NIFTY Analytics Report - 2026-06-03 13:03:32 IST

Spot → Futures	Forward / Roll
06-09	6	52.6	13.7%	7	0.09%	4.9%
06-16	13	74.6	9.0%	7	0.02%	1.1%
06-23	20	79.5	6.2%	7	0.02%	1.0%
06-30	27	84.1	4.9%	7	0.11%	5.5%
07-07	34	108.6	5.0%	21	0.35%	6.0%
07-28	55	189.5	5.4%	28	0.45%	5.9%
08-25	83	295.5	5.5%	35	0.76%	7.8%
09-29	118	473.2	6.2%	91	2.04%	8.0%
12-29	209	949.2	7.0%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

06-09

52.6

13.7%

0.09%

4.9%

06-16

74.6

9.0%

0.02%

1.1%

06-23

79.5

6.2%

0.02%

1.0%

06-30

84.1

4.9%

0.11%

5.5%

07-07

108.6

5.0%

0.35%

6.0%

07-28

189.5

5.4%

0.45%

5.9%

08-25

295.5

5.5%

0.76%

7.8%

09-29

118

473.2

6.2%

2.04%

8.0%

12-29

209

949.2

7.0%

—

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	1
Issues (FAIL)	0
Issues (WARN)	11

Excluded Expiries

Expiry	DTE	Reject Reason
2027-03-30	300	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