NIFTY Analytics Report - 2026-08-31 13:02:44 IST

Spot → Futures	Forward / Roll
09-01	1	58.1	88.0%	7	0.21%	10.8%
09-08	8	108.2	20.5%	7	0.15%	7.9%
09-15	15	144.6	14.6%	7	0.11%	5.7%
09-22	22	171.3	11.8%	7	0.12%	6.5%
09-29	29	201.2	10.5%	28	0.49%	6.3%
10-27	57	318.7	8.4%	27	0.49%	6.6%
11-23	84	437.5	7.8%	36	0.67%	6.7%
12-29	120	599.7	7.5%	91	1.67%	6.5%
03-30	211	1001.0	7.1%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

09-01

58.1

88.0%

0.21%

10.8%

09-08

108.2

20.5%

0.15%

7.9%

09-15

144.6

14.6%

0.11%

5.7%

09-22

171.3

11.8%

0.12%

6.5%

09-29

201.2

10.5%

0.49%

6.3%

10-27

318.7

8.4%

0.49%

6.6%

11-23

437.5

7.8%

0.67%

6.7%

12-29

120

599.7

7.5%

1.67%

6.5%

03-30

211

1001.0

7.1%

—

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	302	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