Sizzle Index: Screen Stocks With Unusual Options Activity (2024)

Whether or not you’re deep into calls and puts in your own portfolio, simply tracking options volume can be an important part of a trading kit. Learn how the Sizzle Index, available on the thinkorswim®trading platform, can help traders find, filter, refine, and monitor stocks experiencing unusual options activity.

When options volume sizzles

Options volume is best viewed in the context of other indicators. For instance, a jump in volume that coincides with a big up or down price move may indicate strength in the direction of the change. It’s fitting, then, that large percentage price increases accompanied by thin trading volume are less likely to indicate market direction with any staying power. In fact, they may indicate a reversal is taking shape.

When tracking options volume, traders want to discern whether the crowd is taking action—buying or selling—in call optionsas well as put options. It’s also important to be able to track down unusual options volume when it occurs because it could hint at where the underlying stock might go.

So, how can traders get a little volume temperature reading? The Sizzle Index on thinkorswim is an indicator for screening stocks posting unusual options volume compared to their recent draw.

What is the Sizzle Index?

The Sizzle Index is a ratio of a security’s current options volume over that security’s daily average options volume over the last five days. 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. A stock with a Sizzle Index of 5.00, for example, indicates its current daily options volume is five times that of its daily average options volume. A Sizzle Index of 0.50 indicates current volume at half of its average, and so on.

Think of it as an unusual options activity scanner that allows traders to follow the money in a given stock and helps troll for potential trading ideas. And because it’s impossible to keep tabs on all stocks all the time, the Sizzle Index “quick scan” does the heavy lifting to identify unusually high values. Use it to quickly get a condensed roundup of, in this case, the unusual suspects to keep an eye on.

How to use the Sizzle Index on thinkorswim in four simple steps

Using the Sizzle Index as a personal scanning device for unusual options activity can be done in four steps: scan, compare, refine, and save. Before getting into the specifics, become familiar with theStock Hackerscreen, located on theScantab on thinkorswim (see figure 1).

FIGURE 1: FIND YOUR SIZZLE. Set up, refine, and keep an eye on your sizzle. Image source:thinkorswim platform. For illustrative purposes only. Past performance does not guarantee future results.

1. Scan all optionable stocks

On the thinkorswim platform’sScan > Stock Hackertab, select the flame at the top right that represents the Sizzle Index. This will prefill theStock Hackerwith the parameters to find the securities with a per-share price above $5, volume above 100,000 shares, and market cap above $35 million that have the most unusual options volume. To edit these parameters, use the sliders or text entry boxes. When all looks good, selectScan.