Calculate Historical Option Gamma with MarketXLS

The opt_GammaHistorical function helps Excel users quickly retrieve an option’s historical gamma value for a specified date. Gamma is essential for understanding how an option’s delta will change relative to the underlying price. With opt_GammaHistorical, you can easily backtest or analyze risk directly in Excel for different US equity or ETF options, enhancing your decision-making process.

Why Use This Function?

• Better Risk Assessment: Gamma indicates the rate of change of delta, helping you gauge the sensitivity of the option’s price to large underlying price movements.
• Historical Perspective: Analyzing gamma on prior dates can illuminate how an option’s sensitivity evolves over time.
• Scenario Analysis: By plugging in different historical dates, you can test how your option strategy might have performed in past market conditions.
• Streamlined Workflow: Retrieves the data directly within Excel — no more manual data exports from third-party sources.

How to Use in Excel

=opt_GammaHistorical("AAPL230616C00145000", "2023-05-01")

1. Enter the formula into any cell in Excel.
2. Replace "AAPL230616C00145000" with the relevant US option symbol in MarketXLS format.
3. Replace "2023-05-01" with the date (YYYY-MM-DD) for which you want the gamma.

The function will then query your MarketXLS data source, parse the historical information, and display the gamma value in that cell.

Parameters Explained

• Symbol: The option ticker includes details like expiration date, strike, and call/put designation.
• OnDate: If data is unavailable for that date (e.g., holiday or invalid date), the function may return "NA."

Example Usage

Basic Examples

1. Simple Historical Gamma Check:
   =opt_GammaHistorical("TSLA230120P00090000", "2023-01-05")
   Explanation:

   • Symbol: TSLA230120P00090000 (Put option on Tesla, expiring Jan 20, 2023, at a 900.00 strike).
   • Date: 2023-01-05.
   • This returns the gamma reflecting how quickly the option’s delta changed around January 5th, 2023.

2. Analyzing a Different Recent Date:
   =opt_GammaHistorical("AMZN230616C00120000", "2023-04-25")
   Explanation:

   • Symbol: AMZN230616C00120000 (Call option on Amazon, expiring Jun 16, 2023, at a 120.00 strike).
   • Date: 2023-04-25.
   • Useful for backtesting gamma sensitivity during Amazon’s price fluctuations in April 2023.

Advanced Scenarios

• Integration with Other Greeks: After obtaining gamma, you can combine this metric with delta, theta, and vega to fully analyze how your option strategy might respond to underlying price changes, volatility shifts, and the passage of time.
• Near-Expiry Analysis: Historical gamma often increases as an option nears expiry. Using dates close to expiry can show how gamma spiked or flattened within the final days of trading.
• Backtesting Strategies: Link multiple cells each calling opt_GammaHistorical for sequential dates. With this, you can chart how gamma moved through various market conditions over time.

Common Questions and Troubleshooting

• Why am I seeing “NA”?

• The date provided might be invalid or a non-trading day with no available data.
• The symbol might be incorrect or not supported by the MarketXLS data feed.
• Your MarketXLS license could be invalid or expired.

• What if my date is past the expiration date of the option?

• The backend tries to calculate gamma; however, if T (time to expiration) is effectively zero or negative, it can lead to no valid result. The function may return “NA” if an exception occurs.

• Can I use a future date?

• The function is designed for historical data. If you pass a future date, it likely returns “NA” due to the absence of available market data.

• Are there any performance concerns?

• Heavy use of historical data calls can slow down recalculations. MarketXLS caching helps reduce load times, but you can also limit the number of calls if performance becomes an issue.

By leveraging opt_GammaHistorical, traders and analysts can more easily observe how an option’s sensitivity to large price movements varied over time. This data is pivotal for backtesting options strategies, understanding risk exposures, and making well-informed decisions in the US options market directly from Excel.