To my knowledge, MATLAB does not directly provide an API for using OpenMP. However, you can exploit OpenMP in MEX-C-Files. A short introduction about that can be found, e.g., in the linked blog-post.

If you want to parallelize your code directly using only MATLAB-tools, you should take a look at the Parallel Computing Toolbox (second link). It does not use OpenMP but MPI and CUDA but provides a way more easy to use interface.

http://www.walkingrandomly.com/?p=1795

mathworks.com/help/distcomp/getting-started-with-parallel-computing-toolbox.htm