NIFTY Analytics Report - 2026-09-30 15:37:59 IST

Spot → Futures	Forward / Roll
10-06	6	41.3	11.1%	7	0.06%	3.2%
10-13	13	55.3	6.9%	6	0.10%	6.3%
10-19	19	78.7	6.7%	8	0.08%	3.8%
10-27	27	97.5	5.8%	7	0.15%	7.6%
11-03	34	130.6	6.2%	20	0.39%	7.1%
11-23	54	218.8	6.5%	36	0.68%	6.8%
12-29	90	371.5	6.6%	91	1.62%	6.3%
03-30	181	738.0	6.5%	91	1.45%	5.6%
06-29	272	1066.8	6.2%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

10-06

41.3

11.1%

0.06%

3.2%

10-13

55.3

6.9%

0.10%

6.3%

10-19

78.7

6.7%

0.08%

3.8%

10-27

97.5

5.8%

0.15%

7.6%

11-03

130.6

6.2%

0.39%

7.1%

11-23

218.8

6.5%

0.68%

6.8%

12-29

371.5

6.6%

1.62%

6.3%

03-30

181

738.0

6.5%

1.45%

5.6%

06-29

272

1066.8

6.2%

—

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
2027-09-28	362	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