blog / 2026-10-31

Expiry day option chain historical data download: rebuilding the chain at any minute

Download 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.

An option chain is a snapshot: every strike of one expiry, calls on one side, puts on the other. Brokers show it live, but not for a past expiry day at 14:47. With 1-minute history you can rebuild that snapshot for any minute of any expiry session.

Rebuild the chain at one minute

import pandas as pd

df = pd.read_parquet("NIFTY_OPT_1min_2025-10-14_exp2025-10-14.parquet")
df["datetime"] = pd.to_datetime(df["datetime"])
t = pd.Timestamp("2025-10-14 14:47")

snap = (df[df["datetime"] <= t]
        .sort_values("datetime")
        .groupby(["strike_price", "right"]).last())
chain = snap["close"].unstack("right").rename(columns={"Call": "CE", "Put": "PE"})
chain["CE_oi"] = snap["open_interest"].unstack("right")["Call"]
chain["PE_oi"] = snap["open_interest"].unstack("right")["Put"]
print(chain.loc[25000:25300])

Taking the last traded bar up to that minute means strikes that did not trade in that exact minute still show their latest price, as on a live chain.

What you can do with it

• Put-call parity checks and implied volatility by strike at any minute.
• Where the heaviest open interest sat as the session closed.
• How the chain looked at the moment your strategy would have entered.

The same code works for SENSEX files, with 100-point strikes. Packs: NIFTY 2025, SENSEX 3 years, or both in NIFTY + SENSEX, 12 months.