I ordered bank 1 O2 sensor, part number 9202719. It is a 4 wire Bosh. Two white, 1 grey, and 1 black. The pins and ports look OK between old and new. However, the new plug will not fit due to a tab which would have to be shaved off. I don't get it. This was supposed to be a no brainer, based on the part number. Did they send me the wrong part?

Perfect replacement for the front O2 sensor. I hope you didn't try to put it in the rear O2 sensor plug.
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My back feels better when I sit in a Volvo seat

No. I didn't mess with the rear O2 sensor. Took only the front one out, and compared it with the new one. Identical in every way. Same length wire bundle, same color wires (2 white, 1 black, 1 grey). One difference was the tab on the new plug which does not line up with the receiving connector, and the color of the new plug is blue, the old one is black.

Can you tell us where you got the O2 sensor from? Blue is the wrong color:
http://www.eeuroparts.com/Parts/4298/Oxygen-Sensor-Front-15097/
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My back feels better when I sit in a Volvo seat

Got it on Amazon. Supposedly the correct part number based on paperwork.
Apparently Volvo used to ship O2 sensor wire connector extender, part 9202714, free with every sensor. No more, it is a separate item most people don't know about. I'm not clear about the functionality of this extender, other than to make the plug fit harness. New O2 sensor harness is long enough as it is. It doesn't really need extending. I'll just keep the O2 sensor I got and shave off the "index pin" to make the plug fit.


http://www.ipdusa.com/products/5826/105688-front-oxygen-sensor