According to legend, Indra's thunderbolt was fashioned from the bones of the great Rishi Dadhichi, who was decapitated by Indra in sacrifice. Dadhichi's 'indestructible' skull-bones gave Indra the most powerful of weapons. By its energy he slew innumerable of his enemy demons. In mythological descriptions, Indra's thunderbolt or vajra is shaped either like a circular discus with a hole at its center, or in the form of a cross with transverse bladed bars. The Rigveda, the most ancient text in the world, identifies the vajra as a notched metal club with a thousand prongs. What is significant is that all these descriptions identify the vajra as having open prongs, unlike the Buddhist one, which has closed prongs. According to a Buddhist legend, Shakyamuni took the vajra weapon from Indra and forced its wrathful open prongs together, thus forming a peaceful Buddhist scepter with closed prongs. The Buddhist vajra hence absorbed the unbreakable and indestructible power of the thunderbolt. 

~ Nitin Kumar, Exotic India Arts