The Scenario
You run a volatility desk. You're building a vol surface model for AAPL, TSLA, and SPY — five expiration dates each, full options chain. The model needs strike, bid, ask, implied volatility, delta, and open interest for every contract. This is the input layer. Without it, the surface is blank.
You built one of these manually two quarters ago. It took most of a day. By the time it was done, the implied volatility figures you pulled at the start were already stale compared to the ones you pulled at the end.
The bad version:
- Query the Twelve Data options chain endpoint for AAPL's first expiry. Extract call and put rows for each strike with the six required fields. Paste into the workbook, sorted by strike ascending.
- Repeat for four more AAPL expiries, then all five TSLA expiries, then all five SPY expiries — 15 separate pulls, each requiring you to sort the strike output because the API returns strikes in a different sequence depending on the expiry.
- Discover that the AAPL expiry you pulled first is now 4 hours old and the IV figures are meaningfully different from the TSLA and SPY expiries you just pulled.
Implied volatility that spans 4 hours of market time is not a surface. It's three separate snapshots stitched together.
The Easy Way: One Prompt in SheetXAI
SheetXAI is an AI agent inside your Excel workbook. It reads the tickers in column A and, through its built-in Twelve Data integration, pulls the full options chain for each ticker and expiry set and writes the structured table into the workbook.
Fetch the options chain from Twelve Data for each ticker in column A for all available expiration dates. Write each contract as a separate row with ticker, expiry, type (call or put), strike, bid, ask, implied volatility, delta, and open interest. Sort by ticker, then expiry, then strike ascending.
What You Get
- One row per option contract across all expiries for each ticker.
- Columns: ticker, expiry date, type, strike price, bid, ask, implied volatility, delta, open interest.
- All three tickers pulled in a single session, minimizing the time spread across the data.
- Illiquid expiries (zero open interest across all strikes) noted in a summary so you know which expiries to exclude from the surface model.
What If the Data Is Not Quite Ready
If you want only specific expiration dates rather than all available
Fetch the options chain from Twelve Data for each ticker in column A. Only include expiration dates listed in column B (comma-separated). Write call and put rows with strike, bid, ask, implied volatility, delta, and open interest for each contract.
If you want to filter to near-the-money strikes to reduce the data volume
Fetch the options chain from Twelve Data for each ticker in column A. Filter to strikes within 10% above and below the current spot price. Write call and put rows for each qualifying strike with expiry, strike, bid, ask, implied volatility, delta, and open interest.
If you want to list all available expiration dates before committing to the full pull
Fetch all available option expiration dates from Twelve Data for the symbol in cell A1 and list them in column A starting at row 2, one date per row. Then fetch the options chain for the first expiry in A2 and write strike, implied volatility, and open interest into columns B, C, and D to preview the data structure.
Kill-chain: fetch expiry list, pull chains for 5 expiries, and build the ATM IV term structure
Fetch all available expiration dates from Twelve Data for each ticker in column A and record the next 5 expiry dates into columns B through F. For each expiry, fetch the options chain and identify the at-the-money strike (closest to current spot price). Write the ATM implied volatility for calls and puts into a term structure table: tickers as rows, expiries as column headers. This gives you the IV term structure ready for the surface model.
Try It
Get the 7-day free trial of SheetXAI and open your volatility model workbook with tickers in column A, then ask it to pull the full options chains and build the ATM IV term structure in one pass. Also see enriching a volatility report with band metrics and the full Twelve Data overview.