NIFTY Analytics Report - 2026-06-11 09:32:57 IST

Spot → Futures	Forward / Roll
06-16	5	7.2	2.3%	7	0.03%	1.4%
06-23	12	13.6	1.8%	7	0.06%	3.4%
06-30	19	28.6	2.4%	7	0.13%	6.8%
07-07	26	58.9	3.6%	7	0.10%	5.3%
07-14	33	82.4	3.9%	14	0.21%	5.4%
07-28	47	130.6	4.4%	28	0.43%	5.6%
08-25	75	230.9	4.8%	35	0.74%	7.6%
09-29	110	401.5	5.7%	91	1.85%	7.2%
12-29	201	828.5	6.4%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

06-16

7.2

2.3%

0.03%

1.4%

06-23

13.6

1.8%

0.06%

3.4%

06-30

28.6

2.4%

0.13%

6.8%

07-07

58.9

3.6%

0.10%

5.3%

07-14

82.4

3.9%

0.21%

5.4%

07-28

130.6

4.4%

0.43%

5.6%

08-25

230.9

4.8%

0.74%

7.6%

09-29

110

401.5

5.7%

1.85%

7.2%

12-29

201

828.5

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)	10

Excluded Expiries

Expiry	DTE	Reject Reason
2027-03-30	292	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