What is Options Sizzle Index in ThinkorSwim? How to Use It

markos

markos

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Sizzle Indexes

Here are two screenshots stitched together to show the option based sizzle indexes for a watchlist. 10/22/19

Please note that the “stock sizzle” which is not shown here, and only available on desktop, is adjustable by number of days.

The option sizzle indexes are set to show, in percentage terms, what the volume in the options market are trading vs their 5 day moving average.
(The 5 days are not changeable.)

Let’s take Microsoft as an example. At the time of this screenshot, Microsoft traded 2.314 times more option volume than it had the previous 5 days. What that 5 day amount was is all relative.

The number of Calls traded was 3.039 times the 5 day average of MSFT Calls.
The number of Puts traded was 1.127 times the 5 day average of MSFT Puts.

It is important to remember that these are just clues as to what is going on in the option market. We do know that MSFT options were trading in higher volume than they were in the previous 5 days. We also know that there was much more activity in Call Options than there was in Put Options.

Why? We don’t know. If we did, we’d be Gazillionaires!
We also don’t know from these indexes whether it was buying or selling of these option contracts. Again, refer to the previous sentence.

Now COP: What I think I can tell is in the COP options there were 1.238 in Calls vs 0.565 in Puts traded AND the stock was up 2.77% for the day.

If the stock is up a large percentage, it makes sense to me that Call option volume would be higher as well. Whether BOT or SOLD, I would tend to look into the option chain and see if there is something to act on. What, exactly, is up to you!
 
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R

RDMercer

Member
To tag along with Sizzle we have zero idea if there are spreads on of any kind either. All you have is an idea of interest v 5 days. Most large option moves do not have alternate straddles or spreads. If somebody —- especially big dinero —- knows something they aren’t wasting money on the other side of a position. Plus allot of large buys are camouflaged ... buys are spread out. I’ve used options as a proxy for owning individual equity shares based off a well known pattern like C&H or MeasuredMove backed by a Sizzle scan and studies with decent results. All the best.
 
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nervo88

New member
Hi Guys !!!
I see some of you using the stock sizzle in TOS.
But I cant find it in TOS , I see only the stock index.

It was removed or something ?
 
BenTen

BenTen

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@nervo88 You can find it under your watchlist column.
 
BenTen

BenTen

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@nervo88 What is exactly is the "stock sizzle" that you're looking for?

According to ThinkorSwim, the Sizzle Index "allows you to find stock symbols that currently see an increase in the number of options traded compared to the last five days’ average."

You can learn more about it here.
 
S

shakenbake

New member
There's one or two threads on here that ask this question but no answers so I wanted to take it a step further and brainstorm how I would go about scripting it myself since TD Ameritrade doesnt have any interest in including it. Basically what I want to do is just plot the sizzle index over time. So i suppose the first step is to figure out how to save the value of sizzle index each aggregation period and then access it. The data would also need to persist over shutdown of the program too. Once you're able to do that you can just write a plot command (please correct me if I'm wrong because i'm very new to thinkscript). Anyone know if this is possible?
 
S

shakenbake

New member
@markos Yes I mean sizzle index, call sizzle index, put sizzle index. How can i graph these as an indicator over time. Whether it's camouflaged or not I just want to see what the trend is to these values over time.
 
F

frugal

New member
How do I add "stock sizzle"? It doesn't exist in tos. I see only sizzle index, volsizzle, put sizzle and call sizzle when I search for sizzle... Many thanks.
 
BenTen

BenTen

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@frugal There is no such thing as "stock sizzle" in ThinkorSwim. You must be talking about the Sizzle Index, which includes the Call Sizzle Index and Put Sizzle Index.
 

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