NIFTY Analytics Report - 2026-02-03 13:00:20 IST

Spot → Futures	Forward / Roll
02-10	7	30.5	6.2%	7	0.10%	5.0%
02-17	14	55.4	5.6%	7	0.16%	8.3%
02-24	21	96.5	6.5%	6	0.14%	8.4%
03-02	27	132.3	6.9%	28	0.50%	6.4%
03-30	55	260.3	6.7%	29	0.59%	7.3%
04-28	84	412.0	6.9%	63	1.20%	6.8%
06-30	147	721.4	6.9%	91	1.68%	6.5%
09-29	238	1154.9	6.7%	91	1.89%	7.2%
12-29	329	1642.3	6.9%	—	—	—

Feature Availability

Feature	Status	Description
Forward Matrix JSON	✓	Always available
Quote Cards HTML	✓	ATM quote cards table
Event Window Tool	✗	Custom implied moves
Sliding Windows	✗	Not shipped yet
Smile Density Plots	✗	FULL mode only
Chain Snapshots	✗	FULL mode only
Carry Data	✓	Carry curve analysis

Data Counts

Metric	Count
Usable Expiries	9
Excluded Expiries	0
NEG Cells	0
Issues (FAIL)	0
Issues (WARN)	4

📊 Futures/Spot Carry Analysis

Carry (%) is the annualized log return from holding futures vs spot, computed as ln(F/S)/τ. Positive carry (contango) indicates futures trading above spot.

Carry vs Time to Expiry

Carry (%) vs Days to Expiry

📄 Data Exports

File	Description
nifty_carry_snapshots.csv	Spot→Futures carry for each expiry (basis, carry %, dividend proxy)
nifty_carry_intervals.csv	Futures→Futures forward carry (forward carry %, step points)

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Export Files

File	Description
run_diagnostics.json	Full diagnostics with issues and metrics
quote_cards.html	HTML table of all ATM quotes

Useful jq Queries

# Get all issues
cat exports/run_diagnostics.json | jq '.issues'

# Count issues by severity
cat exports/run_diagnostics.json | jq '.issues | group_by(.severity) | map({severity: .[0].severity, count: length})'

# Get structure summary
cat exports/run_diagnostics.json | jq '.structure_summary'

# Get NEG intervals
cat exports/run_diagnostics.json | jq '.structure_summary.neg_interval_count'

Debug artifacts only available in FULL mode.

📈 Term Structure VT

🔲 Forward Matrix VT

📊 Carry Analysis