NIFTY Analytics Report - 2026-09-30 09:33:16 IST

Spot → Futures	Forward / Roll
10-06	6	76.5	20.5%	7	0.07%	3.8%
10-13	13	93.0	11.5%	6	0.10%	6.1%
10-19	19	115.7	9.8%	8	0.10%	4.7%
10-27	27	139.3	8.3%	7	0.13%	6.5%
11-03	34	167.7	7.9%	20	0.41%	7.4%
11-23	54	261.0	7.7%	36	0.71%	7.1%
12-29	90	423.4	7.5%	91	1.49%	5.8%
03-30	181	762.3	6.7%	91	1.74%	6.7%
06-29	272	1156.3	6.7%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

10-06

76.5

20.5%

0.07%

3.8%

10-13

93.0

11.5%

0.10%

6.1%

10-19

115.7

9.8%

0.10%

4.7%

10-27

139.3

8.3%

0.13%

6.5%

11-03

167.7

7.9%

0.41%

7.4%

11-23

261.0

7.7%

0.71%

7.1%

12-29

423.4

7.5%

1.49%

5.8%

03-30

181

762.3

6.7%

1.74%

6.7%

06-29

272

1156.3

6.7%

—

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)	11

Excluded Expiries

Expiry	DTE	Reject Reason
2027-09-28	363	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