redacted-alpha-brief-example.json

redacted-alpha-brief-example.json

{
  "schema_version": "1.0",
  "brief_type": "redacted_alpha_example",
  "purpose": "Reusable reference showing how a single market-intelligence brief should be structured for Post Fiat agent ingestion and reviewer scoring. All fields are required for submission. This example uses the macro/options-volatility lane.",

  "signal_id": "EXAMPLE-MACRO-VOL-001",
  "lane": "macro/options_volatility",
  "submitted_utc": "2025-Q4",

  "thesis": "Implied volatility on mid-duration U.S. equity index options is structurally underpricing the probability of a sharp deleveraging event in the next two quarters. Dealer gamma positioning has shifted from long to short across major index complexes, reducing the market's natural dampening mechanism. Simultaneously, cross-asset correlation is compressing in a pattern historically associated with late-cycle fragility. The dislocation creates asymmetric opportunity in convex tail-hedging structures funded by selling near-dated premium.",

  "time_horizon": {
    "primary_window": "30–90 days",
    "secondary_watch": "90–180 days",
    "expiry_trigger": "Thesis expires if vol surface normalizes without a realized-vol spike above the 80th percentile within 180 days."
  },

  "falsification_conditions": [
    "Dealer gamma exposure reverts to net-long across two consecutive monthly expiration cycles.",
    "Realized volatility remains below the 40th percentile for 60+ consecutive trading days after signal date.",
    "Cross-asset correlation regime shifts to broad dispersion (correlation below 0.30 across three or more major asset pairs tracked).",
    "Central bank forward guidance removes ambiguity on rate path, collapsing implied-vol term structure by more than 20% within the primary window."
  ],

  "confidence": {
    "level": "moderate-high",
    "score": 7,
    "scale": "1–10",
    "rationale": "Three independent data streams converge (dealer positioning, correlation compression, term-structure shape). Historical base rate for analogous setups producing a >2-sigma move within 90 days is roughly 35–45%. Confidence is capped below 'high' because the exact catalyst and timing remain unknown."
  },

  "source_hygiene": {
    "source_count": 4,
    "source_archetypes": [
      "Public options-market data (exchange-reported open interest and volume)",
      "Sell-side research note on dealer gamma positioning (widely distributed)",
      "Proprietary quantitative screen (internal, no client data used)",
      "Industry conference panel discussion (public event, on-the-record remarks)"
    ],
    "contains_material_nonpublic_info": false,
    "client_data_used": false,
    "sanitization_method": "All identifying details (firm names, analyst names, exact publication dates, specific dollar thresholds) removed. Date references bucketed to quarter. Source types generalized to archetypes per the Institutional Signal Sanitization Standard."
  },

  "decision_use": {
    "portfolio_implication": "Supports adding convex downside protection to equity-heavy portfolios via mid-duration put spreads or ratio structures. Suggests reducing short-volatility exposure where present.",
    "sizing_guidance": "Position size should reflect tail-hedge economics: small notional outlay relative to portfolio, sized for asymmetric payoff. Not a core directional bet.",
    "interaction_with_existing_positions": "Complementary to long equity exposure; functions as portfolio insurance rather than a macro short.",
    "actionability_window": "Optimal entry while vol surface remains in the lower tercile of its trailing 12-month range."
  },

  "post_mortem_plan": {
    "review_trigger": "Evaluate at the earlier of: (a) a realized-vol event exceeding the 80th percentile, (b) any falsification condition being met, or (c) 180 days from submission.",
    "metrics_to_capture": [
      "P&L attribution of the recommended structure over the review period",
      "Whether the thesis catalyst materialized and in what form",
      "Accuracy of the time-horizon estimate",
      "Which falsification conditions, if any, were triggered",
      "Delta between confidence score and observed outcome base rate"
    ],
    "feedback_loop": "Post-mortem results feed back into the contributor's trailing accuracy score and inform future confidence calibration. Lessons are logged for pattern-library updates."
  },

  "metadata": {
    "tags": ["macro", "volatility", "options", "gamma", "tail-risk", "equity-index"],
    "review_status": "example_only",
    "agent_parseable": true,
    "spec_references": [
      "Institutional Signal Sanitization Standard",
      "Institutional Alpha Review Rubric",
      "Institutional Signal Metadata Taxonomy"
    ]
  }
}