NIFTY Analytics Report - 2026-05-21 15:22:39 IST

Spot → Futures	Forward / Roll
05-26	5	-4.6	-1.4%	7	0.09%	4.7%
06-02	12	16.9	2.2%	7	0.12%	6.0%
06-09	19	44.2	3.6%	7	0.08%	4.3%
06-16	26	63.5	3.8%	7	0.01%	0.7%
06-23	33	66.7	3.1%	7	0.07%	3.7%
06-30	40	83.7	3.2%	28	0.45%	5.9%
07-28	68	191.1	4.3%	63	1.25%	7.1%
09-29	131	485.5	5.7%	91	1.98%	7.7%
12-29	222	952.4	6.5%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

05-26

-4.6

-1.4%

0.09%

4.7%

06-02

16.9

2.2%

0.12%

6.0%

06-09

44.2

3.6%

0.08%

4.3%

06-16

63.5

3.8%

0.01%

0.7%

06-23

66.7

3.1%

0.07%

3.7%

06-30

83.7

3.2%

0.45%

5.9%

07-28

191.1

4.3%

1.25%

7.1%

09-29

131

485.5

5.7%

1.98%

7.7%

12-29

222

952.4

6.5%

—

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)	10

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