{
  "engine": "vol-target-unwind-trigger",
  "version": "1.0",
  "as_of": "2026-05-20T15:38:45.884987Z",
  "state": "NULL",
  "prior_state": "NULL",
  "transitioned_this_run": false,
  "regime_analog_set": "monitoring",
  "signal_strength": 35,
  "current_readings": {
    "spy_close": 739.28998,
    "spy_realized_vol_5d_pct": 13.91,
    "spy_realized_vol_21d_pct": 10.58,
    "spy_realized_vol_21d_cc_pct": 10.58,
    "spy_realized_vol_5d_parkinson_pct": 8.74,
    "spy_realized_vol_21d_yang_zhang_pct": 10.77,
    "vix": 17.62,
    "vix_minus_rv21": 7.04
  },
  "trigger_conditions": [
    {
      "name": "RV21 >= 20% (de-lever)",
      "current": 10.58,
      "threshold": 20.0,
      "satisfied": false,
      "weight": 0.5
    },
    {
      "name": "RV21 >= 25% (panic)",
      "current": 10.58,
      "threshold": 25.0,
      "satisfied": false,
      "weight": 0.25
    },
    {
      "name": "RV5 confirming (>RV21)",
      "current": 13.91,
      "threshold": 10.584972161883153,
      "satisfied": true,
      "weight": 0.15
    },
    {
      "name": "VIX > RV21 (vol premium)",
      "current": 17.62,
      "threshold": 10.58,
      "satisfied": true,
      "weight": 0.1
    }
  ],
  "thresholds": {
    "re_lever_pct": 16.0,
    "normal_hi_pct": 18.0,
    "de_lever_pct": 20.0,
    "panic_pct": 25.0
  },
  "aum_at_risk_usd_bn": 675,
  "aum_breakdown_bn": {
    "risk_parity": 175,
    "vol_control": 95,
    "cta_trend": 285,
    "target_date_glide": 120
  },
  "forward_expectations": {
    "1w": {
      "return_pct": 0.48,
      "win_rate_pct": 53.8,
      "n": 13,
      "median_pct": 0.07,
      "best_pct": 4.23,
      "worst_pct": -3.22,
      "basis": "13 historical analog crossings, SPY since 2000"
    },
    "1m": {
      "return_pct": -2.66,
      "win_rate_pct": 38.5,
      "n": 13,
      "median_pct": -5.42,
      "best_pct": 8.22,
      "worst_pct": -10.35,
      "basis": "13 historical analog crossings, SPY since 2000"
    },
    "3m": {
      "return_pct": 0.06,
      "win_rate_pct": 33.3,
      "n": 12,
      "median_pct": -0.87,
      "best_pct": 15.65,
      "worst_pct": -14.16,
      "basis": "12 historical analog crossings, SPY since 2000"
    },
    "12m": {
      "return_pct": 7.96,
      "win_rate_pct": 66.7,
      "n": 12,
      "median_pct": 12.54,
      "best_pct": 23.89,
      "worst_pct": -16.59,
      "basis": "12 historical analog crossings, SPY since 2000"
    }
  },
  "recommended_trade": {
    "primary": {
      "instrument": "NO ACTIVE TRADE",
      "direction": "WAIT",
      "thesis": "State=NULL. No mechanical-flow signal active. Wait for RV21 to cross 20% (de-lever) or 16% (re-lever).",
      "size_guidance": "0%",
      "expected_horizon": "monitor",
      "expected_return_basis": "no signal"
    },
    "defined_risk_alt": null,
    "leveraged_alt": null,
    "exit_rules": [
      "Trigger: RV21 currently 10.6% \u2014 alerts at 20% UP or 16% DOWN."
    ]
  },
  "why_now_explainer": "**No trigger active.** RV21 is **10.6%**, well within the normal regime (16-18%). Vol-targeting funds are stable. Wait for a crossing event.",
  "historical_episodes_up": [
    {
      "date": "2021-12-21",
      "rv_at_trigger": 20.25,
      "entry_price": 463.06,
      "fwd_1w_pct": 3.11,
      "fwd_1m_pct": -5.42,
      "fwd_3m_pct": -4.16,
      "fwd_12m_pct": -16.59
    },
    {
      "date": "2022-02-03",
      "rv_at_trigger": 20.18,
      "entry_price": 446.6,
      "fwd_1w_pct": 0.61,
      "fwd_1m_pct": -6.08,
      "fwd_3m_pct": -7.34,
      "fwd_12m_pct": -8.23
    },
    {
      "date": "2022-02-09",
      "rv_at_trigger": 20.54,
      "entry_price": 457.54,
      "fwd_1w_pct": -2.39,
      "fwd_1m_pct": -8.19,
      "fwd_3m_pct": -14.16,
      "fwd_12m_pct": -10.82
    },
    {
      "date": "2022-04-26",
      "rv_at_trigger": 20.3,
      "entry_price": 416.1,
      "fwd_1w_pct": 0.07,
      "fwd_1m_pct": -4.5,
      "fwd_3m_pct": -3.62,
      "fwd_12m_pct": -0.89
    },
    {
      "date": "2022-07-27",
      "rv_at_trigger": 20.1,
      "entry_price": 401.04,
      "fwd_1w_pct": 3.34,
      "fwd_1m_pct": 4.61,
      "fwd_3m_pct": -4.02,
      "fwd_12m_pct": 13.93
    },
    {
      "date": "2022-08-26",
      "rv_at_trigger": 20.52,
      "entry_price": 405.31,
      "fwd_1w_pct": -3.22,
      "fwd_1m_pct": -10.35,
      "fwd_3m_pct": -0.74,
      "fwd_12m_pct": 10.82
    },
    {
      "date": "2022-08-30",
      "rv_at_trigger": 20.22,
      "entry_price": 398.21,
      "fwd_1w_pct": -0.11,
      "fwd_1m_pct": -8.89,
      "fwd_3m_pct": -0.75,
      "fwd_12m_pct": 13.09
    },
    {
      "date": "2022-09-07",
      "rv_at_trigger": 20.83,
      "entry_price": 397.78,
      "fwd_1w_pct": -0.8,
      "fwd_1m_pct": -6.18,
      "fwd_3m_pct": -0.99,
      "fwd_12m_pct": 12.0
    },
    {
      "date": "2022-12-16",
      "rv_at_trigger": 20.35,
      "entry_price": 383.27,
      "fwd_1w_pct": -0.09,
      "fwd_1m_pct": 1.4,
      "fwd_3m_pct": 4.08,
      "fwd_12m_pct": 23.89
    },
    {
      "date": "2024-08-08",
      "rv_at_trigger": 20.89,
      "entry_price": 530.65,
      "fwd_1w_pct": 4.23,
      "fwd_1m_pct": 2.97,
      "fwd_3m_pct": 11.38,
      "fwd_12m_pct": 21.11
    },
    {
      "date": "2025-03-19",
      "rv_at_trigger": 20.19,
      "entry_price": 567.13,
      "fwd_1w_pct": 0.26,
      "fwd_1m_pct": -7.18,
      "fwd_3m_pct": 5.34,
      "fwd_12m_pct": 14.36
    },
    {
      "date": "2025-04-03",
      "rv_at_trigger": 25.82,
      "entry_price": 536.7,
      "fwd_1w_pct": -2.26,
      "fwd_1m_pct": 5.0,
      "fwd_3m_pct": 15.65,
      "fwd_12m_pct": 22.83
    },
    {
      "date": "2026-04-08",
      "rv_at_trigger": 20.06,
      "entry_price": 676.01,
      "fwd_1w_pct": 3.54,
      "fwd_1m_pct": 8.22,
      "fwd_3m_pct": null,
      "fwd_12m_pct": null
    }
  ],
  "historical_episodes_down": [
    {
      "date": "2021-10-18",
      "rv_at_trigger": 15.96,
      "entry_price": 447.19,
      "fwd_1w_pct": 1.87,
      "fwd_1m_pct": 4.94,
      "fwd_3m_pct": 2.08,
      "fwd_12m_pct": -17.01
    },
    {
      "date": "2022-01-04",
      "rv_at_trigger": 15.98,
      "entry_price": 477.55,
      "fwd_1w_pct": -1.63,
      "fwd_1m_pct": -6.48,
      "fwd_3m_pct": -5.55,
      "fwd_12m_pct": -20.56
    },
    {
      "date": "2022-01-06",
      "rv_at_trigger": 15.77,
      "entry_price": 467.94,
      "fwd_1w_pct": -0.73,
      "fwd_1m_pct": -4.42,
      "fwd_3m_pct": -4.1,
      "fwd_12m_pct": -17.11
    },
    {
      "date": "2023-02-07",
      "rv_at_trigger": 15.68,
      "entry_price": 415.19,
      "fwd_1w_pct": -0.61,
      "fwd_1m_pct": -5.69,
      "fwd_3m_pct": -1.03,
      "fwd_12m_pct": 20.02
    },
    {
      "date": "2023-03-01",
      "rv_at_trigger": 15.83,
      "entry_price": 394.74,
      "fwd_1w_pct": 1.06,
      "fwd_1m_pct": 2.27,
      "fwd_3m_pct": 5.85,
      "fwd_12m_pct": 29.92
    },
    {
      "date": "2023-04-11",
      "rv_at_trigger": 15.09,
      "entry_price": 409.72,
      "fwd_1w_pct": 1.1,
      "fwd_1m_pct": 0.76,
      "fwd_3m_pct": 8.86,
      "fwd_12m_pct": 26.43
    },
    {
      "date": "2023-11-16",
      "rv_at_trigger": 15.85,
      "entry_price": 450.23,
      "fwd_1w_pct": 1.13,
      "fwd_1m_pct": 4.83,
      "fwd_3m_pct": 10.33,
      "fwd_12m_pct": 30.63
    },
    {
      "date": "2024-09-04",
      "rv_at_trigger": 15.47,
      "entry_price": 550.95,
      "fwd_1w_pct": 0.63,
      "fwd_1m_pct": 3.06,
      "fwd_3m_pct": 9.61,
      "fwd_12m_pct": 17.77
    },
    {
      "date": "2024-09-09",
      "rv_at_trigger": 15.12,
      "entry_price": 546.41,
      "fwd_1w_pct": 3.01,
      "fwd_1m_pct": 4.9,
      "fwd_3m_pct": 11.24,
      "fwd_12m_pct": 20.35
    },
    {
      "date": "2025-01-22",
      "rv_at_trigger": 13.94,
      "entry_price": 606.44,
      "fwd_1w_pct": -0.76,
      "fwd_1m_pct": -1.07,
      "fwd_3m_pct": -11.71,
      "fwd_12m_pct": 13.65
    },
    {
      "date": "2025-05-23",
      "rv_at_trigger": 15.41,
      "entry_price": 579.11,
      "fwd_1w_pct": 2.35,
      "fwd_1m_pct": 4.84,
      "fwd_3m_pct": 10.94,
      "fwd_12m_pct": null
    },
    {
      "date": "2025-06-05",
      "rv_at_trigger": 15.77,
      "entry_price": 593.05,
      "fwd_1w_pct": 1.8,
      "fwd_1m_pct": 4.6,
      "fwd_3m_pct": 9.14,
      "fwd_12m_pct": null
    },
    {
      "date": "2026-04-28",
      "rv_at_trigger": 14.4,
      "entry_price": 711.69,
      "fwd_1w_pct": 1.7,
      "fwd_1m_pct": null,
      "fwd_3m_pct": null,
      "fwd_12m_pct": null
    }
  ],
  "methodology": "Compute SPY 21-day rolling close-to-close realized vol (annualized). Identify dates where vol crossed 20% from below (de-lever events) or 16% from above (re-lever events). For each, compute SPY forward returns at 5/21/63/252 sessions. Forward expectations are the empirical mean of all historical analogs since 2000. State machine persists in SSM.",
  "sources": [
    "SPY OHLC daily history (FMP /stable/historical-price-eod/full, 25y)",
    "VIX spot (FMP /stable/quote ^VIX)",
    "AUM estimates: JPM Global Markets (Q4 2024), eVestment, BarclayHedge"
  ],
  "schedule": "Daily 21:30 UTC (post-market close)",
  "run_duration_seconds": 0.77
}