NIFTY Analytics Report - 2026-09-23 09:32:58 IST

Spot → Futures	Forward / Roll
09-29	6	26.5	6.9%	7	0.10%	5.2%
10-06	13	49.7	6.0%	7	0.12%	6.0%
10-13	20	76.6	6.0%	6	0.03%	1.6%
10-19	26	82.7	5.0%	8	0.18%	8.3%
10-27	34	125.5	5.8%	27	0.47%	6.4%
11-23	61	236.1	6.0%	36	0.70%	7.1%
12-29	97	400.8	6.4%	91	1.64%	6.4%
03-30	188	783.2	6.4%	91	1.10%	4.3%
06-29	279	1041.4	5.7%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

09-29

26.5

6.9%

0.10%

5.2%

10-06

49.7

6.0%

0.12%

6.0%

10-13

76.6

6.0%

0.03%

1.6%

10-19

82.7

5.0%

0.18%

8.3%

10-27

125.5

5.8%

0.47%

6.4%

11-23

236.1

6.0%

0.70%

7.1%

12-29

400.8

6.4%

1.64%

6.4%

03-30

188

783.2

6.4%

1.10%

4.3%

06-29

279

1041.4

5.7%

—

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)	9

Excluded Expiries

Expiry	DTE	Reject Reason
2026-11-03	41	iv_convergence

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