NIFTY Analytics Report - 2026-05-21 09:32:38 IST

Spot → Futures	Forward / Roll
05-26	5	-9.3	-2.9%	7	0.08%	4.3%
06-02	12	10.3	1.3%	7	0.11%	5.6%
06-09	19	36.1	2.9%	7	0.07%	3.6%
06-16	26	52.7	3.1%	7	-0.03%	-1.4%
06-23	33	46.3	2.2%	7	0.15%	7.9%
06-30	40	82.5	3.2%	28	0.44%	5.7%
07-28	68	187.4	4.2%	63	1.26%	7.2%
09-29	131	486.4	5.7%	91	1.93%	7.5%
12-29	222	946.1	6.4%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

05-26

-9.3

-2.9%

0.08%

4.3%

06-02

10.3

1.3%

0.11%

5.6%

06-09

36.1

2.9%

0.07%

3.6%

06-16

52.7

3.1%

-0.03%

-1.4%

06-23

46.3

2.2%

0.15%

7.9%

06-30

82.5

3.2%

0.44%

5.7%

07-28

187.4

4.2%

1.26%

7.2%

09-29

131

486.4

5.7%

1.93%

7.5%

12-29

222

946.1

6.4%

—

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	1
NEG Cells	0
Issues (FAIL)	0
Issues (WARN)	9

Excluded Expiries

Expiry	DTE	Reject Reason
2027-03-30	313	insufficient_strikes

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

Feature Availability

Data Counts

Excluded Expiries

Export Files

Useful jq Queries