Calculate Average Volume-to-Open-Interest for US Option Markets

The opt_Vol_OI_Avg function helps you retrieve and average important option metrics—volume and open interest—directly within Excel using the MarketXLS Add-in. With opt_Vol_OI_Avg, you can quickly analyze market liquidity and compare trading opportunities for different underlyings, expiration periods, or specific types of options (Call or Put).

By automatically fetching data from the relevant API endpoint, opt_Vol_OI_Avg simplifies your workflow so you can focus on making informed trading and investment decisions.

Why Use This Function?

• Gain insight into the liquidity of option markets by comparing volume and open interest.
• Easily filter by days and option types (Call or Put) for precise analysis.
• Automate data retrieval in Excel—ideal for quick scanning or building custom dashboards.
• Streamline research of US-listed options in fast-moving markets.
• Save time versus manually aggregating and averaging daily volume or open interest data.

How to Use in Excel

=opt_Vol_OI_Avg(Underlying, Days, [OptionType])

1. Enter the function in any cell.
2. Specify the underlying ticker symbol (e.g., "AAPL" or "SPY").
3. Provide the number of days over which you want to calculate the data (sets to 5 by default if zero or negative).
4. (Optional) Specify the option type:
   • "Call" for Call options only
   • "Put" for Put options only
   • If left blank or invalid, it defaults to all available options

Press Enter to get the average volume-to-open-interest ratio or “NA” if there is an error or invalid input.

Parameters Explained

Example Usage

Basic Examples

1. Retrieve the average volume-to-open-interest ratio for AAPL over 5 days for all option types:
   =opt_Vol_OI_Avg("AAPL", 5)

   • No OptionType is specified, so it includes both Calls and Puts.

2. Get the same data but only for Put options:
   =opt_Vol_OI_Avg("AAPL", 5, "Put")

   • This filters data to Put options only, potentially returning a different ratio.

3. Look up SPY’s ratio over 10 days for Calls:
   =opt_Vol_OI_Avg("SPY", 10, "Call")

   • Useful for analyzing short-term liquidity on SPY Call options.

Advanced Scenarios

1. Weekly Rolling Analysis:

   • Suppose each Friday you want to review how volumes compare to open interest for new positions being opened. You can place =opt_Vol_OI_Avg("TSLA", 7, "Call") to see the average ratio in the last week for TSLA Call options.

2. Larger Dataset for Strategy Testing:

   • If you need to backtest or track multiple underlyings, list them in a column and reference cells dynamically in formulas, e.g.:
     =opt_Vol_OI_Avg(A2, B2, C2)
   • Where A2 is the ticker, B2 the day range, and C2 the option type. This way, you can easily compare multiple underlyings side by side.

3. Integration with Other Excel Functions:

   • Combine opt_Vol_OI_Avg with IF statements or conditional formatting to highlight high or low ratios. For example:
     =IF(opt_Vol_OI_Avg("SPY",5,"Call")>1, "High Volume/OI Ratio", "Normal/Low Ratio")

Common Questions and Troubleshooting

1. “Call/Put flag has invalid format. Please check your inputs.”

   • This error appears if you mistype “Call” or “Put,” or pass in any invalid string (e.g., “CAL,” “Puts”). Double-check spelling or leave blank for both.

2. Why do I get “NA”?

   • The function may return “NA” if:
     • No data is available for the symbol.
     • The Days parameter is invalid or zero (the function automatically resets Days to 5 but in some scenarios may still fail to retrieve data).
     • There is a temporary API or internet issue.

3. Handling Zero or Negative Days

   • If you pass 0 or negative values, the function defaults to 5 days automatically. Double-check your Days parameter if you need a custom period.

4. How often is the data updated?

   • The function relies on the MarketXLS backend and caching. During refresh periods, you might see “Refreshing”. Try again after the caching completes.

Remember:

• Use this function to streamline your option liquidity research directly in Excel.
• Explore both short-term (Days=5) and longer-term (Days=20 or more) windows to capture different market rhythms.
• Combine with other MarketXLS functions for a holistic overview of the options market.