sensex / expiry-day options history
SENSEX expiry days, one minute at a time
SENSEX weekly options now expire on Thursdays, after earlier spells on Fridays and Tuesdays. Our SENSEX history starts on 7 November 2023. Every file carries its expiry date, so pulling out the expiry sessions takes one filter.
what you can study
- Straddle and strangle behaviour on SENSEX expiry afternoons.
- Side-by-side tests against NIFTY with the combined NIFTY + SENSEX packs.
- BANKEX alongside SENSEX in the BSE packs.
- The last hour at one-second resolution with the SENSEX 1-second pack.
good to know
SENSEX strikes are listed every 100 points, against 50 for NIFTY, so set your at-the-money rounding per index. Volume and open interest are in units, not lots.
The files hold traded prices. Greeks and implied volatility can be computed from option price, underlying level and time to expiry; the guides show how.
> sensex packs
Each pack includes every trading day in its window: expiry days and the days leading up to them.
1-second
For the last hour of expiry, when one-minute bars hide the move. Options plus the index, one row per second.
Everything
Every index and commodity on this site in one order.