Easily Get Option Volume/Open Interest Ratio with opt_Vol_OI

The opt_Vol_OI function in MarketXLS helps you seamlessly pull the ratio of total or filtered option volume to open interest directly into Excel, giving you immediate insights into a security’s option trading activity. Whether you want to aggregate all options or narrow down to a specific option type or expiration, this function provides a convenient snapshot of market interest and liquidity that can be crucial for trading decisions.

Why Use This Function?

• Evaluate Option Activity: Quickly gauge market interest by viewing how many contracts are traded (volume) relative to how many remain open (open interest).
• Filter by Type: Choose Calls, Puts, or both to focus on your desired strategy.
• Specify Expiration: Zero in on a particular expiration date to see how activity shifts over different term structures.
• Inform Trades: Identify where liquidity exists and how a contract’s open interest compares to current trading volume.

Examples of when you might use this function:

• Before entering an options trade on popular stocks like AAPL or TSLA to see if volume is robust.
• Evaluating weekly options’ volume vs. open interest to gauge short-term interest.
• Monitoring index options (SPX, NDX, VIX) for broad market trend indications.

How to Use in Excel

=opt_Vol_OI(Underlying, [OptionType], [ExpirationDate])

• Underlying (required): The ticker symbol of the underlying security (e.g., "AAPL", "^SPX").
• OptionType (optional): "CALL", "PUT", or leave blank (“”) for both. If unspecified or invalid, it defaults to no filter (both Calls and Puts).
• ExpirationDate (optional): The expiration date you wish to filter on. If blank or in an invalid format, no date filtering is applied (aggregates across all expirations).

Enter the function in any Excel cell, just as you would a standard formula. MarketXLS retrieves the ratio of (Volume ÷ Open Interest) from the data provider APIs.

Parameters Explained

Example Usage

Basic Examples

1. Retrieve total volume/open interest ratio for AAPL (all calls and puts, all expirations):
   =opt_Vol_OI("AAPL")
   • Returns a numeric ratio of aggregated volume to open interest for all AAPL options.

2. Retrieve only for SPX calls, all expirations:
   =opt_Vol_OI("^SPX","CALL")
   • The backend strips out the caret, effectively looking up SPX calls’ total volume/open interest.

3. Retrieve ratio for puts on TSLA expiring on December 15, 2023:
   =opt_Vol_OI("TSLA","PUT","12/15/2023")
   • Filters to TSLA put options expiring 12/15/2023, returning volume/open interest for those contracts only.

Advanced Scenarios

• Short-Term Weekly Options: =opt_Vol_OI("AAPL","CALL","11/24/2023")
This focuses on a near-term weekly expiration to see if short-term interest is high.
• Multiple Cells for Different Expirations: You can create a table comparing different weeks or months for the same ticker to identify shifting interest across maturities.
• Strategy Integrations: Combine results with other MarketXLS technical or fundamental functions to validate if options are active enough to match your trading strategies.

Common Questions and Troubleshooting

1. What if I get “NA”?
   • It can mean no data found or an error on the data server (including potential division by zero if open interest is zero). Double-check your ticker or date.

2. Why do I see “Call/Put flag has invalid format…”?
   • Your “OptionType” parameter was not recognized as “CALL” or “PUT.” Confirm your spelling or leave it blank.

3. Can I use this with indices like ^NDX or ^VIX?
   • Yes, just as with ^SPX, the caret is removed on the server side.

4. Will this function give me real-time data?
   • The data might be cached for performance, so it may not always reflect absolute real-time numbers.

By leveraging the opt_Vol_OI function, you can effortlessly monitor how active or liquid certain option markets are before you commit to a trade. It integrates smoothly into any customized Excel spreadsheet, making your analysis both flexible and comprehensive.