Using opt_DeltaHistorical to Retrieve Historical Option Delta

The opt_DeltaHistorical function lets you quickly fetch the historical Delta of an option for a specified date right within Excel. By providing a valid option Symbol and a desired OnDate, you can measure how the option’s price has historically responded to changes in the underlying asset’s price. This can be incredibly useful for evaluating past strategies, identifying trends, and planning future trades.

Why Use This Function?

• Evaluate Past Performance: Compare the option’s Delta on different dates to assess how sensitivity to the underlying price changed over time.
• Historical Analysis: Understand how certain events, earnings announcements, or market conditions impacted an option’s Delta.
• Seamless Integration in Excel: Use the function directly in your Excel workflow without leaving your spreadsheet.
• Quick Decision-Making: Delta is a crucial Greek for traders, helping estimate price movements relative to the underlying.
• Error Handling: The function returns “NA” if the symbol is invalid, license is not valid, or data is missing—helping you quickly identify issues.

How to Use in Excel

=opt_DeltaHistorical("OPTION_SYMBOL", A2)

Where "OPTION_SYMBOL" is a valid option symbol string (for example, "OXYZ230120C00145000") and A2 contains or references a valid date (e.g., "1/15/2023" or a cell with a date).

1. Enter the function name followed by the symbol in quotes.
2. Provide a date cell reference.
3. The function queries historical data for the given date and returns the Delta.

Parameters Explained

Example Usage

Basic Examples

1. Retrieve Delta for a Single Option on January 15, 2023: • In cell B2, enter the date “1/15/2023”.
   • In cell C2, enter:
   =opt_DeltaHistorical("OXYZ230120C00145000", B2)
   • The function returns the numerical Delta if available.
   • If data is not found, “NA” or “Refreshing” may appear.

2. Checking an Earlier Date for the Same Option: • In cell B3, enter “12/31/2022”.
   • In cell C3, use:
   =opt_DeltaHistorical("OXYZ230120C00145000", B3)
   • Compare the two results to see how Delta changed over time.

Advanced Scenarios

• Multiple Historical Deltas for Trend Analysis:
Put different dates (weekly or monthly intervals) in separate cells and reference them with opt_DeltaHistorical. This builds a historical Delta timeline across your spreadsheet for deeper analysis.

• Evaluating Calls vs. Puts:
Use call option symbols (with “C”) and put option symbols (with “P”) on the same underlying and same OnDate to see how Delta differs. This can reveal bullish vs. bearish sentiment shifts historically.

• Integrating with Other Excel Functions:
Combine opt_DeltaHistorical with Excel’s chart features to visualize Delta changes. For instance, generate a line chart showing historical Delta over several months side by side with the underlying stock price.

Common Questions and Troubleshooting

1. Why do I get “NA” instead of a number?
   • The symbol might be invalid or not properly formatted.
   • The date may be out of range or not available in MarketXLS’s historical data.
   • Your MarketXLS license may be expired or invalid.

2. What if I see “Refreshing”?
   • The function is waiting for data to be updated. Once complete, the cell will auto-refresh, or you can trigger a new calculation.

3. Can I pass a future date?
   • The function is designed for historical data. If you pass a future date, it is likely to return “NA” unless special data is available.

4. Do I need any special MarketXLS settings?
   • Generally no, but ensure your internet connection and MarketXLS license are active and valid.

By leveraging opt_DeltaHistorical, you can effortlessly track and analyze option Delta values historically while staying in Excel. This function helps traders and analysts make better-informed decisions based on past data without cumbersome manual data collection.