blog / 2026-10-31

NIFTY 0DTE options data: what to download for same-day expiry strategies

What 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.

"0DTE" means trading an option on the day it expires. For NIFTY, that is the weekly expiry session: one day, one series, from the open to 15:30. The data question is narrow, and that makes it easy to get right.

The minimum dataset

• The expiring series only, on expiry days only. Files where trading day equals expiry date.
• Every strike that traded, because 0DTE strategies move between strikes as the index moves.
• The index on the same clock, to know which strike was at the money at each minute. The Complete and 1-second packs include it.

A 0DTE straddle skeleton

import pandas as pd

opt = pd.read_parquet("NIFTY_OPT_1min_2025-10-14_exp2025-10-14.parquet")
spot = pd.read_parquet("NIFTY_SPOT_1min_2025-10-14.parquet")
t0 = pd.Timestamp("2025-10-14 09:20")
s0 = spot.set_index(pd.to_datetime(spot["timestamp"])).loc[t0, "close"]
atm = round(s0 / 50) * 50
legs = opt[(opt["strike_price"] == atm)].set_index("datetime").groupby("right")["close"]
straddle = legs.get_group("Call") + legs.get_group("Put")
print(straddle.loc["2025-10-14 09:20":].iloc[[0, -1]])

Column names differ slightly in older files. The free sample uses the names above.

When 1-minute is not enough

Stops and targets placed close to price in the final hour can be hit and reversed inside one minute. If your rules depend on that, use the 1-second packs, which have options and the index at one row per second.

Start with the free expiry day, then pick a 1-minute year or a 1-second year.