@insiderfinance/totalfinance 0.1.0

package/modules/volatility/dist/vanna-volga.js.map

@@ -0,0 +1 @@
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package/modules/volatility/dist/variance-index.d.ts

@@ -0,0 +1,101 @@
+/**
+ * VIX-style model-free variance index + VRP term structure (spec §10, roadmap Tier 2). The
+ * trader-facing layer over the single-expiry DDKZ replication (`varianceSwapRate`): from a raw option
+ * **chain** it extracts each expiry's forward (put–call parity), selects the OTM strip, computes the
+ * per-expiry model-free fair variance, and **time-interpolates** two expiries to a constant maturity —
+ * the actual CBOE VIX construction — plus the variance-risk-premium term structure vs a realized vol.
+ *
+ * Composes `varianceSwapRate` (analytics.ts) and `varianceRiskPremium` / `realizedImpliedSpread`
+ * (event.ts). No fabricated points: an expiry that can't be replicated is dropped with a disclosed
+ * warning; an un-bracketed horizonPeriods is extrapolated from the nearest expiry, disclosed. See
+ * `docs/specs/variance-index.md`.
+ */
+import { type Diagnostics, type EpochMs, type OptionQuote } from '../../core/dist/index.js';
+/** Inputs for {@link varianceIndex}. */
+export interface VarianceIndexOptions {
+    /** Option chain across ≥ 1 expiries — call + put quotes with a usable mid. */
+    quotes: readonly OptionQuote[];
+    spot: number;
+    riskFreeRate: number;
+    asOf: EpochMs | string;
+    /** Constant-maturity target in calendar days. Default 30 (VIX). */
+    horizonDays?: number;
+    /** Reserved for the forward; default 0 (the parity forward already carries dividend/borrow). */
+    dividendYield?: number;
+}
+/** One expiry's model-free fair variance/vol. */
+export interface ExpiryVariance {
+    expiry: string;
+    /** Calendar days to expiry. */
+    daysToExpiry: number;
+    /** Year fraction (ACT/365F). */
+    timeToExpiryYears: number;
+    /** Parity forward. */
+    forward: number;
+    /** Annualized fair variance (decimal). */
+    variance: number;
+    /** `√variance` — model-free implied vol (decimal, e.g. 0.20). */
+    fairVolatility: number;
+    /** OTM strikes used in the replication. */
+    strikesUsed: number;
+}
+/** The variance-index read-out. */
+export interface VarianceIndexResult {
+    /** Constant-maturity model-free vol in VIX-style points (e.g. 20.0 = 20% annualized). */
+    index: number;
+    /** Constant-maturity annualized fair variance (decimal). */
+    variance: number;
+    /** Constant-maturity fair vol as a decimal (`index / 100`). */
+    fairVolatility: number;
+    horizonDays: number;
+    /** Per-expiry fair variance/vol — the whole term structure, ascending by DTE. */
+    termStructure: ExpiryVariance[];
+    /** The two expiries that bracketed the horizonPeriods (absent when extrapolated from one). */
+    interpolatedBetween?: {
+        near: string;
+        far: string;
+    };
+    assumptions: {
+        conventionsVersion: string;
+        horizonDays: number;
+        measure: 'risk-neutral';
+        method: string;
+    };
+    diagnostics: Diagnostics;
+}
+/** Inputs for {@link varianceRiskPremiumTermStructure}. */
+export interface VarianceRiskPremiumTermStructureOptions extends VarianceIndexOptions {
+    /** Realized vol to compare (decimal): one number for the whole curve, or per-expiry by ISO date. */
+    realizedVolatility: number | Record<string, number>;
+}
+/** One expiry's variance-risk-premium point. */
+export interface VarianceRiskPremiumPoint extends ExpiryVariance {
+    realizedVolatility: number;
+    /** `iv² − rv²` (annualized) — the variance risk premium. */
+    varianceRiskPremium: number;
+    /** `iv − rv` — the vol-point spread. */
+    volatilitySpread: number;
+}
+/** The VRP term-structure read-out. */
+export interface VarianceRiskPremiumTermStructureResult {
+    points: VarianceRiskPremiumPoint[];
+    /** VRP at the constant-maturity index vs the reference realized vol. */
+    indexVarianceRiskPremium: number;
+    assumptions: {
+        conventionsVersion: string;
+        measure: 'risk-neutral';
+        method: string;
+    };
+    diagnostics: Diagnostics;
+}
+/**
+ * The VIX-style constant-maturity, model-free implied vol from an option chain, with the per-expiry
+ * fair-variance term structure. See `docs/specs/variance-index.md`.
+ */
+export declare function varianceIndex(options: VarianceIndexOptions): VarianceIndexResult;
+/**
+ * The variance-risk-premium term structure — per-expiry implied variance (from {@link varianceIndex})
+ * minus realized variance — plus the VRP at the constant-maturity index. See the spec.
+ */
+export declare function varianceRiskPremiumTermStructure(options: VarianceRiskPremiumTermStructureOptions): VarianceRiskPremiumTermStructureResult;
+//# sourceMappingURL=variance-index.d.ts.map

package/modules/volatility/dist/variance-index.d.ts.map

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package/modules/volatility/dist/variance-index.js

@@ -0,0 +1,240 @@
+/**
+ * VIX-style model-free variance index + VRP term structure (spec §10, roadmap Tier 2). The
+ * trader-facing layer over the single-expiry DDKZ replication (`varianceSwapRate`): from a raw option
+ * **chain** it extracts each expiry's forward (put–call parity), selects the OTM strip, computes the
+ * per-expiry model-free fair variance, and **time-interpolates** two expiries to a constant maturity —
+ * the actual CBOE VIX construction — plus the variance-risk-premium term structure vs a realized vol.
+ *
+ * Composes `varianceSwapRate` (analytics.ts) and `varianceRiskPremium` / `realizedImpliedSpread`
+ * (event.ts). No fabricated points: an expiry that can't be replicated is dropped with a disclosed
+ * warning; an un-bracketed horizonPeriods is extrapolated from the nearest expiry, disclosed. See
+ * `docs/specs/variance-index.md`.
+ */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, WarningCode, ensureNonNegative, ensurePositive, validateClosedRequest, warning, } from '../../core/dist/index.js';
+import { varianceSwapRate } from './analytics.js';
+import { realizedImpliedSpread, varianceRiskPremium } from './event.js';
+import { extractOtmStrips } from './otm-strip.js';
+import { VALIDATION_SPECS } from './generated/validation-specs.js';
+/**
+ * Generated closed-request specs (spec 3B.1b): allowlists projected from the declarations.
+ * Resolved at module load so a stale key fails at import.
+ */
+function varianceIndexSpecOf(key) {
+    const spec = VALIDATION_SPECS[key];
+    if (spec === undefined) {
+        throw new Error(`variance-index: no generated validation spec for '${key}' — run \`pnpm validation:update\``);
+    }
+    return spec;
+}
+const VARIANCE_INDEX_SPEC = varianceIndexSpecOf('varianceIndex#0');
+const VRP_TERM_STRUCTURE_SPEC = varianceIndexSpecOf('varianceRiskPremiumTermStructure#0');
+const VARIANCE_INDEX_EXAMPLE = () => "varianceIndex({ quotes, spot: 100, riskFreeRate: 0.04, asOf: '2026-05-15T16:00:00Z' })";
+const VRP_TERM_STRUCTURE_EXAMPLE = () => 'varianceRiskPremiumTermStructure({ quotes, spot: 100, riskFreeRate: 0.04, ' +
+    "asOf: '2026-05-15T16:00:00Z', realizedVolatility: 0.18 })";
+/**
+ * Build the per-expiry fair-variance term structure (ascending by DTE) from a chain, disclosing every
+ * dropped expiry. Shares the OTM-strip extraction with the tail-risk index (`extractOtmStrips`); the
+ * DDKZ replication (`varianceSwapRate`) is applied per strip here.
+ */
+function termStructureOf(options, functionName) {
+    // Shape/type/closedness ran at the public heads (spec 3B.1b); the domain residue is spot > 0.
+    ensurePositive(options.spot, 'spot', functionName);
+    const { strips, warnings, asOfMs } = extractOtmStrips(options.quotes, { rate: options.riskFreeRate, asOf: options.asOf }, functionName);
+    const term = [];
+    for (const s of strips) {
+        let variance;
+        let fairVolatility;
+        try {
+            const vs = varianceSwapRate({
+                strikes: s.strikes,
+                otmPrices: s.otmPrices,
+                forward: s.forward,
+                riskFreeRate: options.riskFreeRate,
+                timeToExpiryYears: s.timeToExpiryYears,
+                // `extractOtmStrips` already averages the K₀ call and put (the CBOE convention), so the
+                // put-only bias disclosure does not apply to this path — say so instead of carrying a
+                // warning that is false here.
+                boundaryPriceAveraged: true,
+            });
+            variance = vs.value.variance;
+            fairVolatility = vs.value.fairVolatility;
+        }
+        catch (err) {
+            if (err instanceof InputError) {
+                warnings.push(warning(WarningCode.ModelLimitation, `expiry ${s.expiry} dropped: ${err.message}.`, 'info', {
+                    expiry: s.expiry,
+                }));
+                continue;
+            }
+            throw err;
+        }
+        if (!(variance >= 0) || !Number.isFinite(fairVolatility)) {
+            warnings.push(warning(WarningCode.ModelLimitation, `expiry ${s.expiry} dropped: negative/undefined fair variance (${variance}) — arbitrageable or too-sparse strip.`, 'info', { expiry: s.expiry }));
+            continue;
+        }
+        term.push({
+            expiry: s.expiry,
+            daysToExpiry: s.daysToExpiry,
+            timeToExpiryYears: s.timeToExpiryYears,
+            forward: s.forward,
+            variance,
+            fairVolatility,
+            strikesUsed: s.strikes.length,
+        });
+    }
+    if (term.length === 0) {
+        throw new InputError(`${functionName}: no expiry could be replicated from the chain (need ≥ 3 OTM strikes with a bracketing forward per expiry). See diagnostics for per-expiry reasons.`, { code: ErrorCode.InputOutOfRange, context: { quotes: options.quotes.length } });
+    }
+    return { term, warnings, asOfMs };
+}
+/** Time-interpolate two expiries' variance to the constant maturity, or extrapolate from the nearest. */
+function constantMaturityVariance(term, horizonDays) {
+    // Bracket: the last expiry with dte ≤ horizonPeriods and the first with dte ≥ horizonPeriods.
+    let nearIdx = -1;
+    for (let i = 0; i < term.length; i++)
+        if (term[i].daysToExpiry <= horizonDays)
+            nearIdx = i;
+    const near = nearIdx >= 0 ? term[nearIdx] : undefined;
+    const far = nearIdx + 1 < term.length ? term[nearIdx + 1] : undefined;
+    if (near &&
+        far &&
+        far.daysToExpiry > near.daysToExpiry &&
+        near.daysToExpiry <= horizonDays &&
+        far.daysToExpiry >= horizonDays) {
+        const n1 = near.daysToExpiry;
+        const n2 = far.daysToExpiry;
+        const w1 = (n2 - horizonDays) / (n2 - n1);
+        const w2 = (horizonDays - n1) / (n2 - n1);
+        // CBOE: interpolate total variance (T·σ²) then annualize to the horizonPeriods (×365/N). Use the SAME
+        // calendar-day time base (dte/365) as the weights and the horizonPeriods — mixing the 16:00-ET `t` here
+        // with dte-based weights biases the constant-maturity variance by ~(1 + δ/N).
+        const variance = ((n1 / 365) * near.variance * w1 + (n2 / 365) * far.variance * w2) * (365 / horizonDays);
+        return { variance, near: near.expiry, far: far.expiry, extrapolated: false };
+    }
+    // Un-bracketed → nearest expiry's fair variance (disclosed as extrapolated).
+    const nearest = term.reduce((a, b) => Math.abs(b.daysToExpiry - horizonDays) < Math.abs(a.daysToExpiry - horizonDays) ? b : a);
+    return { variance: nearest.variance, extrapolated: true };
+}
+/**
+ * The VIX-style constant-maturity, model-free implied vol from an option chain, with the per-expiry
+ * fair-variance term structure. See `docs/specs/variance-index.md`.
+ */
+export function varianceIndex(options) {
+    const functionName = 'varianceIndex';
+    // Guard before any field access (first-touch law).
+    validateClosedRequest(functionName, options, VARIANCE_INDEX_SPEC, {
+        argumentName: 'options',
+        exampleCall: VARIANCE_INDEX_EXAMPLE,
+    });
+    return varianceIndexOf(options, functionName);
+}
+/** The validated index construction, shared with {@link varianceRiskPremiumTermStructure} (whose options superset it). */
+function varianceIndexOf(options, functionName) {
+    const horizonDays = options.horizonDays ?? 30;
+    if (!(horizonDays > 0) || !Number.isFinite(horizonDays)) {
+        throw new InputError(`${functionName}: horizonDays must be a positive finite number; got ${horizonDays}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { horizonDays },
+        });
+    }
+    const { term, warnings } = termStructureOf(options, functionName);
+    const cm = constantMaturityVariance(term, horizonDays);
+    if (cm.extrapolated) {
+        warnings.push(warning(WarningCode.ModelLimitation, `horizonPeriods ${horizonDays}d is not bracketed by two listed expiries; the index is extrapolated from the nearest expiry (${term.length} usable).`, 'warn', { horizonDays }));
+    }
+    const variance = cm.variance;
+    const fairVolatility = Math.sqrt(Math.max(0, variance));
+    return {
+        index: 100 * fairVolatility,
+        variance,
+        fairVolatility,
+        horizonDays,
+        termStructure: term,
+        ...(cm.near !== undefined && cm.far !== undefined
+            ? { interpolatedBetween: { near: cm.near, far: cm.far } }
+            : {}),
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            horizonDays,
+            measure: 'risk-neutral',
+            method: 'ddkz-replication + vix-interpolation',
+        },
+        diagnostics: { engine: 'variance-index', method: 'vix-style', converged: true, warnings },
+    };
+}
+/** Resolve the realized vol for one expiry (a scalar applies to all; a record is looked up by date). */
+function realizedFor(expiry, realizedVolatility, functionName) {
+    if (typeof realizedVolatility === 'number') {
+        ensureNonNegative(realizedVolatility, 'realizedVolatility', functionName);
+        return realizedVolatility;
+    }
+    const rv = realizedVolatility[expiry];
+    if (rv === undefined) {
+        throw new InputError(`${functionName}: realizedVolatility has no entry for expiry ${expiry}.`, {
+            code: ErrorCode.InputMissingField,
+            context: { expiry },
+        });
+    }
+    ensureNonNegative(rv, `realizedVolatility["${expiry}"]`, functionName);
+    return rv;
+}
+/**
+ * The variance-risk-premium term structure — per-expiry implied variance (from {@link varianceIndex})
+ * minus realized variance — plus the VRP at the constant-maturity index. See the spec.
+ */
+export function varianceRiskPremiumTermStructure(options) {
+    const functionName = 'varianceRiskPremiumTermStructure';
+    validateClosedRequest(functionName, options, VRP_TERM_STRUCTURE_SPEC, {
+        argumentName: 'options',
+        exampleCall: VRP_TERM_STRUCTURE_EXAMPLE,
+    });
+    // `realizedVolatility` is a mixed number-or-record union the spec leaves UNCHECKED — the curated
+    // type teaching stays here.
+    if (options.realizedVolatility === null ||
+        (typeof options.realizedVolatility !== 'number' &&
+            typeof options.realizedVolatility !== 'object')) {
+        throw new InputError(`${functionName}: realizedVolatility must be a number or a per-expiry record.`, {
+            code: ErrorCode.InputWrongType,
+            context: { realizedVolatility: typeof options.realizedVolatility },
+        });
+    }
+    const idx = varianceIndexOf(options, functionName);
+    const points = idx.termStructure.map((e) => {
+        const rv = realizedFor(e.expiry, options.realizedVolatility, functionName);
+        return {
+            ...e,
+            realizedVolatility: rv,
+            varianceRiskPremium: varianceRiskPremium({
+                impliedVolatility: e.fairVolatility,
+                realizedVolatility: rv,
+            }),
+            volatilitySpread: realizedImpliedSpread({
+                impliedVolatility: e.fairVolatility,
+                realizedVolatility: rv,
+            }),
+        };
+    });
+    // Reference realized for the constant-maturity index: the scalar, else the nearest-expiry realized.
+    const horizonDays = options.horizonDays ?? 30;
+    const refExpiry = idx.termStructure.reduce((a, b) => Math.abs(b.daysToExpiry - horizonDays) < Math.abs(a.daysToExpiry - horizonDays) ? b : a).expiry;
+    const refRealized = realizedFor(refExpiry, options.realizedVolatility, functionName);
+    return {
+        points,
+        indexVarianceRiskPremium: varianceRiskPremium({
+            impliedVolatility: idx.fairVolatility,
+            realizedVolatility: refRealized,
+        }),
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            measure: 'risk-neutral',
+            method: 'ddkz-replication + vix-interpolation',
+        },
+        diagnostics: {
+            engine: 'variance-risk-premium-term-structure',
+            method: 'vix-style',
+            converged: true,
+            warnings: idx.diagnostics.warnings,
+        },
+    };
+}
+//# sourceMappingURL=variance-index.js.map

package/modules/volatility/dist/variance-index.js.map

@@ -0,0 +1 @@
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package/modules/volatility/dist/volatility-spot-beta.d.ts

@@ -0,0 +1,57 @@
+/**
+ * Empirical vol–spot β — the leverage effect (roadmap Tier 2 — the `minimumVarianceDelta` follow-up).
+ *
+ * `minimumVarianceDelta` needs `β = ∂σ/∂S`, and its spec is explicit that the honest β is **empirical**: the
+ * regression slope of realized IV changes on spot changes (negative for equities — the leverage effect). This
+ * estimates it from a `(spot, impliedVolatility)` history via OLS (with optional Newey–West HAC standard errors) so
+ * the `volatilitySpotBeta` output feeds straight into `minimumVarianceDelta({ volatilitySpotBeta })`.
+ * See `docs/specs/volatility-spot-beta.md`.
+ */
+import { type Computed } from '../../core/dist/index.js';
+/** Input for {@link estimateVolatilitySpotBeta}. */
+export interface VolatilitySpotBetaInput {
+    /** Chronological spot prices. */
+    spot: number[];
+    /** The option's implied vol (decimal), aligned to `spot`. */
+    impliedVolatility: number[];
+    /** Regress IV changes on log-returns (`'log'`, default) or dollar spot changes (`'level'`). */
+    basis?: 'log' | 'level';
+    /** Reference spot to convert a log-basis slope to `∂σ/∂S` (default: the latest spot). */
+    referenceSpot?: number;
+    /** Newey–West HAC bandwidth for autocorrelation-robust errors (default 0 = White). */
+    hacLags?: number;
+}
+/** The empirical vol–spot β and its regression diagnostics. */
+export interface VolatilitySpotBeta {
+    /**
+     * `β = ∂σ/∂S` in decimal vol **per $1 of spot** — feed straight to
+     * `minimumVarianceDelta({ volatilitySpotBeta })`, which expects the same per-dollar units.
+     *
+     * Units matter here: `stickyRegime` reports `volatilitySpotBetaPerLogSpot` = `∂σ/∂lnS` (per 100%
+     * spot move), which is `S ×` this number. On a `'log'` basis the conversion is done for you
+     * (`slope / referenceSpot`); {@link slope} is the raw regression coefficient in its own basis.
+     */
+    volatilitySpotBeta: number;
+    /** The regression slope: `∂σ/∂ln S` (`'log'`) or `∂σ/∂S` (`'level'`). */
+    slope: number;
+    /** Standard error of the slope. */
+    slopeStandardError: number;
+    /** t-statistic of the slope. */
+    slopeTStatistic: number;
+    /** Correlation of the IV change with the spot-change regressor (leverage ⇒ negative). */
+    correlation: number;
+    /** Coefficient of determination `R²`. */
+    rSquared: number;
+    /** Change observations used (after dropping bad pairs). */
+    observationCount: number;
+    /** Dropped (non-finite / non-positive) change observations. */
+    dropped: number;
+    /** Reference spot used for the `∂σ/∂S` conversion. */
+    referenceSpot: number;
+}
+export declare function estimateVolatilitySpotBeta(input: VolatilitySpotBetaInput): Computed<VolatilitySpotBeta, {
+    measure: 'real-world-hedge';
+    basis: 'log' | 'level';
+    hacLags: number;
+}>;
+//# sourceMappingURL=volatility-spot-beta.d.ts.map

package/modules/volatility/dist/volatility-spot-beta.d.ts.map

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package/modules/volatility/dist/volatility-spot-beta.js

@@ -0,0 +1,136 @@
+/**
+ * Empirical vol–spot β — the leverage effect (roadmap Tier 2 — the `minimumVarianceDelta` follow-up).
+ *
+ * `minimumVarianceDelta` needs `β = ∂σ/∂S`, and its spec is explicit that the honest β is **empirical**: the
+ * regression slope of realized IV changes on spot changes (negative for equities — the leverage effect). This
+ * estimates it from a `(spot, impliedVolatility)` history via OLS (with optional Newey–West HAC standard errors) so
+ * the `volatilitySpotBeta` output feeds straight into `minimumVarianceDelta({ volatilitySpotBeta })`.
+ * See `docs/specs/volatility-spot-beta.md`.
+ */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, WarningCode, ensureEnum, ensureKnownKeys, ensurePositive, requireArgumentArray, requireArgumentObject, warning, validateClosedRequest, } from '../../core/dist/index.js';
+import { VALIDATION_SPECS } from './generated/validation-specs.js';
+import { ols } from '../../math/dist/index.js';
+const FN = 'estimateVolatilitySpotBeta';
+/**
+ * Hard cap on Newey-West lags (2026-08-23 review, P0): ols()'s HAC outer loop runs `lags`
+ * iterations regardless of the sample size, so an astronomical "integer" was a non-terminating
+ * regression. The Newey-West bandwidth rule 4·(n/100)^(2/9) stays below 30 for any market-sized
+ * sample; 1,000 is ~30× beyond that while keeping the O(lags × n) sum well under a second.
+ */
+const MAX_HAC_LAGS = 1_000;
+/**
+ * Estimate the empirical vol–spot sensitivity `β = ∂σ/∂S` (the leverage effect) from a `(spot, impliedVolatility)`
+ * history by OLS of one-step IV changes on spot changes. The `volatilitySpotBeta` output is the minimum-variance
+ * hedge input for {@link minimumVarianceDelta}; the slope's standard error / t-stat / R² and a
+ * significance warning are reported so a β that is really noise does not masquerade as a hedge input.
+ * See `docs/specs/volatility-spot-beta.md`.
+ */
+const SPOT_BETA_SPEC = (() => {
+    const spec = VALIDATION_SPECS['estimateVolatilitySpotBeta#0'];
+    if (spec === undefined)
+        throw new Error('volatility-spot-beta: missing generated spec — run `pnpm validation:update`');
+    return spec;
+})();
+export function estimateVolatilitySpotBeta(input) {
+    validateClosedRequest('estimateVolatilitySpotBeta', input, SPOT_BETA_SPEC, {
+        exampleCall: 'estimateVolatilitySpotBeta({ volatilityChanges, spotReturns })',
+    });
+    requireArgumentObject(FN, 'input', input);
+    ensureKnownKeys(FN, 'input', input, [
+        'spot',
+        'impliedVolatility',
+        'basis',
+        'referenceSpot',
+        'hacLags',
+    ]);
+    requireArgumentArray(FN, 'spot', input.spot);
+    requireArgumentArray(FN, 'impliedVolatility', input.impliedVolatility);
+    const { spot, impliedVolatility } = input;
+    if (spot.length !== impliedVolatility.length) {
+        throw new InputError(`${FN}: spot and impliedVolatility must be the same length (got ${spot.length} and ${impliedVolatility.length}).`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { spot: spot.length, impliedVolatility: impliedVolatility.length },
+        });
+    }
+    const basis = input.basis ?? 'log';
+    ensureEnum(basis, ['log', 'level'], 'basis', FN);
+    const hacLags = input.hacLags ?? 0;
+    // Safe integer AND a work cap (2026-08-23 review, P0): hacLags is forwarded to ols(), whose
+    // Newey-West outer loop spins `lags` times REGARDLESS of the sample size (lags beyond n just add
+    // empty passes) — so `Number.isInteger(1e15)` passing made this call take hours and 2^53 made it
+    // non-terminating. The Newey-West bandwidth rule 4·(n/100)^(2/9) stays below 30 even at n = 10^9
+    // observations, so 1,000 lags is ~30× beyond any defensible bandwidth while keeping the O(lags × n)
+    // covariance sum well under a second on realistic samples.
+    if (!Number.isSafeInteger(hacLags) || hacLags < 0 || hacLags > MAX_HAC_LAGS) {
+        throw new InputError(`${FN}: hacLags must be an integer in [0, ${MAX_HAC_LAGS.toLocaleString('en-US')}] — each lag adds a full pass over the regression sample, and the Newey-West bandwidth rule 4·(n/100)^(2/9) never comes close to ${MAX_HAC_LAGS.toLocaleString('en-US')}; got ${String(hacLags)}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { hacLags, max: MAX_HAC_LAGS },
+        });
+    }
+    // One-step change pairs (Δσ, regressor). Drop any pair with a non-finite change or non-positive spot.
+    const y = [];
+    const x = [];
+    let dropped = 0;
+    for (let t = 1; t < spot.length; t++) {
+        const s0 = spot[t - 1];
+        const s1 = spot[t];
+        const dSig = impliedVolatility[t] - impliedVolatility[t - 1];
+        const reg = basis === 'log' ? Math.log(s1 / s0) : s1 - s0;
+        if (!(s0 > 0) || !(s1 > 0) || !Number.isFinite(dSig) || !Number.isFinite(reg)) {
+            dropped++;
+            continue;
+        }
+        y.push(dSig);
+        x.push(reg);
+    }
+    const n = y.length;
+    if (n < 3) {
+        throw new InputError(`${FN}: need ≥ 3 usable one-step changes for a slope + intercept regression; got ${n} (from ${spot.length} observation(s), ${dropped} dropped).`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { usableChanges: n, dropped, observations: spot.length },
+        });
+    }
+    const reg = ols(y, x.map((xi) => [xi]), hacLags > 0 ? { hac: { lags: hacLags } } : {});
+    const slope = reg.coefficients[1];
+    const slopeStandardError = reg.standardErrors[1];
+    const slopeTStatistic = reg.tStatistics[1];
+    const rSquared = reg.rSquared;
+    // Single regressor with intercept ⇒ R² is the squared correlation; sign follows the slope.
+    const correlation = Math.sign(slope) * Math.sqrt(Math.max(0, rSquared));
+    const referenceSpot = input.referenceSpot ?? spot[spot.length - 1];
+    ensurePositive(referenceSpot, 'referenceSpot', FN);
+    // Log basis: slope is ∂σ/∂ln S ⇒ ∂σ/∂S = slope / S at the reference spot. Level basis: slope IS ∂σ/∂S.
+    const volatilitySpotBeta = basis === 'log' ? slope / referenceSpot : slope;
+    const warnings = [];
+    if (dropped > 0) {
+        warnings.push(warning(WarningCode.ModelLimitation, `dropped ${dropped} change observation(s) with a non-finite IV change or non-positive spot.`, 'info', { dropped }));
+    }
+    if (n < 20) {
+        warnings.push(warning(WarningCode.ModelLimitation, `only ${n} change observation(s) — the β estimate is low-power; use a longer history.`, 'warn', { changeObservations: n }));
+    }
+    if (!(Math.abs(slopeTStatistic) >= 2)) {
+        warnings.push(warning(WarningCode.ModelLimitation, `the vol–spot slope is statistically insignificant (|t| = ${Math.abs(slopeTStatistic).toFixed(2)} < 2) — β may be noise, not a real leverage effect.`, 'warn', { tStatistic: slopeTStatistic }));
+    }
+    const assumptions = {
+        conventionsVersion: CONVENTIONS_VERSION,
+        measure: 'real-world-hedge',
+        basis,
+        hacLags,
+    };
+    return {
+        value: {
+            volatilitySpotBeta,
+            slope,
+            slopeStandardError,
+            slopeTStatistic,
+            correlation,
+            rSquared,
+            observationCount: n,
+            dropped,
+            referenceSpot,
+        },
+        assumptions,
+        diagnostics: { warnings },
+    };
+}
+//# sourceMappingURL=volatility-spot-beta.js.map