Sizzle Index

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 columns.

The Sizzle Index feature is essentially a Stock Hacker scan template that returns ten stock symbols with highest Sizzle Index values and, by default, have market capitalization of at least 35 million dollars, volume of at least 100,000 shares, and last price of at least five dollars. These default values can be modified in the Stock Hacker interface.

How to Use Sizzle Index

  1. Click the Scan tab and choose Stock Hacker from the sub-tab row. Click the Sizzle Index button  on the right of the Stock Hacker header. This will load the Top 10 Sizzling Stocks scan template.
  2. By default, three stock scan filters are added in the template: minimum last price, minimum volume, and minimum market capitalization. If necessary, modify these filters. The total number of matches is displayed live on the right. Note that even though each filter may display a certain number of matches in pre-scan, the actual scan may return no results, as the stock needs to match all the specified criteria.
  3. If necessary, add more filters to the scan by clicking the buttons on above the filters area. You can use up to 25 filters in a single scan and only one pattern filter is allowed. To remove a filter, click X on its right.
  4. Click Scan. The results will be displayed in a watchlist-like form (and you can actually save them as a watchlist by clicking the Show actions menu button and selecting Save as Watchlist...). Virtually all operations available in watchlists are also available in the search results: you can add or remove columns, adjust sorting, add orders, create alerts, etc.
  5. Consider saving your scan query for further use. To save your query, click on the Show actions menu button next to Sizzle Index and select Save scan query... Enter the query name and click Save.
  6. Scan results are dynamically updated. If you would like to be notified of changes in the results, consider adding an alert on the changes. To add an alert:
    • Click on the Show actions menu button and select Alert when scan results change...
    • In the dialog window, specify which events you prefer to be notified of (e.g., when there is a new symbol that matches the criteria or a symbol that no longer matches them) and the scan query to be monitored.
    • Specify the frequency options: whether you would like the system to notify you of every change in the results or send you a list of changes on an hourly, daily, or weekly basis.
    • Click Create. The alert will be added to your Alert book.
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