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Expiry-day research notes
Short studies built from the files we sell, with the code to repeat them on your own pack.
Building an expiry-day dataset in Python: pandas and DuckDB recipesTurn a pack of daily option files into one table of expiry sessions, with minutes to expiry, nearest strike and normalised column names. Works with old and new file layouts.One-second or one-minute bars for the last hour of expiry?When an option can move 9x in twelve minutes, the bar size changes your fills. When 1-second data is worth it for expiry-day backtests, and when 1-minute is enough.Does NIFTY pin to max pain on expiry day? Testing it with open interest by strikeMax pain on the 14 Oct 2025 NIFTY expiry moved from 25,200 at the open to 25,150 by noon; the index closed at 25,123. How to compute max pain each minute and test pinning across many expiries.Far out-of-the-money options on expiry day: measuring the late spikesCheap NIFTY options can multiply in minutes on expiry day and then fade to nothing. How to find and measure those late moves in one-minute data, with a pandas scan you can run on the free sample.How fast an at-the-money straddle bleeds on expiry day: a minute-by-minute lookOn the 14 Oct 2025 NIFTY expiry the 25,150 straddle fell from 171.65 at the open to 4.45 at the close, and lost half its remaining value between 14:30 and 15:00. Here is how to measure it.NIFTY and SENSEX expiry days: the calendar changes your backtest has to respectNIFTY weeklies moved from Thursday to Tuesday, SENSEX went Friday, Tuesday, then Thursday, and holidays pull expiries forward. Read the expiry from the data instead of guessing the weekday.Free NIFTY expiry day data download: what the sample contains and how to test with itDownload a free NIFTY expiry day: options, futures and the index for one weekly expiry session, at 1-minute, in the same Parquet layout as the paid packs.Expiry day option chain historical data download: rebuilding the chain at any minuteDownload expiry-day option chain history for NIFTY and SENSEX and rebuild the full chain, calls and puts side by side, at any minute of the session.NIFTY monthly expiry options historical data: studying the last-Tuesday contractHow to get NIFTY monthly expiry options historical data from a full archive: identifying monthly contracts, following them for a month, and comparing them with weeklies.NIFTY expiry day 1-second data download: the final hour, one row per secondDownload NIFTY 1-second option and index data for expiry days: what the files contain, how to slice the last hour, and how to resample to any bar size.NIFTY 0DTE options data: what to download for same-day expiry strategiesWhat NIFTY 0DTE options data you need to backtest same-day expiry strategies: the expiring series only, entry and exit timing, and when to step up to 1-second bars.MCX crude oil expiry data: the last sessions of each crude contractMCX crude oil expiry data at 1-minute: how to find each CRUDEOIL and CRUDEOILM contract's final sessions, measure the roll, and handle the evening session.SENSEX weekly expiry historical data: how to study the BSE weekly cycleSENSEX weekly expiry historical data for research: how the weekly series is stored, how to line it up with NIFTY, and which pack holds which part of the history.NIFTY weekly options historical data download: building a week-by-week archiveHow to download NIFTY weekly options historical data and organise it by weekly series: separating weeklies from monthlies, tracking days to expiry, and choosing the pack window.SENSEX expiry day option data download: BSE expiry sessions minute by minuteDownload SENSEX expiry-day option data: each BSE weekly expiry session with every traded strike, 1-minute bars, volume and open interest, Parquet or CSV.NIFTY expiry day data download: every expiry session as its own fileDownload NIFTY expiry-day option data: every weekly and monthly expiry session, every strike that traded, 1-minute OHLC, volume and open interest, as Parquet or CSV.