof": "2026-09-30", "freshness_max_age_days": 70, "measure": "amihud (fx)", "obs": 3, "span_days": 61.0, "stress_pctl": null}, {"asof": "2026-09-30", "freshness_max_age_days": 70, "measure": "lambda_hat (fx)", "obs": 3, "span_days": 61.0, "stress_pctl": null}], "report_url": "https://liquilens-undertow.com/markets/fx/", "segment": "FX", "tier": "PARTIAL"}, {"coverage": {"blockers": [{"action": "Resolve the recorded failure or inconclusive result with eligible evidence; preserve the original verdict.", "code": "NO_PASSING_REPLAY", "detail": "No positive validation episode has passed; a calm control alone cannot establish sensitivity.", "episodes": []}], "history_eta_days": null, "history_eta_scope": "Observation-count and elapsed-span projection only; excludes source, universe and validation blockers.", "rating_status": "WITHHELD", "report_status": "PUBLISHED", "schema": "undertow.segment-evidence.v1", "score_eta_days": null, "source_findings": [{"action": "Wait for source publication authorization; retained history cannot bypass a publication hold.", "code": "RESTRICTED_SOURCE_PUBLICATION", "detail": "2 source reading(s) restricted; excluded from the current score."}], "summary": "11/19 measures qualify; composite withheld by validation. 2 source reading(s) restricted; excluded from the current score.", "use_now": "Inspect the available onshore funding and China-market measures, retaining each source's coverage limits.", "validation_scope": "No registered stress test has passed. Retrospective construction replay, not forecasting or an as-published-vintage backtest."}, "n_measures": 19, "n_qualifying": 11, "n_visible_measures": 2, "observations": [{"asof": "2026-10-28", "freshness_max_age_days": 14, "measure": "CNY_PARITY source availability", "obs": 0, "source_status": "restricted", "stress_pctl": null}, {"asof": "2026-10-28", "freshness_max_age_days": 14, "measure": "FDR007 source availability", "obs": 0, "source_status": "restricted", "stress_pctl": null}], "report_url": "https://liquilens-undertow.com/markets/cn/", "segment": "CN", "tier": "PARTIAL"}, {"coverage": {"blockers": [], "history_eta_days": null, "history_eta_scope": "Observation-count and elapsed-span projection only; excludes source, universe and validation blockers.", "rating_status": "PUBLISHED", "report_status": "PUBLISHED", "schema": "undertow.segment-evidence.v1", "score_eta_days": null, "source_findings": [], "summary": "Composite published: minimum observation and replay gates passed.", "use_now": "Compare observed venue depth, spreads and cost measures at their stated timestamps.", "validation_scope": "Passing stress evidence covers named measures only; the complete composite has not passed a historical stress test. Retrospective construction replay, not forecasting or an as-published-vintage backtest."}, "n_measures": 38, "n_qualifying": 38, "n_visible_measures": 2, "observations": [{"asof": "2026-10-28", "measure": "binance_btc_basis_bp", "obs": 2543, "span_days": 97.32, "stress_pctl": 0.0364}, {"asof": "2026-10-28", "measure": "binance_btc_funding_24h", "obs": 2543, "span_days": 97.32, "stress_pctl": 0.8081}], "report_url": "https://liquilens-undertow.com/markets/crypto/", "segment": "CRYPTO", "tier": "NORMAL"}, {"coverage": {"blockers": [{"action": "Resolve the recorded failure or inconclusive result with eligible evidence; preserve the original verdict.", "code": "NO_PASSING_REPLAY", "detail": "No positive validation episode has passed; a calm control alone cannot establish sensitivity.", "episodes": []}], "history_eta_days": null, "history_eta_scope": "Observation-count and elapsed-span projection only; excludes source, universe and validation blockers.", "rating_status": "WITHHELD", "report_status": "PUBLISHED", "schema": "undertow.segment-evidence.v1", "score_eta_days": null, "source_findings": [], "summary": "22/22 measures qualify; composite withheld by validation.", "use_now": "Inspect tokenized-stock venue and peg observations; these instruments differ from the underlying shares.", "validation_scope": "No registered stress test has passed. Retrospective construction replay, not forecasting or an as-published-vintage backtest. Stress tests also failed: nvdab_conversion_pause_sep2026_peg."}, "n_measures": 22, "n_qualifying": 22, "n_visible_measures": 2, "observations": [{"asof": "2026-10-28", "measure": "crclbusdt_depth_1pct_quote", "obs": 2612, "span_days": 100.17, "stress_pctl": 0.0771}, {"asof": "2026-10-28", "measure": "crclbusdt_peg_deviation", "obs": 437, "span_days": 99.04, "stress_pctl": 0.8227}], "report_url": "https://liquilens-undertow.com/markets/bstock/", "segment": "BSTOCK", "tier": "PARTIAL"}], "segments": {"BSTOCK": "PARTIAL", "CN": "PARTIAL", "CRYPTO": "NORMAL", "EQUITY": "PARTIAL", "ETF": "PARTIAL", "FX": "PARTIAL", "HY": "NORMAL", "IG": "NORMAL", "UST": "NORMAL"}}