Retrieve Historical Vol/OI Ratios for Options

The opt_Vol_OI_Historical function (fn_01497) empowers traders and analysts to fetch option Volume/Open Interest (Vol/OI) ratios directly in Excel for a given symbol on a specific date. By passing in an option type, you can either get the call-only ratio, put-only ratio, or the combined ratio for the chosen date—helping you make well-informed trading decisions and easily compare historical option liquidity trends.

Why Use This Function?

• Save Time and Effort: Pull critical Vol/OI data directly in Excel without manually scraping market data.
• Informed Trading Decisions: Understand the relative volume to open interest for calls, puts, or combined.
• Historical Insights: Look back on specific dates to track market sentiment over time.
• Easy Integration: Combine this function with other MarketXLS capabilities to build detailed dashboards and trading models.
• Adaptable: Whether you want call-specific data, put-specific data, or total option Vol/OI, a simple parameter change delivers the relevant metric.

How to Use in Excel

=opt_Vol_OI_Historical(Symbol, OnDate, OptionType)

1. Enter the function directly into a cell.
2. Provide the symbol (e.g., "AAPL"), the date in Excel date format, and your desired option type.
3. Press Enter to see the Vol/OI ratio retrieved live in your spreadsheet.

Parameters Explained

• If OptionType is blank or invalid, the function reverts to the combined Vol/OI ratio ("0").
• An incorrect OptionType (e.g., random text) can return an error message: "Call/Put flag has invalid format."

Example Usage

Basic Examples

1. Pull the Combined Vol/OI Ratio for Apple on Jan 15, 2023:
   =opt_Vol_OI_Historical("AAPL", "01/15/2023", "0")
   ? Returns total option Vol/OI ratio on that date.

2. Retrieve Call Vol/OI for MSFT on Dec 31, 2022:
   =opt_Vol_OI_Historical("MSFT", "12/31/2022", "CALL")
   ? Fetches call-specific Vol/OI ratio to analyze bullish activity.

3. Get Put Vol/OI for the S&P 500 Index (^SPX) on Jun 1, 2023:
   =opt_Vol_OI_Historical("^SPX", "06/01/2023", "P")
   ? Looks up put-specific Vol/OI ratio for an index, which can help gauge downside hedging strategies.

Advanced Scenarios

• Integrating with Other Functions:
  Combine opt_Vol_OI_Historical with Excel’s built-in functions like AVERAGE or with MarketXLS’s time series functions to analyze Vol/OI over multiple dates.
  For instance, you can store daily Vol/OI calls for several weeks in separate cells and use Excel to average them: =AVERAGE(DailyResultsRange)

• Building a Trend Dashboard:
  Use this function across daily or weekly intervals to create a line chart or a pivot table illustrating changes in Vol/OI ratio over time, signaling shifts in trader sentiment.

• Trading Strategy Example:
  Compare call Vol/OI for a bullish symbol with put Vol/OI on the same date. A significantly higher call Vol/OI might confirm bullish momentum before an earnings announcement.

Common Questions and Troubleshooting

• “Why am I getting NA?”
  • This may occur if the Symbol is invalid, also if no data exists for that date.
  • Ensure your user license is active. If the license check fails, the function returns a generic message or “NA.”

• “I see ‘Call/Put flag has invalid format’—why?”
  • An unrecognized OptionType string triggers this error. Make sure you use “CALL,” “PUT,” or “0.”

• “Why does the function return ‘Refreshing’ sometimes?”
  • If MarketXLS is updating data, the function temporarily returns "Refreshing" until the new values are ready.

• Edge Cases:
  • Entering a date that’s outside the historical range may produce “NA.”
  • Using symbols that MarketXLS does not recognize or support likewise leads to “NA.”
  • Passing invalid characters in a parameter can throw an error message.

With these comprehensive examples and explanations, you can seamlessly integrate historical Vol/OI ratio data for calls, puts, or combined options within your Excel workflows. Apply this function in many trading or analytical scenarios to bolster your market analysis with minimal effort.