NIFTY Analytics Report - 2026-07-31 13:02:44 IST

Spot → Futures	Forward / Roll
08-04	4	-8.7	-3.2%	7	0.07%	3.5%
08-11	11	7.7	1.1%	7	0.08%	4.4%
08-18	18	28.4	2.4%	7	0.12%	6.5%
08-25	25	58.8	3.5%	7	0.10%	5.4%
09-01	32	84.2	3.9%	28	0.41%	5.3%
09-29	60	184.7	4.6%	28	0.52%	6.8%
10-27	88	312.8	5.3%	63	1.01%	5.8%
12-29	151	560.2	5.5%	91	1.65%	6.4%
03-30	242	962.0	5.8%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

08-04

-8.7

-3.2%

0.07%

3.5%

08-11

7.7

1.1%

0.08%

4.4%

08-18

28.4

2.4%

0.12%

6.5%

08-25

58.8

3.5%

0.10%

5.4%

09-01

84.2

3.9%

0.41%

5.3%

09-29

184.7

4.6%

0.52%

6.8%

10-27

312.8

5.3%

1.01%

5.8%

12-29

151

560.2

5.5%

1.65%

6.4%

03-30

242

962.0

5.8%

—

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	333	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