Thrawn SPX Credit-Spread Dashboard v2 · LIVE PRODUCTION (-9436) · display-only · 2026-08-28T07:18:47

① Overview
② Trades
③ Analytics / Risk
④ Scorecard

Engine Health

🟢 PID 42055 · 🟢 running
heartbeat 26s 🟢 · reconcile MATCH

Drift monitor (are we deviating from recent expectations?)

EXECUTION · TRACKING · n=11 — accumulatingREGIME · DEVIATING · t12 adm 44.9%PACE · INSUFFICIENT-n · live n=11
generated 2026-08-27T17:30:32 · nightly 17:30 ET (com.thrawn.drift-monitor) · click a chip for the evidence
broker two-key gate: SATISFIED (production + LIVE_ACK=1)
LIVE CONFIG (both sleeves):
CELL2 (DTE-5): floor $340.0 · δ0.35 · N=3 · MA20-filter ON — ACTIVE floor $340 is below the observed median $460 (max $690, n=144)
CELL3 (DTE-3): floor $470.0 · δ0.40 · N=3 · MA20-filter ON — ACTIVE floor $470 is above the observed median $460 (max $690, n=144)
PT-OFF (rides to settlement) · global-N fallback 2 · CELL2 DTE-5 ACTIVE@$340.0 · CELL3 DTE-3 ACTIVE@$470.0
caps: 1/day · 52 concurrent

P&L summary (reconciled to trades.db)

ALL-TIME realized (incl. debug-closes)
$10,168.87
64.4% · 45 trades
STRATEGY-ONLY (natural exits)
$9,371.51
69.7% · 33 trades
since $15 cutover ($15-wide only)
$4,980.44 / 21 tr
71.4% · 21 trades

Two-sleeve view (cell resolved by trades.db cell_id, else DTE-proximity to each cell's configured DTE — operator 12582)

COMBINED: 4/52 open vs cap-52 · combined realized $10,168.87 · open credit-at-risk $6,105 · SPX 7,730.99

DTE-5 (CELL2) · 1 open · realized $7,199.43 (31 closed) · daily-cap 0/1

strikesexpirydtecreditdist%PTct
7630P/7615P2026-08-3154.351.31%— (PT-OFF)3

DTE-3 (CELL3) · 1 open · realized $2,517.08 (12 closed) · daily-cap 0/1

strikesexpirydtecreditdist%PTct
7645P/7630P2026-08-2824.91.11%— (PT-OFF)3
daily-cap: 1/day PER CELL (independent) (session 2026-08-26 stale → today 0/1 each)
⚠ 2 open position(s) UNATTRIBUTED (expiry/entry unparseable) — not counted per-cell

MA20 FILTER — LIVE VALIDATION (CELL3 down-drift skip · is it skipping losers or winners — and do we know yet?)

TODAY 2026-08-28 (live): ✅ TRADE (TRADE) · arm=neither · ratio 1.00383 vs boundary 0.99761 (MA20 7701.48) · store stale 1td
prior 2026-08-27: ⛔ SKIP (SKIP_ABS) · ratio 0.99855 vs 0.99761
counterfactual (had it traded): δ0.40 short 7675 · WOULD-CLEAR $470 · sustain 15s · booked $470 · PENDING (settles 2026-08-31)
⚠ INSUFFICIENT SAMPLE — informational only. Only 2 settled skipped-would-have-cleared trade(s); need 10 before any verdict.
since arming 2026-07-29: skipped 5 · of those would-have-cleared $470 3 (1 PENDING · 2 SETTLED) · allowed 17 (13 settled)
No win-rate, cumulative P&L, or i/DD shown at this n — one settled row reads as 100% and would mislead. PENDING trades are NOT counted as saves.
three-category ledger (disjoint · since arming): filter-skip 5 · allowed-traded 13 · allowed-FLOOR-MISS 4 (2 settled)
allowed-floor-miss = filter PASSED but the $470 floor blocked the fill (no trade) — this is D48 structural-floor-drift, NOT a filter cost, and is not booked against the skip tally. First category-3 row: 2026-08-03 (both feeds agreed the natbid sat below floor).

Open positions (all cells combined · status='open' ONLY — ghosts excluded)

symbolstrikesexpirycreditctunreal.
SPX_7640P_7625P_2026-08-287640P/7625P2026-08-285.43
SPX_7640P_7625P_2026-08-287640P/7625P2026-08-285.73
SPX_7630P_7615P_2026-08-317630P/7615P2026-08-314.353
SPX_7645P_7630P_2026-08-287645P/7630P2026-08-284.93

Trade history (45 real executed: 33 natural + 12 debug-terminated. Excluded: 202 ghosts, 13 cancelled, 506 non-credit-book.)

exit datesymboltagcreditexitP&Lhold(d)
2026-08-24SPX_7660P_7645P_2026-08-24EXPIRY4.71.8211$1,714.723
2026-08-24SPX_7640P_7625P_2026-08-25EXPIRY4.053.8$62.360
2026-08-21SPX_7760P_7745P_2026-08-20EXPIRY4.8$-4,088.424
2026-08-18SPX_7755P_7740P_2026-08-17EXPIRY4.9$-2,024.425
2026-08-18SPX_7790P_7775P_2026-08-17EXPIRY4.8376$-4,073.424
2026-08-15SPX_7735P_7720P_2026-08-14EXPIRY4.8251$1,921.564
2026-08-15SPX_7745P_7730P_2026-08-14EXPIRY5.35$2,131.583
2026-08-14SPX_7735P_7720P_2026-08-13EXPIRY5.2$2,071.584
2026-08-10SPX_7705P_7690P_2026-08-10EXPIRY4.9$1,803.164
2026-08-10SPX_7725P_7710P_2026-08-10EXPIRY5.15$1,703.163
2026-08-08SPX_7765P_7750P_2026-08-07EXPIRY5.5$-752.423
2026-08-04SPX_7625P_7610P_2026-08-07EXPIRY4.91.5$1,360.000
2026-07-31SPX_7355P_7340P_2026-07-31EXPIRY4.00.4$1,080.007
2026-07-31SPX_7415P_7400P_2026-08-03EXPIRY3.82.75$315.004
2026-07-31SPX_7345P_7330P_2026-08-04EXPIRY3.91670.6$995.003
2026-07-31SPX_7375P_7360P_2026-07-31EXPIRY4.350.6$750.002
2026-07-30SPX_7350P_7335P_2026-07-30 · MANUALDEBUG_TERMINATED4.550.15$1,320.007
2026-07-28SPX_7430P_7415P_2026-07-28EXPIRY3.90.82$616.007
2026-07-27SPX_7500P_7485P_2026-07-27EXPIRY3.315.0$-1,170.0014
2026-07-21SPX_7485P_7470P_2026-07-21EXPIRY3.7$370.007
2026-07-20SPX_7520P_7505P_2026-07-20PT_FILL3.7515.0$-1,125.007
2026-07-06SPX_7410P_7380P_2026-07-07PT_FILL6.8751.35$1,096.595
2026-07-01SPX_7330P_7300P_2026-07-10PT_FILL8.252.5$1,145.092
2026-06-30SPX_7480P_7450P_2026-06-30PT_FILL7.553.0$452.1414
2026-06-30SPX_7440P_7410P_2026-06-30PT_FILL7.352.95$437.1413
2026-06-30SPX_7305P_7275P_2026-07-07PT_FILL8.553.4$1,025.096
2026-06-30SPX_7300P_7270P_2026-07-07PT_FILL7.553.0$905.095
2026-06-30SPX_7225P_7195P_2026-07-08PT_FILL7.652.25$1,075.094
2026-06-16SPX_7235P_7205P_2026-06-23PT_FILL7.41.0$637.146
2026-06-12SPX_7190P_7160P_2026-06-23PT_FILL8.153.2$492.141
2026-06-09SPX_7475P_7445P_2026-06-16DEBUG_TERMINATED7.514.8$-732.865
2026-06-09SPX_7380P_7350P_2026-06-23SL7.7515.1$-737.860
2026-06-08SPX_7345P_7315P_2026-06-22DEBUG_TERMINATED7.6500000000000027.75$-12.860
2026-06-05RUT_2895P_2885P_2026-06-09SL3.449.79$-637.869
2026-06-05RUT_2890P_2880P_2026-06-16SL3.554.44$-91.863
2026-06-05SPX_7480P_7450P_2026-06-17DEBUG_TERMINATED7.859.55$-172.860
2026-06-05RUT_2880P_2870P_2026-06-17SL3.754.59$-86.860
2026-05-20RUT_2745P_2735P_2026-06-02DEBUG_TERMINATED3.012.35$63.280
2026-05-19RUT_2715P_2705P_2026-06-02DEBUG_TERMINATED3.03.535$-55.560
2026-05-19RUT_2710P_2700P_2026-06-02DEBUG_TERMINATED3.19999999999999933.465$1.440
2026-05-19RUT_2715P_2705P_2026-06-02DEBUG_TERMINATED3.03.535$3.440
2026-05-19RUT_2710P_2700P_2026-06-02DEBUG_TERMINATED3.19999999999999933.465$-3.560
2026-05-19RUT_2735P_2725P_2026-06-02DEBUG_TERMINATED3.39999999999999863.47$-6.060
2026-05-19RUT_2730P_2720P_2026-06-02DEBUG_TERMINATED3.39999999999999863.35$2.940
2026-05-14SPX · MANUALOPERATIONAL_CLOSE7.83.9$390.003

Metrics — BACKTEST vs LIVE (backtest = cell-D harness t12, n=61 — the SAME window the Drift monitor's REGIME block reads)

metricbacktest t12live (strategy-only)variance
win rate72.1%69.7%−2.4%
expectancy /trade$129$284+$155
★ profit factor1.521.63+0.11
★ income/DD2.080.92−1.16
max DD$3,790$10,186+$6,396
avg win$521$1,050+$529
avg loss$-886$-1,479−$593
★ return-on-margin /trade8.58%1.62%−6.96%
avg days-in-trade (= realized tenor at PT-OFF)3.14.7+1.6
breach-complement (survive %)70.5%n/a (not on harness)n/a (not on harness)
avg credit /spread$536n/a (not on harness)n/a (not on harness)
★ Sortinon/a (not on harness)1.59n/a (not on harness)
Calmarn/a (not on harness)0.92n/a (not on harness)
Sterlingn/a (not on harness)5.45n/a (not on harness)
Sharpen/a (not on harness)1.10n/a (not on harness)
Variance here mixes config drift with population mix. Live strategy-only is the BLENDED book (33 trades across three configs — DTE-14 era, DTE-7 sleeve, cell-D); the backtest column is cell-D only. The clean per-config read is the Drift monitor's EXECUTION block. This table is the quick glance, not the verdict.
★ Sortino / Calmar / Sterling / Sharpe are permanently n/a on the backtest side: they need a daily equity series, and a spread held to settlement has no meaningful daily mark here. A ratio rebuilt from per-trade P&L would be a DIFFERENT statistic wearing the same name.
Metrics — all-time / strategy-only (legacy view, click to expand) ★LOW-N indicative, n=45/33
metricall-timestrategy-only
★ income/DD (realized/maxDD)1.000.92
★ return-on-margin /trade1.6%1.6%
★ Sortino1.681.59
Calmar1.000.92
Sterling6.625.45
★ profit factor1.641.63
★ expectancy /trade$226$284
win rate64.4%69.7%
avg win / avg loss$895 / $-986$1,050 / $-1,479
max DD$10,186$10,186
Sharpe (secondary — understates prem-selling)1.171.10
avg days-in-trade3.84.7
worst / best trade$-4,088 / $2,132$-4,088 / $2,132
exit-reason distribution (all-time): {'PT_FILL': 10, 'SL': 4, 'EXPIRY': 19, 'DEBUG_TERMINATED': 11, 'OPERATIONAL_CLOSE': 1}

Drift monitor — detail

How to read this. Live n is small. EXECUTION is the informative block at scale but only from n≈15-20 — at n=2 it is an anecdote. PACE bands stay wide until the ramp gate (150-200 trades); the width IS the signal, not a defect. TRACKING at low n is weak evidence; DEVIATING on matched sessions is strong, because matching removes the luck term.
REGIME reads WATCH because ADMISSION is thinning, and that is the countercyclical ratchet WORKING, not a fault — as the credit surface migrates down, a fixed $470 floor climbs the percentile ladder and becomes more selective exactly when the market pays less (D232). Fewer trades, quality held. It is surveillance, not alarm.
Populations: all_closed 34 · cell_d_deployed 11 · dte7_retired RETIRED 2026-08-26 — see the note at comparison1 · dte14_era 13 — every count below names which of these it uses.

1 · EXECUTION drift (population: cell-D deployed, n=11 · informative from n≈15-20)

iddateDTElive Kharness Kδ-sel Δlive creditharness natbidfill−natbidlive P&L
8712026-08-0437625.07615.0+10490430+60+1,360
8762026-08-0527765.07755.0+10550540+10-752
8782026-08-0647705.07705.0+0490560-70+1,803
8842026-08-0737725.07720.0+5515520-5+1,703
8982026-08-1037735.07740.0-5520580-60+2,072
8992026-08-1137735.07745.0-10483570-87+1,922
9012026-08-1227745.07745.0+0535570-35+2,132
9022026-08-1347755.07755.0+0490500-10-2,024
9042026-08-1437790.07795.0-5484560-76-4,073
9052026-08-1737760.07775.0-15480600-120-4,088
9582026-08-2137660.07655.0+5470480-10+1,715
★ Decomposed deliberately: δ-selection (live strike vs harness strike) and fill-vs-natbid are different failures with different fixes; a single blended credit delta would conflate them into a number that cannot drive any action.

2 · REGIME drift (harness on the deployed basis — needs no live data, so it has real power at current n)

metrict6t12anchorp10q1medq3p90status
annNet12140787792814981.787978.3110249.5317227.322102.75WATCH
wr73.572.170.364.9568.5772.3776.4778.79TRACKING
breach26.529.532.124.0525.8830.4334.2937.11TRACKING
avgCred525536558543.95545.13551.49560.93571.55DEVIATING
admission46.644.952.744.5246.2649.3252.8766.67WATCH
Thresholds are the backtest's OWN rolling-t12 distribution (42 windows): outside IQR → WATCH, outside 10-90 → DEVIATING. They are data, not constants.
D232 credit-migration tripwire: t12 admission 44.9% (trip <35.0%) · t12 median max-natbid $464.99999999999983 (trip <$470.0) → FIRED. Response is pre-specified: rerun the D231 floor sweep and move by MEASUREMENT, never by tracker.
yearnmedian max-natbidp40p60
202281$590$550$600
2023155$500$470$540
2024165$470$450$510
2025152$470$430$500
202685$470$440$500

3 · PACE (analytic bands from the backtest per-trade distribution; mean $113 sd $659)

live nexpected±1σ±2σ
7+788[-956, +2,532][-2,700, +4,276]
11+1,238[-948, +3,424][-3,134, +5,611]← current
24+2,701[-528, +5,931][-3,757, +9,160]
30+3,377[-234, +6,987][-3,844, +10,598]
50+5,628[+967, +10,289][-3,694, +14,950]
100+11,256[+4,665, +17,848][-1,927, +24,440]
150+16,884[+8,811, +24,957][+738, +33,031]← ramp gate
200+22,512[+13,190, +31,834][+3,868, +41,156]← ramp gate
★ The width is the feature: it makes "too early to tell" visually explicit rather than inviting over-reading of a handful of trades.
Provenance: the retired LIVE-vs-BACKTEST box (#8930) is superseded by this section — it compared a single config against a two-sleeve blend and self-retired.

VIX / vol-responsive-N observation (yfinance ^VIX · live)

★ OBSERVATION ONLY — vol-responsive N is NOT live; this shadow-logs what the rule WOULD do so it can be evaluated before deciding to automate.
VIX spot / 5d-smoothed
14.47 / 15.24
LOW band · 1d in band · contango (calm)
vol-rule throttle
1.0×
actual N / hypothetical N
3 / 3
delta 0
read: calm — vol-rule would not change N (throttle 1.0)

Daily history (1 row/day — accumulating; the point is the trend over the ramp)

VIX 14.2–20.7 over 54d
dateVIXbandthrottleactual Nhyp NΔN
2026-08-2814.54LOW1.0330
2026-08-2715.21NORMAL1.0330
2026-08-2615.45NORMAL1.0330
2026-08-2515.85NORMAL1.0110
2026-08-2415.13NORMAL1.0110
2026-08-2315.13NORMAL1.0110
2026-08-2215.13NORMAL1.0110
2026-08-2116.01NORMAL1.0110
2026-08-2014.89LOW1.0110
2026-08-1915.84NORMAL1.0110
2026-08-1815.19NORMAL1.0220
2026-08-1714.25LOW1.0220
2026-08-1614.25LOW1.0220
2026-08-1514.25LOW1.0220
2026-08-1414.64LOW1.0220
2026-08-1314.55LOW1.0220
2026-08-1215.28NORMAL1.0220
2026-08-1115.46NORMAL1.0220
2026-08-1014.9LOW1.0220
2026-08-0914.9LOW1.0220
2026-08-0814.9LOW1.0220
2026-08-0715.15NORMAL1.0220
2026-08-0615.81NORMAL1.0220
2026-08-0516.5NORMAL1.0220
2026-08-0415.86NORMAL1.0220
2026-08-0315.99NORMAL1.0220
2026-08-0215.99NORMAL1.0220
2026-08-0115.99NORMAL1.0220
2026-07-3117.09NORMAL1.0220
2026-07-3020.66ELEVATED0.8220
2026-07-2918.21NORMAL1.0220
2026-07-2818.67NORMAL1.0330
2026-07-2718.58NORMAL1.0330
2026-07-2618.58NORMAL1.0330
2026-07-2518.58NORMAL1.0330
2026-07-2418.7NORMAL1.0220
2026-07-2316.64NORMAL1.0220
2026-07-2217.05NORMAL1.0220
2026-07-2118.65NORMAL1.0220
2026-07-2018.77NORMAL1.0220
2026-07-1918.77NORMAL1.0220
2026-07-1818.77NORMAL1.0220
2026-07-1716.73NORMAL1.0220
2026-07-1615.67NORMAL1.0110
2026-07-1516.5NORMAL1.0110
2026-07-1417.16NORMAL1.0110
2026-07-1315.03NORMAL1.0110
2026-07-1215.03NORMAL1.0110
2026-07-1115.03NORMAL1.0110
2026-07-1015.84NORMAL1.010100
2026-07-0916.9NORMAL1.010100
2026-07-0816.13NORMAL1.010100
2026-07-0715.57NORMAL1.0550
2026-07-0616.02NORMALNone55None
OBSERVATIONAL ONLY — shadow-logs what a vol-N rule WOULD do; engine uses E*TRADE quotes only, sizing unchanged.

Entry slippage (N=1 raw · live fill − measurement natbid · entry-side only)

mean $-2 · median $-5 · min $-10 · max $+45 · n=17 · favorable 12%
dateidsymbolfillmeas natbidslipdir
2026-08-26963SPX_7645P_7630P_2026-08-28$490$490$+0favorable
2026-08-26962SPX_7630P_7615P_2026-08-31$435$390$+45favorable
2026-08-24961SPX_7640P_7625P_2026-08-28$570pre-natbid-regime (no measurement)
2026-08-24960SPX_7640P_7625P_2026-08-28$540pre-natbid-regime (no measurement)
2026-08-24959SPX_7640P_7625P_2026-08-25$405pre-natbid-regime (no measurement)
2026-08-21958SPX_7660P_7645P_2026-08-24$470$480$-10unfavorable
2026-08-21957SPX_7660P_7645P_2026-08-24$475$480$-5unfavorable
2026-08-21956SPX_7660P_7645P_2026-08-24$475$480$-5unfavorable
2026-08-21955SPX_7660P_7645P_2026-08-24$475$480$-5unfavorable
2026-08-19954SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
2026-08-19953SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
2026-08-19952SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
2026-08-19951SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
2026-08-19950SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
2026-08-19949SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
2026-08-19948SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
2026-08-19947SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
2026-08-19946SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
2026-08-19945SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
2026-08-19944SPX_7705P_7690P_2026-08-21$635$640$-5unfavorable
Directional until ~a dozen paired fills. Entry-side only (exit=deterministic cash settlement). Do NOT compare to PT-ON anchors ($153,853/$164,317) or raw $64,872. Small sample.

Banded-N shadow tracker (red/yellow/green 0/5/10 vs N=10-always · counterfactual)

cum BANDED $0.0 vs N10 $0.0 · RED false-pos 0d (forgone $0) · RED true-pos 0d (avoided $0) · 0 realized/1 days
datebandfillspc$banded$N10$cumB$cumN10$
2026-07-17YELLOW00000.00.0
Calm-only, n=0 realized. Directional until an elevated-vol episode tests the standdown. Do NOT read calm-period 'banding underperforms' as a verdict.

Halted / skipped signals (202 — NOT positions)

Scorecard vs mandate

monthactualtargetvs
2026-05$396$20,000below
2026-06$2,551$20,000below
2026-07$5,393$20,000below
2026-08$1,829$20,000below
mandate: $20k avg / Sep $35k / Oct $18k. Live config N=5/$15, but the closed book is still mostly pre-ramp legacy $30 trades + calm vol — below the $20k/mo target, expected until the $15 strategy closes trades + N ramps + vol months. Not a strategy miss.