How to Retrieve Historical Option Vega in Excel with MarketXLS

The opt_VegaHistorical function allows you to retrieve historical Vega values for a specific option symbol on a specified date, right inside Excel. By calculating Vega with actual historical data points, you can gain deeper insights into how sensitive an option's price was to changes in implied volatility at particular points in time. Whether you’re performing a post-trade analysis or testing an options strategy, this function provides a convenient way to anchor your calculations in real historical data.

Why Use This Function?

• Track how an option’s Vega changed over time to evaluate the impact of volatility shifts on past option prices.
• Perform post-trade analysis, backtesting, and simulations using actual historical data rather than approximations.
• Combine historical Vega with Delta, Gamma, Theta, and other greeks to analyze option sensitivity factors comprehensively.
• Validate or refine trading strategies by examining how volatility changes influenced exercise or hedging decisions in the past.
• Create custom Excel-based dashboards or reports that track important greeks for multiple symbols across different dates.

How to Use in Excel

=opt_VegaHistorical(Symbol, OnDate)

• Symbol: The full option symbol, including expiry details (e.g., "MSFT231020C00310000").
• OnDate: The historical date for which you want to retrieve the option’s Vega, typically in a valid Excel date format (e.g., "2023-09-15").

Simply enter the function in any cell, passing a valid option symbol and the target historical date. The function returns the numerical value of the option's historical Vega on that date. If the date or symbol is invalid, MarketXLS may return "NA".

Parameters Explained

Example Usage

Basic Examples

1. Retrieve Vega for Microsoft Call Option on a Specific Date
   • In any blank cell, type:
   =opt_VegaHistorical("MSFT231020C00310000","2023-09-15")
   • This returns the historical Vega for the Microsoft October 2023 310 Call option on September 15, 2023.

2. Fetch Vega for Apple Put Option on a Past Date
   • Enter:
   =opt_VegaHistorical("AAPL230915P00175000","2022-12-01")
   • Provides the historical Vega for the Apple September 2023 175 Put option, as it was on December 1, 2022.

Advanced Scenarios

• Track Vega Over Multiple Dates:
Create a table with dates in one column and use the function in adjacent cells to compare how Vega evolved. This is helpful for backtesting volatility strategies or analyzing how the option’s value might have shifted at different points in time.

• Integrate with Other Excel Functions:
Combine opt_VegaHistorical with functions such as AVERAGE, MIN, or MAX to find average or extreme Vega values over a range of dates. This helps in identifying periods of high or low volatility sensitivity.

• Pair with Trading Strategies:

• If you’re designing a spread strategy, you can use multiple calls to opt_VegaHistorical for different strikes and expiration dates, enabling you to examine how each leg’s Vega contributed to the overall risk profile historically.
• Combine historical Vega with historically retrieved Delta (opt_DeltaHistorical) or implied volatility (opt_ImpVolHistorical) to analyze how each “Greek” impacted option value over time.

Common Questions and Troubleshooting

1. Why do I get "NA" as a result?
   • The option symbol may be invalid or not recognized. Double-check the format and expiry details.
   • The date might be out of range (e.g., prior to the option’s listing or beyond available historical data).
   • Licensing or data-availability issues could also cause “NA”.

2. What if I enter a future date?
   • Typically, no data will be returned for a future date, resulting in "NA" since historical data for that date does not exist.

3. Can this function handle widely-traded and less-liquid options?
   • Yes. The function attempts to retrieve whatever data is available for the specific option symbol. If no data is available, it returns "NA".

4. How do I confirm the values?
   • You can cross-reference the historical Vega with your brokerage statements, third-party data sources, or any backtesting platform you trust to ensure the data aligns.

By leveraging opt_VegaHistorical in Excel with MarketXLS, you can conduct deeper historical analyses, test volatility-based strategies, and better understand how the option’s sensitivity to volatility shifts evolved over time. Use these insights to strengthen your decision-making and refine your trading approaches.