Retrieve Historical Volume-to-Open-Interest Ratios in Excel

The opt_Vol_OI_Historical function is designed to fetch the historical volume-to-open-interest ratio (Vol/OI) for a given underlying symbol at a specific date, and optionally for calls, puts, or a combined total. This allows traders and analysts to quickly reference essential option market activity directly from Excel, streamlining data analysis and decision-making.

Why Use This Function?

• Gain quick insights into option liquidity by seeing how volume compares to open interest.
• Evaluate option trading activity for a specific date, whether for calls, puts, or both.
• Blend Vol/OI data into more comprehensive trading strategies, such as identifying unusual option volume.
• Instantly fetch key metrics from MarketXLS’ servers to incorporate real-time or historical analytics into your spreadsheet.
• Save time by automating data retrieval instead of manually sourcing it from multiple platforms.

How to Use in Excel

Use the following syntax directly in a cell:

=opt_Vol_OI_Historical(Symbol, OnDate, OptionType)

1. Enter “Symbol” (e.g., "AAPL" or "MSFT") to specify the underlying security.
2. Provide “OnDate” in a valid date format (e.g., "02/15/2023").
3. Set “OptionType” to:
   • "C" for calls
   • "P" for puts
   • Leave blank or "0" for a combined ratio

When you press Enter, the function sends a secure request to the MarketXLS service and returns the relevant volume-to-open-interest ratio for the date and option type.

Parameters Explained

Example Usage

Basic Examples

1. Fetch combined Vol/OI for Apple on February 15, 2023
   =opt_Vol_OI_Historical("AAPL","02/15/2023",0)
   This returns the total Vol/OI across both call and put options.

2. Retrieve call Vol/OI for Microsoft on June 1, 2023
   =opt_Vol_OI_Historical("MSFT","06/01/2023","C")
   Focuses solely on call option contracts.

3. Look up put Vol/OI for Tesla on April 10, 2023
   =opt_Vol_OI_Historical("TSLA","04/10/2023","P")
   Focuses solely on put option contracts.

Advanced Scenarios

1. Integrating with Other Functions
   Combine opt_Vol_OI_Historical results with Excel formulas (e.g., average, standard deviation) to detect spikes or anomalies in Vol/OI over time.

2. Comparison Across Stocks
   Use separate columns to apply =opt_Vol_OI_Historical to multiple tickers and highlight the highest or lowest Vol/OI ratio. For instance, compare AAPL, MSFT, and TSLA to find unusual volume on specific dates.

3. Using for Strategy Testing
   Incorporate daily Vol/OI retrieval into a backtesting sheet. Automatically fetch historical call or put data to validate an options-based trading strategy.

Common Questions and Troubleshooting

• What if the function returns “NA”?

• This can happen if the symbol is invalid, the date is missing data, or if your MarketXLS license is not confirmed at the time of the request.

• Why do I see “Call/Put flag has invalid format. Please check your inputs.”?

• Ensure that you’ve set OptionType correctly to “C” (calls), “P” (puts), or left it blank/“0” for the combined ratio.

• What if I want to see data from multiple dates?

• Simply replicate the function in different rows or columns, each referencing a different date.

• Can it return “Refreshing”?

• In some cases, if data is still being processed, MarketXLS may instruct the function to wait. You could see “Refreshing” if the system is queuing the latest data updates.

By leveraging opt_Vol_OI_Historical, you can seamlessly integrate option Vol/OI analytics into your Excel workflows. This empowers better-informed trading decisions and faster reactions to unusual market activity—all without leaving the spreadsheet environment.