Detecting phase changes in dynamically loaded materials at pressures up into the megabar regime is among the top challenges in shock physics. Probing the electronic band structure by means of spectral ellipsometry is one of the possible solutions to this problem. For this purpose a fast spectral ellipsometer in the spectral range from 500 to 2000 nm is developed currently in the Physics Division of the Los Alamos National Laboratory. This paper discusses some of the most prominent difficulties associated with shock physics experiments, including sample movement, roughening of the sample surface after shock breakout and a change of index of refraction due to compression of transparent anvils often used in this kind of experiments. The layout of the instrument and its main components (light source, detectors and polarization measurement components) will be described as well as simulated spectra in order to get an understanding of the main contributions to measurement uncertainties. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)