FIGURE 2: Product Depth. You can follow the relationship between price and delta for various options series.
Source: thinkorswim from TD Ameritrade. For illustrative purposes only.
From the Trade tab on the thinkorswim®
platform from TD Ameritrade, scroll down to
Today’s Options Statistics, which you’ll find
below the option chain (see Figure 1). The
statistics are divided into three sections:
1 – Vol Data. The 52-week implied volatility (IV) high and low show you the IV
range for the last year. The current IV
percentile tells you where the prevailing
IV is with respect to its range.
2 – Trade Analysis. This displays how
many contracts traded. You can see how
many were calls and how many were
puts. You can also see if they traded at or
below the bid or at or above the ask. This
information can be helpful when determining where to enter or exit your trade.
Delta is another helpful metric; note that
you can change the default intervals.
3 – Sizzle Index. This tells you if trading
activity is within normal ranges. A Sizzle
Index value above 1 indicates unusual
trading levels. You’ll find the overall
Sizzle Index as well as the sizzle for calls,
puts, vol, and the stock.
Product Depth: A DEEPER DIVE
The Product Depth screen may look like a
mess of lines, but each of them has something
to tell. When you analyze a trade, the current
greeks, vol values, and other parameters are
relevant for that moment. But after you place
a trade, they’re likely to change, which is why
it’s a good idea to analyze the relationship
between prices and other parameters.
Suppose you want to analyze the relationship between call options prices and delta.
Here’s how you could do it using the Product
Depth tool (see Figure 2).
FIGURE 1: Figuring out vol, trading activity, and any unusual activity. The thinkorswim platform offers
options statistics such as implied vol, historical vol, number of calls and puts traded, where they traded, and the
Sizzle Index. Source: thinkorswim from TD Ameritrade. For illustrative purposes only.
1 – In thinkorswim, select the Trade tab
and scroll down to Product Depth.
2 – Select Options.
3 – From the drop-down menu under
Show, choose the options values you want
to calculate. You might select calls, puts,
out-of-the-money options, an average, or
puts and calls together.
4 – Select the options series for which you
want to calculate values. The fewer series,
the less messy the chart will look. Each
series is represented by a different color
(you can customize these).
5 – Select the number of strikes.
6 – If you want to study the relationship
between delta and options prices, select
Delta from the menu on the right. You’ll
see a long list of other values you could
Once the curves are plotted, they’ll
change in real time. Deltas will be close
to 50% for at-the-money options. You can
watch how price changes as the options
become further out of the money or move
in the money.
Advanced Concepts Workshop
Dive deeper into options
trading strategies and learn
about options greeks,
calendars, diagonal spreads,
and iron condors.
San Diego, CA; New York City,
NY; Dallas, TX
Investing Fundamentals Workshop
When it comes to your long-term holdings, you’ll need to think about asset
allocation, portfolio diversification and
incorporating mutual funds and E TFs
into your portfolio. This workshop covers
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