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

[BenTen]

@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.

 

[pupu]

Is it possible to calculate the sizzle index inside thinkscript study?

 

[merryDay]

Is it possible to calculate the sizzle index inside thinkscript study?

Sizzle Index is a thinkorswim feature that allows you to find stock symbols that currently see an increase in the number of options traded compared to the last five days’ average. It is calculated as the ratio of the current total volume of put and call options to the arithmetic mean of daily put and call volumes over the last five days. Individual call and put Sizzle Index values are also calculated and available as watchlist column.

This data is not available inside thinkscript study.

 

[BranDonCMK]

I was wondering if there was a way to create a chart label for "Call Sizzle" and "Put Sizzle." I feel like this could be handy when used in conjunction with context of the chart and some indicators to quickly filter out stocks without having to use the Options Statistics tab to try to interpret the market's sentiment.

 

[merryDay]

I was wondering if there was a way to create a chart label for "Call Sizzle" and "Put Sizzle." I feel like this could be handy when used in conjunction with context of the chart and some indicators to quickly filter out stocks without having to use the Options Statistics tab to try to interpret the market's sentiment.

The ToS platform does not make that data available for chart labels or for custom scripts.

 

[Billy]

Is there ways to create a Sizzle Index as lower study to show historical values for individual stock charts? Also, if possible to scan for a Sizzle Index yesterday or the day before yesterday using [1] or [2]?

 

[merryDay]

Is there ways to create a Sizzle Index as lower study to show historical values for individual stock charts? Also, if possible to scan for a Sizzle Index yesterday or the day before yesterday using [1] or [2]?

The ToS platform does not make the sizzle index data available for plotting as a lower study.
The ToS platform does not allow us to interact or create custom scripts using the sizzle index.

It is a watchlist column field.

 

[JamesB]

Is there a way to set up a scan for a differential between put/call sizzle? For example, a call sizzle of 2 and a put sizzle of 1. Ultimately, I would like to see a differential of 2x. Thus, the call sizzle could be 4 and put sizzle 2, etc.

 

[merryDay]

Is there a way to set up a scan for a differential between put/call sizzle? For example, a call sizzle of 2 and a put sizzle of 1. Ultimately, I would like to see a differential of 2x. Thus, the call sizzle could be 4 and put sizzle 2, etc.

The ToS platform does not make the sizzle index data available for scanning.

 

[Philly1224]

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.

I know this is an old thread, but I have this answer as I was wondering the same thing.

Stock Sizzle is just the name for the stock's share volume (not option volume) compared to the last 5 days. The Sizzle index is the comparison of the stock's option volume compared to the last 5 days.

There isn't an option to select stock sizzle, BUT it shows up in the Option's statistics as a stat.

If you want to add it to a watchlist, you can copy this as a custom study:

#-----------------------------------------------------------
# Stock Sizzle %
# Shows how current volume compares to 5-bar average volume
#-----------------------------------------------------------

input length = 5 ;  # number of bars for average
def avgVol = Average(volume , length);
def sizzleRatio = if avgVol != 0 then volume / avgVol [1] else 0;

plot SizzlePercent = sizzleRatio * 1; #change to 100 if you want to see percentage

It is basically showing you relative share volume, so you can compare it to the sizzle index when a stock has earnings coming up.

For instance:

• NVDA Stock Sizzle = 2.2 but Sizzle Index = 0.9
  → Stock is seeing heavy share trading, but options aren’t unusually active (maybe just broad market movement).
• NVDA Stock Sizzle = 1.0 but Sizzle Index = 4.0
  → Options are unusually active without much stock volume — this is the type of divergence many traders watch before earnings.

Sorry to bring up a dinosaur, but this was left unanswered, and I believe I was able to provide an answer.

 

[antwerks]

I know this is an old thread, but I have this answer as I was wondering the same thing.

Stock Sizzle is just the name for the stock's share volume (not option volume) compared to the last 5 days. The Sizzle index is the comparison of the stock's option volume compared to the last 5 days.

There isn't an option to select stock sizzle, BUT it shows up in the Option's statistics as a stat.

If you want to add it to a watchlist, you can copy this as a custom study:

#-----------------------------------------------------------
# Stock Sizzle %
# Shows how current volume compares to 5-bar average volume
#-----------------------------------------------------------

input length = 5 ;  # number of bars for average
def avgVol = Average(volume , length);
def sizzleRatio = if avgVol != 0 then volume / avgVol [1] else 0;

plot SizzlePercent = sizzleRatio * 1; #change to 100 if you want to see percentage

It is basically showing you relative share volume, so you can compare it to the sizzle index when a stock has earnings coming up.

For instance:

• NVDA Stock Sizzle = 2.2 but Sizzle Index = 0.9
  → Stock is seeing heavy share trading, but options aren’t unusually active (maybe just broad market movement).
• NVDA Stock Sizzle = 1.0 but Sizzle Index = 4.0
  → Options are unusually active without much stock volume — this is the type of divergence many traders watch before earnings.

Sorry to bring up a dinosaur, but this was left unanswered, and I believe I was able to provide an answer.

Comparing the volumes of the options to the stock volume is actually a very smart analytical angle that few retail traders consider deeply.
Here is a breakdown of the strategy-

Stock Volume vs. Option Volume, What Each Reveals

Type	What It Measures	Key Insight
Stock Volume	The total number of shares traded for the stock.	Shows real liquidity, participation, and conviction in the underlying asset.
Option Volume	The total number of option contracts traded (calls + puts).	Reflects sentiment, speculation, and hedging activity — traders’ expectations of future movement.

Why Plot Both Together?? Plotting option volume relative to stock volume gives a multi-layered look into sentiment vs. participation:

The Advantages

1. Sentiment Divergence Detection
   • If option volume spikes while stock volume stays flat, traders are positioning for a big move before it shows up in the stock itself.
   • This can signal institutional hedging or speculative bets ahead of news or earnings.
2. Early Volatility Forecasting
   • Heavy option volume (especially near-term, out-of-the-money options) implies traders expect volatility expansion — useful for options sellers or straddle players.
3. Spotting Manipulation or Hidden Flows
   • Sometimes large funds move in options to hide direction — spikes in put or call volume versus neutral stock volume often reveal hidden directional intent.
4. Confirming Momentum Moves
   • When both stock volume and option volume rise together → confirms strong conviction, not just speculative noise.
5. Improved Entry Timing for Option Trades
   • Helps you know when the options market is “awake” — i.e., sufficient liquidity to enter multi-leg trades (spreads, straddles) efficiently.

The Disadvantages / Cautions

1. Option Volume ≠ Direction
   • You don’t know if volume is buying or selling, or opening or closing positions.
   • You need open interest changes or delta-weighted volume to interpret properly.
2. Different Units
   • Stock volume measures shares, option volume measures contracts (each 100 shares). You can’t compare them directly — better to use ratios (e.g., Option Volume / Stock Volume).
3. Noise in Illiquid Names
   • Small-cap or low-volume stocks can show false spikes from a few large option trades.

Some Practical Uses

A great TOS setup is to:

• Plot Stock Volume (bottom panel).
• Overlay Total Option Volume or Call/Put Volume Ratio (custom script).
• Use thresholds like:
  • Option Volume > 3× 10-day average → speculative event forming.
  • Put/Call Ratio > 1.5 → fear/hedging.
  • Put/Call Ratio < 0.5 → speculative bullishness.

Some Definitions and Overviews

Situation	Interpretation
Option Vol UP, Stock Vol flat	Smart money positioning early
Both UP	Confirmed conviction, trend continuation
Option Vol spike before earnings	Anticipated volatility event
Put/Call ratio extreme	Crowded sentiment → contrarian setup