NIFTY Analytics Report - 2026-05-22 13:02:46 IST

Spot → Futures	Forward / Roll
05-26	4	2.9	1.1%	7	0.06%	3.3%
06-02	11	18.0	2.5%	7	0.09%	4.5%
06-09	18	38.6	3.3%	7	0.06%	3.2%
06-16	25	53.4	3.3%	7	-0.01%	-0.4%
06-23	32	51.5	2.5%	7	0.11%	6.0%
06-30	39	78.9	3.1%	28	0.44%	5.7%
07-28	67	183.6	4.2%	63	1.22%	7.0%
09-29	130	475.0	5.5%	91	1.97%	7.7%
12-29	221	945.4	6.4%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

05-26

2.9

1.1%

0.06%

3.3%

06-02

18.0

2.5%

0.09%

4.5%

06-09

38.6

3.3%

0.06%

3.2%

06-16

53.4

3.3%

-0.01%

-0.4%

06-23

51.5

2.5%

0.11%

6.0%

06-30

78.9

3.1%

0.44%

5.7%

07-28

183.6

4.2%

1.22%

7.0%

09-29

130

475.0

5.5%

1.97%

7.7%

12-29

221

945.4

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)	6

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