NIFTY Analytics Report - 2026-07-03 15:23:02 IST

Spot → Futures	Forward / Roll
07-07	4	16.2	6.1%	7	0.11%	5.8%
07-14	11	43.1	5.9%	7	0.11%	5.7%
07-21	18	69.5	5.8%	7	0.08%	4.3%
07-28	25	89.6	5.4%	7	0.10%	5.2%
08-04	32	113.7	5.3%	21	0.32%	5.5%
08-25	53	190.9	5.4%	35	0.66%	6.8%
09-29	88	350.5	6.0%	91	1.70%	6.7%
12-29	179	762.9	6.3%	91	2.61%	10.0%
03-30	270	1397.0	7.6%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

07-07

16.2

6.1%

0.11%

5.8%

07-14

43.1

5.9%

0.11%

5.7%

07-21

69.5

5.8%

0.08%

4.3%

07-28

89.6

5.4%

0.10%

5.2%

08-04

113.7

5.3%

0.32%

5.5%

08-25

190.9

5.4%

0.66%

6.8%

09-29

350.5

6.0%

1.70%

6.7%

12-29

179

762.9

6.3%

2.61%

10.0%

03-30

270

1397.0

7.6%

—

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)	1
Issues (WARN)	12

Excluded Expiries

Expiry	DTE	Reject Reason
2027-06-29	361	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