How to Use the opt_TotalVolumeOptionsHistorical Function for Historical Options Volume

The opt_TotalVolumeOptionsHistorical function in MarketXLS allows you to retrieve the total historical options volume for a specific underlying security on a given date. This function simplifies the process of analyzing past market activity, helping traders and analysts quickly gauge the liquidity and investor interest in calls, puts, or both for a particular stock or ETF.

By using this function, you can fine-tune trading strategies, backtest historical tactics, and stay informed on how trading volume has shifted over time. Whether you focus on calls or puts, or you want a combined total of both, this function offers an efficient way to streamline your market research directly within Excel.

Why Use This Function?

• Quickly compare how past market sentiment (calls vs. puts) has evolved for a chosen ticker.
• Easily backtest strategies by analyzing historical volume data on specific dates.
• Conveniently retrieve both calls and puts volume in a single step.
• Help gauge the liquidity of a security’s options market when building or refining trading strategies.
• Integrate seamlessly with Excel’s native formulas and data manipulation features for deeper analysis.

How to Use in Excel

=opt_TotalVolumeOptionsHistorical(Underlying, PastDate, Direction)

1. In any Excel cell, type the formula above.
2. Replace Underlying with the stock or ETF ticker symbol (e.g., "AAPL", "MSFT").
3. Provide PastDate as a valid date (e.g., "08/01/2023").
4. Optionally, set Direction to "CALL" for calls, "PUT" for puts, or leave it blank (or provide an unrecognized value) to consider both.
5. Press Enter to get the total historical options volume for the specified date and direction.

Parameters Explained

Example Usage

Basic Examples

1. Retrieve total options volume for Apple on August 1, 2023 (calls and puts combined): » =opt_TotalVolumeOptionsHistorical("AAPL", "08/01/2023", "")

2. Retrieve only call options volume for Microsoft on July 15, 2022: » =opt_TotalVolumeOptionsHistorical("MSFT", "07/15/2022", "CALL")

3. Retrieve only put options volume for Tesla on January 10, 2023: » =opt_TotalVolumeOptionsHistorical("TSLA", "01/10/2023", "PUT")

Advanced Scenarios

• Aggregate multiple historical dates:

• Use SUM or AVERAGE across multiple cells to analyze trends over time.
• For example, list different past dates in separate rows and apply =opt_TotalVolumeOptionsHistorical for each row. Then use Excel’s charting capabilities to visualize changes in volume.

• Combine with other MarketXLS functions:

• Cross-reference historical option volume with implied volatility or open interest data to get a more comprehensive view of market behavior.
• Build a trading strategy that triggers when a certain volume threshold is met on multiple consecutive days.

• Integration for backtesting strategies:

• Incorporate direction-based volume (calls vs. puts) as a key indicator to signal bullish or bearish market sentiment.
• Combine with pivot tables to rapidly slice and dice data by date or ticker.

Common Questions and Troubleshooting

• What if I receive "Call/Put flag has invalid format"?

• Ensure you typed "CALL" or "PUT" exactly. Minor typos or extra spaces will return this validation error.

• Why do I see "NA"?

• This usually indicates an error fetching data (e.g., invalid date, symbol not found, or a temporary data-fetching issue). Double-check your inputs or retry later.

• Why do I see "Refreshing"?

• The MarketXLS add-in may still be retrieving the data. Wait a few moments and then recalculate the cell.

• Do I need a MarketXLS subscription?

• Yes. An active MarketXLS license is required for this function to return data.

• Edge cases to consider:

• Passing an invalid PastDate format may lead to no results or "NA".
• Leaving Direction empty (or providing an unrecognized string) defaults to total (combined) volume.
• Extremely old dates might not have data available depending on data provider coverage.

Remember:

• This function is especially useful for options traders wanting quick historical volume data directly in Excel.
• Use multiple examples and combine them with Excel’s extensive analytical functions to get the most thorough insights.
• For real US market scenarios, using a variety of liquid symbols and relevant historical dates generally yields the most informative data for your trading research.