SPX Options Historical Data: Complete Guide to In-Depth Analysis and Trends

SPX options historical data (past prices, implied volatility, Greeks, volume, and open interest for S&P 500 Index options) is what you need to backtest SPX strategies and study how index option premiums behaved in different markets. In Excel, the MarketXLS add-in returns it with functions such as =opt_HistoricalOptionChain("^SPX", DATE(2024,1,15)) for a full chain on a past date, Bid_Historical and Ask_Historical for a single contract, opt_DeltaHistorical and related functions for historical Greeks, and =QM_GetHistory("^SPX") for the index price history. The Cboe also publishes historical SPX data for download.

This guide covers the functions, a spreadsheet layout for SPX analysis, how SPX options differ from SPY options, and the factors (volatility, dividends, interest rates) that move SPX option prices.

Can you trade options on SPX?

Yes. SPX options are listed on the Cboe and are among the most actively traded index options. A call gives the right to buy the index at the strike price by expiration; a put gives the right to sell it, which is why SPX puts are commonly used to hedge stock portfolios.

SPX options have three structural features that set them apart:

• European-style exercise: they can be exercised only at expiration, so there is no early-assignment risk.
• Cash settlement: no shares change hands; the difference between the settlement value and the strike is paid in cash.
• Many expirations: standard monthly contracts plus SPX Weeklys (SPXW) with expirations on other days, which lets traders position around specific dates and events.

How to Retrieve SPX Options Historical Data with MarketXLS

MarketXLS returns SPX options data through two groups of functions: current-data functions (QM_GetOptionChain, QM_GetOptionQuotesAndGreeks) and historical functions that take a date (opt_HistoricalOptionChain, Bid_Historical, Ask_Historical, opt_Vol_OI_Historical, and the opt_*Historical Greeks). Historical contract-level functions need an option contract symbol, which you can build with OptionSymbol or read from a chain.

Getting the SPX Option Chain

The option chain function returns the current SPX chain:

=QM_GetOptionChain("^SPX")

Formula documentation: QM_GetOptionChain

This returns the complete option chain for SPX, including all available strikes, expirations, bid/ask prices, volume, open interest, and implied volatility. This is your starting point for any SPX options analysis.

Getting SPX Historical Price Data

=QM_GetHistory("^SPX")

Formula documentation: QM_GetHistory

This retrieves historical price data for the S&P 500 Index, which you can use to correlate with historical options pricing patterns and backtest strategies.

Getting Options Quotes with Greeks

=QM_GetOptionQuotesAndGreeks("^SPX")

Formula documentation: QM_GetOptionQuotesAndGreeks

This function provides the complete option chain with all Greeks (Delta, Gamma, Theta, Vega, Rho), so you can study delta, time decay, and volatility sensitivity alongside prices.

Historical Bid and Ask Prices

1. Historical Bid Price (Options):

– Function: Bid_Historical

– Syntax: =Bid_Historical("Option Symbol", Date)

– Example: =Bid_Historical("AAPL210917C00145000", TODAY()-20)

– Description: Returns the bid price for an option on a specific historical date.

2. Historical Ask Price (Options):

– Function: Ask_Historical

– Syntax: =Ask_Historical("Option Symbol", Date)

– Example: =Ask_Historical("AAPL210917C00145000", TODAY()-10)

– Description: Returns the ask price for an option on a specific historical date.

3. Options Volume and Open Interest Ratio on a Historical Date:

– Function: opt_Vol_OI_Historical

– Syntax: =opt_Vol_OI_Historical("Option Symbol", Date)

– Example: =opt_Vol_OI_Historical("AAPL210917C00145000", TODAY()-10)

– Description: Returns the volume to open interest ratio for a specific historical date.

4. Historical Option Chain Data:

– Function: opt_HistoricalOptionChain

– Syntax: =opt_HistoricalOptionChain("Ticker", "Date")

– Example: =opt_HistoricalOptionChain("AAPL", DATE(2024,1,15))

– Description: Returns the full option chain (calls and puts, strikes, expirations, prices, and Greeks) as of the specified past date, allowing for in-depth historical data analysis and backtesting strategies.

5. Historical Greeks (Delta, Gamma, Vega, Theta, Rho) for Options:

– Delta: =opt_DeltaHistorical("Option Symbol", Date)

– Gamma: =opt_GammaHistorical("Option Symbol", Date)

– Vega: =opt_VegaHistorical("Option Symbol", Date)

– Theta: =opt_ThetaHistorical("Option Symbol", Date)

– Rho: =opt_RhoHistorical("Option Symbol", Date)

– Example: =opt_DeltaHistorical("AAPL210917C00145000", TODAY()-1)

– Description: Returns the delta, gamma, vega, theta, or rho for an option on a specific date. These functions are useful for historical analysis of the option's sensitivity metrics.

The examples above use an AAPL contract; replace the symbol with an SPX contract symbol to get the same data for SPX. Function availability can differ between the Windows add-in and the Microsoft 365 add-in (where formulas use the mxls. prefix), so check /formulas for your platform. Options data on the Standard plan is end-of-day; Advanced and Business plans include real-time options data (see /pricing).

This MarketXLS template shows a working option chain layout:

Option Chain Excel Sheet (Download Template)

Benefits of trading SPX options

SPX options offer four practical benefits: liquidity, strategy range, tax treatment, and hedging.

• Liquidity: SPX is one of the most heavily traded options markets, which generally means tighter bid-ask spreads and easier entry and exit than options on less active indices.
• Strategy range: traders use SPX for covered-call-style overlays, protective puts, iron condors, butterflies, and calendars across many expirations.
• Tax treatment: SPX options are Section 1256 contracts, taxed 60% long-term and 40% short-term regardless of holding period. Consult a tax professional for your situation.
• Hedging: a portfolio of large-cap US stocks can be hedged with SPX puts, put spreads, or collars, which limit downside while keeping some upside.

SPX Options Historical Data: Key Data Points and Sources

The table below lists each SPX data point, the MarketXLS function that returns it, and the source:

Differences between SPX options and SPY options

SPX options are cash-settled, European-style options on the S&P 500 Index; SPY options are physically settled, American-style options on the SPDR S&P 500 ETF. Both track the same index, but they differ in size, exercise, settlement, and taxes:

• Settlement: SPX settles in cash. SPY exercise delivers ETF shares.
• Exercise: SPX can be exercised only at expiration. SPY can be exercised any time before expiration, so short SPY positions carry early-assignment risk.
• Taxes: SPX options are Section 1256 contracts (60/40 treatment). SPY options are taxed under standard capital gains rules, which for short-term trades usually means a higher rate.
• Size: one SPX contract has roughly 10 times the notional value of one SPY contract.

SPX vs SPY Options Comparison Table

How market volatility affects SPX option prices

Higher volatility raises SPX option premiums for both calls and puts; lower volatility reduces them. Implied volatility is a direct input to pricing models such as Black-Scholes, so when traders expect larger index moves (and demand more protection), premiums rise.

Premiums often rise ahead of scheduled events, such as major earnings releases, Federal Reserve meetings, or economic data, and fall after the event passes and uncertainty resolves. Tracking implied volatility over time (see the historical volatility section below) shows whether current premiums are high or low relative to the recent past.

SPX options compared with other index options

SPX differs from other index options mainly in liquidity and expiration choice. Nasdaq-100 (NDX) index options are also European-style and cash-settled, while ETF options such as SPY and QQQ are American-style and physically settled. SPX is among the most actively traded index options, which generally means tighter bid-ask spreads and less slippage on large orders than options on less active indices. SPX also lists weekly through long-dated expirations, which suits calendar spreads and other time-based strategies.

Tax treatment of SPX options

SPX options are Section 1256 contracts under the US tax code, so gains and losses are treated as 60% long-term and 40% short-term capital gains regardless of how long the position was held. Even a one-day SPX trade gets partial long-term treatment.

Section 1256 contracts are also marked to market at year-end: open positions are taxed as if they were closed at the year-end price. Keep detailed records, and consult a tax professional; this is general information, not tax advice.

How dividends affect SPX options

Dividends paid by S&P 500 companies lower the index level on ex-dividend dates, because the index is a price index and does not add dividends back. Lower expected index levels reduce call values and raise put values. Because dividends are largely scheduled, option pricing models build expected dividends into the forward price in advance, so the effect is mostly priced in before the ex-dividend dates. Unexpected dividend changes are what move prices.

Hedging portfolio risk with SPX options

Buying SPX puts is the most direct way to hedge a large-cap US stock portfolio: if the index falls below the put's strike, the puts gain value and offset part of the portfolio loss.

For example, an investor with a $1 million diversified portfolio who is concerned about the next three months could buy SPX puts with a strike about 2% below the current index level. If the index falls more than 2% plus the premium paid, the puts gain value and cushion the portfolio. The cost is the premium, which is lost if the market does not fall.

A protective collar reduces that cost: buy puts for downside protection and sell calls to collect premium that offsets the cost of the puts. The trade-off is that upside above the call strike is given up.

Reading market sentiment from SPX options

SPX options activity is a common sentiment gauge. Rising put buying relative to calls, measured by the put/call ratio, usually signals caution or hedging demand; heavier call activity suggests optimism.

The Cboe Volatility Index (VIX) is calculated from SPX option prices and measures the market's expected 30-day volatility. A VIX spike means traders expect larger moves; a low VIX means they expect calm. In MarketXLS, =Last("^VIX") returns the VIX level.

How interest rates affect SPX options

Higher interest rates generally raise SPX call values and lower put values, all else equal. A higher rate lowers the present value of the strike price, which the call holder pays and the put holder receives at expiration. The effect grows with time to expiration, so it matters most for long-dated SPX options and is small for short-dated ones. Rate changes can also move the index itself and implied volatility, which usually have a larger effect on option prices than the rate input alone.

How to Get Historical Volatility Trends in SPX Options Markets with MarketXLS

MarketXLS offers three ways to track SPX volatility over time: implied volatility for a specific contract on past dates, realized (historical) volatility of the index, and interpolated implied volatility for standard periods.

Steps to Get Historical Volatility Trends

1. Implied Volatility (IV) for Historical Dates: The function opt_ImpliedVolatilityHistorical can be employed to retrieve the implied volatility for a specific option on a specific date. This allows you to track how IV has changed over time.

• Syntax:

=opt_ImpliedVolatilityHistorical("Option Symbol", "Date")

Formula documentation: opt_ImpliedVolatilityHistorical

• Example Usage:

=opt_ImpliedVolatilityHistorical(A2, TODAY()-30)

Formula documentation: opt_ImpliedVolatilityHistorical

Here A2 holds an SPX option contract symbol. The function requires a contract symbol, not the index ticker, and returns that contract's implied volatility 30 days ago.

2. Standard Deviation as a Proxy for Historical Volatility: MarketXLS also provides functions to calculate the standard deviation over various time frames which can be used as a statistical measure of the volatility for SPX options.

– 1 Year Volatility: =StockVolatilityOneYear("^SPX") returns the stock's price volatility over the past year.

– 30 Days Volatility: =StockVolatilityThirtyDays("^SPX") returns the thirty-day volatility of SPX.

3. Aggregated Implied Volatility Over Different Periods: There are functions available to get interpolated implied volatility for different periods:

– =ImpliedVolatility1y("SPX") for 1-year implied volatility.

– =ImpliedVolatility30d("SPX") for 30-day implied volatility.

4. Historical Option Data Retrieval: For a more comprehensive analysis, you can pull historical option chain data which includes implied volatility for all strikes and expirations using:

=opt_HistoricalOptionChain("^SPX", DATE(2024,1,15))

Formula documentation: opt_HistoricalOptionChain

This will provide the entire option chain for SPX as of the specified date, allowing you to build a more detailed view of historical volatility trends.

Additional Tips:

– Combine these functions in a spreadsheet to create a time series visualization of SPX option volatility.

– Use conditional formatting in Excel to highlight significant changes or trends in the volatility data.

This MarketXLS template calculates historical implied volatility:

• Historical IV Calculator – MarketXLS

Building an SPX Options Historical Data Analysis Spreadsheet

An SPX analysis workbook needs five sheets: the index level, the current chain, index price history, Greeks, and the VIX.

Step 1: Set Up the SPX Data Sheet

Create a new worksheet and pull the current SPX index data:

=QM_Last("^SPX")

Formula documentation: QM_Last

This gives you the current S&P 500 level as your reference point.

Step 2: Pull the Full Option Chain

In a dedicated worksheet:

=QM_GetOptionChain("^SPX")

Formula documentation: QM_GetOptionChain

This populates the sheet with all available SPX options, including calls and puts at every strike and expiration.

Step 3: Get Historical Context

Pull historical SPX price data for backtesting:

=QM_GetHistory("^SPX")

Formula documentation: QM_GetHistory

This provides historical daily prices that you can use to study how the index has behaved during various market conditions.

Step 4: Add Greeks Analysis

=QM_GetOptionQuotesAndGreeks("^SPX")

Formula documentation: QM_GetOptionQuotesAndGreeks

With Greeks data alongside pricing, you can analyze:

• Delta exposure across your portfolio
• Theta decay rates for income strategies
• Vega sensitivity for volatility trades
• Gamma risk for dynamic hedging

Step 5: Create a VIX Overlay

Track the VIX alongside your SPX options data:

=Last("^VIX")

Formula documentation: Last

The VIX provides context for whether current implied volatility levels are historically high or low, which is useful context before buying or selling options premium.

SPX Options Historical Data for Backtesting Strategies

Historical SPX options data lets you test how a strategy would have performed before risking capital. Past results do not guarantee future results, and this is educational content, not investment advice. Common SPX strategies to backtest:

Iron Condor Backtesting

Iron condors sell both a put spread and a call spread around the current index level, profiting when the market stays in a range. Historical data lets you test:

• How different strike widths would have performed historically
• How often the S&P 500 has stayed within specific ranges over 30/45/60-day periods
• What the average profit and maximum loss have been

Put Selling (Cash-Secured or Spread) Backtesting

Selling SPX puts is a popular income strategy. Historical data helps you analyze:

• Win rates for different delta levels (e.g., selling 10-delta puts vs 20-delta)
• Maximum drawdowns during market crashes (2008, 2020, 2022)
• Cumulative returns over multi-year periods

Calendar Spread Analysis

Calendar spreads exploit the difference in time decay between near-term and far-term options. Historical volatility data helps you identify optimal entry points when the term structure is favorable.

Frequently Asked Questions (FAQ)

Q: What is SPX options historical data?

SPX options historical data includes past pricing, volume, open interest, implied volatility, and Greeks for options contracts on the S&P 500 Index. This data is essential for backtesting strategies, studying volatility patterns, and understanding how SPX options have performed across different market environments.

Q: Where can I get SPX options historical data?

In Excel, MarketXLS returns historical SPX options data with =opt_HistoricalOptionChain("^SPX", date) for a full past chain, Bid_Historical, Ask_Historical, and the opt_*Historical Greeks for single contracts, and =QM_GetHistory("^SPX") for index prices. The Cboe also provides historical data downloads.

Q: How far back does SPX options historical data go?

SPX options have been traded since 1983, making over 40 years of data available. The depth of data varies by provider. The Cboe and academic databases may offer longer records than a spreadsheet data service.

Q: What is the difference between SPX and SPXW options?

SPX options are standard monthly contracts that expire on the third Friday of each month. SPXW (SPX Weeklys) expire on other days throughout the week. Both are cash-settled European-style options on the S&P 500 Index. In MarketXLS, you can see all available expirations using =QM_GetOptionChain("^SPX").

Q: Can I use SPX options historical data for backtesting?

Yes, historical data is essential for backtesting. You can test strategies like iron condors, put spreads, straddles, and calendars by applying them to historical price and volatility data. MarketXLS provides the tools to pull this data into Excel where you can build backtesting models.

Q: How does the VIX relate to SPX options historical data?

The VIX is calculated from SPX option prices and represents the market's expectation of 30-day volatility. When the VIX is high, SPX option premiums are elevated, and vice versa. Track the VIX with =Last("^VIX") in MarketXLS.

Q: What are the tax advantages of trading SPX options?

SPX options qualify as Section 1256 contracts: 60% of gains are taxed at long-term capital gains rates and 40% at short-term rates, regardless of how long you held the position. For short-term traders this is usually a lower rate than SPY or stock options. This is not tax advice.

Q: How do I analyze SPX options Greeks historically?

MarketXLS provides functions like =QM_GetOptionQuotesAndGreeks("^SPX") for current Greeks and =opt_DeltaHistorical(), =opt_ThetaHistorical(), =opt_VegaHistorical() for historical Greeks. These allow you to study how options sensitivities have changed over time.

Q: What do I need to use MarketXLS for SPX options analysis?

You need a MarketXLS subscription and Excel (Windows desktop add-in, or the Microsoft 365 add-in for Mac and Excel for the web). On US plans, options data is end-of-day on Standard ($70/month billed annually) and real-time streaming on Advanced and Business. See /pricing and the options data setup guide.

Summary

SPX options are cash-settled, European-style options on the S&P 500 Index with Section 1256 tax treatment. Historical SPX options data (prices, IV, Greeks, volume, open interest) supports backtesting and volatility analysis. In Excel, MarketXLS returns it with =opt_HistoricalOptionChain("^SPX", date), Bid_Historical, Ask_Historical, the opt_*Historical Greeks, and =QM_GetHistory("^SPX"), alongside current data from =QM_GetOptionChain("^SPX"). Volatility, dividends, and interest rates all affect SPX option prices, and the VIX (=Last("^VIX")) gives quick context on whether premiums are high or low.