Calculate Historical Option Rho for Options

The opt_RhoHistorical function helps traders and analysts see how sensitive an option's price (historically) has been to changes in interest rates––all within Excel. By specifying an option symbol and a reading date, you can quickly bring historical Rho values into your worksheet for research or portfolio analysis, saving time and improving your decision-making.

Why Use This Function?

• Gain insight into how interest rate changes historically impacted an option’s pricing.
• Streamline option analysis by seamlessly integrating historical data directly into Excel.
• Make more informed decisions about interest-rate-sensitive strategies.
• Avoid manual data collection from multiple sources, reducing manual errors.
• Quickly compare Rho on different dates to see changes over time.

How to Use in Excel

=opt_RhoHistorical(Symbol, OnDate)

1. Type “=opt_RhoHistorical” into any cell in Excel.
2. Set Symbol to the desired option symbol (e.g., “OXYZ230616C00175000”).
3. Set OnDate to the historical date for which you want Rho, in "YYYY-MM-DD" format.
4. Press Enter to retrieve the value. The function returns “NA” if data is unavailable, or if your license is invalid.

Parameters Explained

Example Usage

Basic Examples

1. Retrieve yesterday’s Rho for a call option:
   • In cell A1, enter:
   =opt_RhoHistorical("OXYZ230616C00175000","2023-05-15")
   • Press Enter. Excel will display the Rho based on the bid and ask prices from May 15, 2023.

2. Compare two historical Rho values on different dates:
   • In cell B1, enter:
   =opt_RhoHistorical("OXYZ230616C00175000","2023-05-01")
   • In cell B2, enter:
   =opt_RhoHistorical("OXYZ230616C00175000","2023-05-08")
   • Now you can observe week-to-week differences in interest rate sensitivity.

Advanced Scenarios

• Long-Term Comparison
Create a table of Rho values for the same option across multiple dates to observe how the Rho changed over time in response to varying market rates.

• Integrating with Other Greeks
Combine the Rho values from opt_RhoHistorical with other historical Greeks (e.g., historical Delta or Vega) for a more comprehensive risk assessment approach.

• Options on Different Underlyings
Evaluate the interest-rate sensitivity of multiple assets by dragging down the function with different Symbol parameters across several rows.

Common Questions and Troubleshooting

1. Why am I getting “NA”?
   • The symbol may be invalid, your license may be inactive, or the date is invalid or unreachable. Double-check your symbol and date format.

2. Why does it say “Refreshing”?
   • If the data is being retrieved or an internal cache is waiting for an update, MarketXLS can temporarily return “Refreshing.” The final value will appear once the sync is complete.

3. Do I need a specific format for OnDate?
   • Yes. Ensure you enter it as “YYYY-MM-DD”. Incorrectly formatted dates may yield “NA.”

4. Can I use a future date to project Rho?
   • Generally, the function is intended for historical data. If the date is beyond today, it may result in “NA” because no data exists for that date.

Remember:

• Validate your option symbol and date format.
• Confirm your MarketXLS license is valid.
• Use historical Rho readings to understand how past market conditions influenced pricing.
• Combine Rho with other historical Greeks for an in-depth option risk analysis.