NIFTY Analytics Report - 2026-06-10 09:33:01 IST

Spot → Futures	Forward / Roll
06-16	6	12.4	3.2%	7	0.02%	1.1%
06-23	13	17.3	2.1%	7	0.03%	1.8%
06-30	20	25.3	2.0%	7	0.05%	2.8%
07-07	27	37.8	2.2%	7	0.17%	9.1%
07-14	34	78.5	3.6%	14	0.20%	5.3%
07-28	48	126.3	4.1%	28	0.44%	5.6%
08-25	76	228.0	4.7%	35	0.72%	7.4%
09-29	111	395.5	5.5%	91	1.88%	7.3%
12-29	202	833.4	6.3%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

06-16

12.4

3.2%

0.02%

1.1%

06-23

17.3

2.1%

0.03%

1.8%

06-30

25.3

2.0%

0.05%

2.8%

07-07

37.8

2.2%

0.17%

9.1%

07-14

78.5

3.6%

0.20%

5.3%

07-28

126.3

4.1%

0.44%

5.6%

08-25

228.0

4.7%

0.72%

7.4%

09-29

111

395.5

5.5%

1.88%

7.3%

12-29

202

833.4

6.3%

—

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	293	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