Does this sensor measure electrical or magnetic fields (with oscilloscope)
This little coil will mostly respond to changing currents in its vicinity.  The magnetic field caused by the changing currents will induce a voltage between the scope tip and the ground clip.  

Consider a changing voltage in its vicinity, which will create an electric field.  Although the changing field will likely drive some current into your little coil, most of the current will be shunted to the ground clip. The only voltage that will appear on the scope will be due to the current creating a voltage as it flows through the inductance of the coil, which is pretty small.  So, your little coil will respond to  both magnetic and electric fields, but mostly to magnetic fields. You have created a current probe.