Calculate Historical Implied Volatility with MarketXLS

The opt_ImpliedVolatilityHistorical function is designed to help you calculate an option’s implied volatility on a specified historical date directly within Excel. By pulling historical data from MarketXLS’s backend servers, it streamlines your analysis workflow for designing and evaluating trading strategies. Whether you’re validating past trades, backtesting, or simply researching, this function delivers implied volatility values quickly and accurately.

Why Use This Function?

• Validate Past Trade Decisions: By calculating implied volatility on historical dates, you can review whether an option was fairly priced at the time.
• Backtest Strategies: Combine historical volatility data with your trading models to assess how well your strategies might have performed.
• Comprehensive Historical Data: The function fetches accurate mid prices for your option (average of historical bid and ask) on the specified date, giving a realistic volatility figure.
• Real-World Application: Especially crucial for US market participants looking to refine option strategies and examine potential risk or reward in retrospective scenarios.

How to Use in Excel

=opt_ImpliedVolatilityHistorical(Symbol, OnDate)

1. Enter the function in a cell.
2. Replace Symbol with the option symbol you want (e.g., "AAPL231215C00175000").
3. Replace OnDate with a valid date in Excel (e.g., "1/15/2023" or a cell reference), in quotes if entered directly.

When you hit Enter, Excel will query the MarketXLS servers to retrieve the historical implied volatility based on the date passed.

Parameters Explained

Example Usage

Basic Examples

1. Simple Historical Lookup
   › Example:
   =opt_ImpliedVolatilityHistorical("AAPL231215C00175000", "10/12/2023")
   This retrieves the implied volatility of the specified Apple call option for October 12, 2023.
   • If data exists, you’ll see a numeric implied volatility figure (e.g., 0.256).
   • If the symbol or date is invalid (or no data is available), you’ll get "NA".

2. Referencing a Date in Another Cell
   › Suppose B1 contains your date of interest (e.g., 1/15/2023).
   =opt_ImpliedVolatilityHistorical("MSFT230119P00235000", B1)
   This approach allows you to easily change dates in one place without editing the formula.

Advanced Scenarios

1. Backtesting a Strategy Over Several Dates

   • You can list multiple target dates (e.g., a rolling set of past trading days) in Excel and use opt_ImpliedVolatilityHistorical across many rows to see how implied volatility shifted over time. Sum those cells or graph them to reveal trend patterns.

2. Integrating with Other Excel Functions

   • Combine the implied volatility values with Excel’s charting tools to visualize historical volatility over time. This helps in identifying periods of high or low implied volatility for potential entry or exit points.

3. Trading Strategy Analysis

   • Use conditional formatting to highlight days when the implied volatility was below a certain threshold. This might indicate a potential opportunity to purchase options at a lower implied volatility premium.

Common Questions and Troubleshooting

• Why am I getting “NA”?
  • Check your MarketXLS license status. If expired or inactive, the function returns “NA”.
  • Make sure the symbol is typed correctly. A misspelling or incorrect option structure can trigger “NA”.
  • If data is missing for the specified date, MarketXLS can’t retrieve the number and returns “NA”.

• Can I pass a future date?
  • Passing a future date typically returns “NA” because there is no data available for dates that haven’t occurred yet or have no recorded trading history.

• What happens if data is refreshing?
  • In certain cache refresh situations, the function can temporarily return “Refreshing”. It indicates MarketXLS is waiting for the backend to update the cache. Recalculating or waiting briefly often solves it.

• Handling Weekend or Holiday Dates
  • If the market was closed on the passed date (e.g., a weekend or holiday), you may see “NA” if no official settlement data is available.

By using opt_ImpliedVolatilityHistorical in Excel, you can seamlessly tap into MarketXLS’s historical data services to power up your options analysis. Whether evaluating prior trades or refining your backtesting models, this function offers a reliable and efficient way to gather implied volatility insights right in your spreadsheet.