NIFTY Analytics Report - 2026-09-30 13:03:55 IST

Spot → Futures	Forward / Roll
10-06	6	50.4	13.4%	7	0.11%	5.6%
10-13	13	75.1	9.2%	6	0.10%	6.4%
10-19	19	99.0	8.3%	8	0.10%	4.7%
10-27	27	122.8	7.3%	7	0.13%	6.6%
11-03	34	152.0	7.1%	20	0.38%	6.9%
11-23	54	238.6	7.0%	36	0.66%	6.6%
12-29	90	388.7	6.9%	91	1.61%	6.3%
03-30	181	756.2	6.6%	91	1.51%	5.8%
06-29	272	1099.9	6.3%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

10-06

50.4

13.4%

0.11%

5.6%

10-13

75.1

9.2%

0.10%

6.4%

10-19

99.0

8.3%

0.10%

4.7%

10-27

122.8

7.3%

0.13%

6.6%

11-03

152.0

7.1%

0.38%

6.9%

11-23

238.6

7.0%

0.66%

6.6%

12-29

388.7

6.9%

1.61%

6.3%

03-30

181

756.2

6.6%

1.51%

5.8%

06-29

272

1099.9

6.3%

—

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)	4

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