NIFTY Analytics Report - 2026-10-05 09:33:13 IST

Spot → Futures	Forward / Roll
10-06	1	31.1	50.2%	7	0.20%	10.7%
10-13	8	77.3	15.6%	6	0.10%	5.9%
10-19	14	99.2	11.4%	8	0.12%	5.6%
10-27	22	126.9	9.3%	7	0.11%	5.8%
11-03	29	152.2	8.5%	20	0.32%	5.8%
11-23	49	224.9	7.4%	36	0.60%	6.0%
12-29	85	359.3	6.8%	91	1.64%	6.4%
03-30	176	729.2	6.6%	91	1.38%	5.3%
06-29	267	1041.7	6.2%	—	—	—

Spot → Futures

Forward / Roll

Exp

DTE

Basis

Carry

→Days

Roll

Fwd

10-06

31.1

50.2%

0.20%

10.7%

10-13

77.3

15.6%

0.10%

5.9%

10-19

99.2

11.4%

0.12%

5.6%

10-27

126.9

9.3%

0.11%

5.8%

11-03

152.2

8.5%

0.32%

5.8%

11-23

224.9

7.4%

0.60%

6.0%

12-29

359.3

6.8%

1.64%

6.4%

03-30

176

729.2

6.6%

1.38%

5.3%

06-29

267

1041.7

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)	5

Excluded Expiries

Expiry	DTE	Reject Reason
2027-09-28	358	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