NIFTY Analytics Report - 2026-09-23 13:02:58 IST

Spot → Futures	Forward / Roll
09-29	6	13.3	3.5%	7	0.09%	4.8%
10-06	13	34.9	4.2%	7	0.11%	5.8%
10-13	20	60.8	4.7%	6	-0.02%	-1.4%
10-19	26	55.4	3.3%	8	0.25%	11.3%
10-27	34	113.8	5.2%	27	0.45%	6.0%
11-23	61	219.3	5.6%	36	0.69%	6.9%
12-29	97	381.2	6.1%	91	1.58%	6.2%
03-30	188	752.2	6.1%	91	1.48%	5.7%
06-29	279	1099.8	6.0%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

09-29

13.3

3.5%

0.09%

4.8%

10-06

34.9

4.2%

0.11%

5.8%

10-13

60.8

4.7%

-0.02%

-1.4%

10-19

55.4

3.3%

0.25%

11.3%

10-27

113.8

5.2%

0.45%

6.0%

11-23

219.3

5.6%

0.69%

6.9%

12-29

381.2

6.1%

1.58%

6.2%

03-30

188

752.2

6.1%

1.48%

5.7%

06-29

279

1099.8

6.0%

—

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