NIFTY Analytics Report - 2026-07-16 15:23:06 IST

Spot → Futures	Forward / Roll
07-21	5	21.9	6.6%	7	0.04%	2.0%
07-28	12	31.3	4.0%	7	0.06%	3.1%
08-04	19	45.6	3.6%	7	0.12%	6.4%
08-11	26	75.3	4.4%	7	0.10%	5.1%
08-18	33	99.0	4.5%	7	0.14%	7.3%
08-25	40	132.9	5.0%	35	0.62%	6.4%
09-29	75	282.8	5.7%	91	1.66%	6.5%
12-29	166	682.4	6.2%	91	1.65%	6.4%
03-30	257	1078.6	6.2%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

07-21

21.9

6.6%

0.04%

2.0%

07-28

31.3

4.0%

0.06%

3.1%

08-04

45.6

3.6%

0.12%

6.4%

08-11

75.3

4.4%

0.10%

5.1%

08-18

99.0

4.5%

0.14%

7.3%

08-25

132.9

5.0%

0.62%

6.4%

09-29

282.8

5.7%

1.66%

6.5%

12-29

166

682.4

6.2%

1.65%

6.4%

03-30

257

1078.6

6.2%

—

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)	3

Excluded Expiries

Expiry	DTE	Reject Reason
2027-06-29	348	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