thinkTank: Options Statistics and Product Depth

Whether you are a newbie or a pro, volatility and options greeks can be perplexing. Find out how to use the Options Statistics and Product Depth tools to get more insight into options trades you may be considering.

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Key Takeaways

  • When you analyze a potential trade, the metrics you use are good only for that moment in time

  • Understand what the Options Statistics mean and how to apply them

  • Know how to analyze relationships between options prices and other metrics such as options greeks and volatility values

Whether you’re a newbie or a pro, volatility and options greeks can be perplexing. These tools on your thinkorswim® trading platform can help keep you in the loop.

Today’s Options Statistics: WHAT’S SIZZLING?

The life of an option trader revolves around making strategy decisions, and that involves analyzing a bunch of metrics such as implied volatility(vol), historical vol, how many puts or calls traded, where they traded with respect to bid or ask prices, and so on. But just knowing the numbers may not be enough. Sure, you may be able to make more educated trading decisions, but you should also know what the numbers mean. We’ll start with some of the options stats.

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:

Options statistics and how to access them
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. 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).

Analyzing relationship between price and delta
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.
  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 also choose.

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.

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Key Takeaways

  • When you analyze a potential trade, the metrics you use are good only for that moment in time

  • Understand what the Options Statistics mean and how to apply them

  • Know how to analyze relationships between options prices and other metrics such as options greeks and volatility values

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