Understanding the opt_ThetaHistorical Function for Time Decay

The opt_ThetaHistorical function in MarketXLS provides a quick and precise way to retrieve historical Option Theta values in Excel. Theta is one of the “Greeks” used in options trading to measure how much an option’s price will decay as time passes, all else being equal. By letting you directly reference a specific date, this function helps you analyze the impact of time on an option’s value at different points in the past.

Using opt_ThetaHistorical saves you time and hassle by automatically fetching historical data from MarketXLS’s data services. Traders and analysts can use this daily time decay value to refine options strategies, observe patterns in historical volatility, and better understand how an option’s value is likely to erode as expiration approaches.

Why Use This Function?

• Track Historical Time Decay: Check how much an option’s price changed due to time decay on specific past dates.
• Refine Trading Strategy: Compare true historical decay with your projections.
• Validate Option Pricing Models: Observe whether actual market data aligns with theoretical prices and risk metrics.
• Convenient Data Integration: Automate data retrieval, so you avoid manual calculations or switching between platforms.
• Informed Decision-Making: Use historical insights to manage open positions and plan future trades more effectively.

How to Use in Excel

Below is the Excel syntax for retrieving historical option theta on a specific date:

=opt_ThetaHistorical(Symbol, OnDate)

• Symbol: The option symbol you want to analyze (e.g., “O:TSLA230616C00200000”).
• OnDate: A valid Date in Excel representing the historical date for which you want the option’s theta.

Simply enter this formula in an Excel cell, passing the option symbol string and a cell reference or directly typing the date (e.g., "01/15/2024"). MarketXLS will fetch the correct historical data and return the computed theta.

Parameters Explained

• Symbol: Ensure you are using the correct option format (underlying, date, strike, put/call notation). If invalid, the function returns "NA".
• OnDate: Must be a valid date in Excel. The function calculates time to expiration for that specific snapshot in the past.

Example Usage

Basic Examples

1. Retrieve Theta from a Specific Date
   » Cell A1 contains: O:MSFT230120C00280000
   » Cell B1 contains: 12/01/2023
   » Cell C1 formula:
   =opt_ThetaHistorical(A1, B1)
   Explanation: This will return the theta (time decay per day) for the MSFT option on December 1, 2023.

2. Directly Typing the Symbol and Date
   =opt_ThetaHistorical("O:TSLA230616C00200000", "12/05/2023")
   Explanation: This fetches Tesla’s call option’s Theta on December 5, 2023, without referencing other cells.

Advanced Scenarios

1. Comparing Cast of Historical Dates

   • Use multiple columns for different dates:
     A2: O:AMD240119P00075000
     B2: 11/01/2023
     C2: 12/01/2023
     D2: 01/01/2024
   • Retrieve Theta side-by-side:
     =opt_ThetaHistorical($A$2, B2)
     =opt_ThetaHistorical($A$2, C2)
     =opt_ThetaHistorical($A$2, D2)
     Explanation: You can compare how time decay changed over multiple historical points heading into January 2024 expiry.

2. Integrating with Other Excel Functions

   • If analyzing cost of carry, you might do:
     =opt_ThetaHistorical(A2, B2) * AVERAGE($F:$F)
     Explanation: Combine your retrieved historical theta with an average of certain costs or days to see overall impact on your portfolio’s P/L.

3. Trading Strategy Examples

   • For an option that’s near expiration, retrieve multiple historical Theta points to see how quickly time decay accelerated as the strike approached expiration.
   • Pair historical Theta values with real-time bids and asks to spot where implied volatility rose or fell relative to actual time decay.

Common Questions and Troubleshooting

• What if the symbol is invalid or not recognized?

• The function returns "NA". Double-check that the option symbol follows MarketXLS’s naming conventions.

• Why do I see “Refreshing”?

• This can occur if data is temporarily updating. The function queues the request and retries within MarketXLS.

• What if the date is after the option’s expiration?

• The underlying API sets time to expiry to 0 if it’s past expiration, which effectively yields a negligible or 0 Theta.

• Can this function handle newly listed options?

• Yes, so long as MarketXLS has them in its database. If historical data is not yet available, you may receive "NA" for certain older or less-traded strikes.

By using opt_ThetaHistorical responsibly—checking your parameters, ensuring valid dates, and understanding time decay’s role in option pricing—you’ll be better equipped to factor historical time decay into trading decisions, manage risk, and optimize the timing of your trade entry and exit.