NIFTY Analytics Report - 2026-05-22 09:32:36 IST

Spot → Futures	Forward / Roll
05-26	4	7.3	2.8%	7	0.07%	3.9%
06-02	11	25.0	3.5%	7	0.10%	5.2%
06-09	18	48.9	4.2%	7	0.07%	3.7%
06-16	25	65.8	4.0%	7	0.01%	0.3%
06-23	32	67.3	3.2%	7	0.10%	5.4%
06-30	39	91.9	3.6%	28	0.45%	5.8%
07-28	67	197.5	4.5%	63	1.22%	7.0%
09-29	130	488.3	5.7%	91	1.94%	7.6%
12-29	221	948.8	6.5%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

05-26

7.3

2.8%

0.07%

3.9%

06-02

25.0

3.5%

0.10%

5.2%

06-09

48.9

4.2%

0.07%

3.7%

06-16

65.8

4.0%

0.01%

0.3%

06-23

67.3

3.2%

0.10%

5.4%

06-30

91.9

3.6%

0.45%

5.8%

07-28

197.5

4.5%

1.22%

7.0%

09-29

130

488.3

5.7%

1.94%

7.6%

12-29

221

948.8

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	312	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