Analyze Average Volume and Open Interest for Options

The opt_Vol_OI_Avg function gives you direct access to option volume and open interest data right inside your Excel spreadsheet. This quick, convenient way of retrieving option interest data helps you spot market trends, confirm liquidity, and manage trading risks more effectively. By passing different parameters (such as the days of data to consider and whether to look at calls, puts, or both), you can tailor the returned metric to your specific trading or analysis needs.

Why Use This Function?

• Easily pull the latest option volume and open interest data directly into Excel.
• Monitor liquidity and trading activity for your chosen stock or index.
• Compare metrics across multiple time spans for deeper data insights.
• Filter by call or put options if you want a focused analysis on one side of the market.
• Automate your weekly or monthly analysis by setting Days to your desired value.

How to Use in Excel

=opt_Vol_OI_Avg(Underlying, Days, [OptionType])

1. Enter “=opt_Vol_OI_Avg(” in any cell.
2. Provide the ticker symbol of the underlying stock or index as the first argument.
3. Specify the number of days you want the data averaged over.
4. (Optional) Include the OptionType parameter to narrow results to “Call” (C), “Put” (P), or leave blank to combine all options.
5. Press Enter to see the returned numeric value.

Parameters Explained

Example Usage

Basic Examples

1. All Options, Default Days
   =opt_Vol_OI_Avg("AAPL", 0)
   • If Days is 0 or negative, the function defaults to 5 days.
   • Returns an average metric across calls and puts for Apple (AAPL).

2. 10-Day Average for Calls
   =opt_Vol_OI_Avg("MSFT", 10, "CALL")
   • Specifically retrieves the average option volume/open interest for call options only, over the last10 days, for Microsoft (MSFT).

3. 15-Day Average for Puts
   =opt_Vol_OI_Avg("^SPX", 15, "PUT")
   • Focuses on the S&P 500 Index’s put options over 15 days.

Advanced Scenarios

• Combine with other Excel functions:
For instance, compare multiple underlyings in separate cells (AAPL, MSFT, and SPY) to see which one has relatively higher average open interest.
• Use in a daily or weekly watchlist:
Build a watchlist table that automatically updates first thing in the morning, using opt_Vol_OI_Avg to quickly gauge current liquidity.
• Integrate with your trading system:
If you run a daily macro that pulls data from MarketXLS for various indicators (IV, greeks, or fundamentals), simply add calls to opt_Vol_OI_Avg to incorporate volume and OI data in your decision-making.

Common Questions and Troubleshooting

• “NA” is returned: This often occurs if there is an issue with the data feed or your license. Verify your MarketXLS license is valid and the underlying symbol is correct.
• “Call/Put flag has invalid format. Please check your inputs.”: This appears when OptionType is set to something other than known strings (like “CALL” or “PUT”). Enter one of these or leave it blank.
• Parameter Days is zero or negative: The function automatically sets Days to 5 in this case, so be sure you intend to use 5 days.
• “Refreshing” is returned: Indicates the data is being refreshed. The function will usually return the final value once the refresh completes.

By leveraging opt_Vol_OI_Avg in your Excel sheet, you’ll get the precise option liquidity insights you need for better-positioned trades or deeper analysis. Use the optional call/put filter to dig deeper into where the market action is concentrated. Coupled with MarketXLS’s other analytics, you can spot meaningful shifts in the market and sharpen your trading strategies.