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You get it by sending Greriat to Lothric Castle.
And then finding his dead corpse near some corvains.
Exploding bolts go in a crossbow:
http://darksouls3.wiki.fextralife.com/Crossbows
http://darksouls3.wiki.fextralife.com/Exploding+Bolt
http://darksouls3.wiki.fextralife.com/Greirat+of+the+Undead+Settlement
They're a fair bit of a pain in the arze to get.
The other possibility is the Millwood Greatbow, which can make any greatarrow explode shortly after landing:
http://darksouls3.wiki.fextralife.com/Millwood+Greatbow
It's found in the first DLC...
The Ashes for greatarrows come from various locations, but the especially strong arrows that go with the Millwood greatbow can be found in the same area, as the Captain's Ashes that you give to the Handmaiden:
https://www.youtube.com/watch?v=J4CxnnlXQGA