Post by Deleted on Aug 30, 2017 20:47:24 GMT
Fairly strong activity today: calls 3602 and puts 3531. Only 1% of calls and 2% of puts traded at or above ask, so not a lot of buying pressure. And 1% and 3% respectively traded at or below bid, so not a lot of selling pressure either. I'm on my laptop, still traveling until tomorrow, so I don't have access to the volume info to see which strikes and expirations were the most active.
But I did attend the T D Ameritrade conference and was able to obtain an explanation of their "sizzle" index. It has nothing to do with pricing. It is simply the volume today compared to the average of the prior 5 day volume. Or if looking after 2 hrs trading, the average volume of the first 2 hrs for the prior 5 days.
Today's sizzle index is 1.7 for calls and 2.5 for puts.
But I did attend the T D Ameritrade conference and was able to obtain an explanation of their "sizzle" index. It has nothing to do with pricing. It is simply the volume today compared to the average of the prior 5 day volume. Or if looking after 2 hrs trading, the average volume of the first 2 hrs for the prior 5 days.
Today's sizzle index is 1.7 for calls and 2.5 for puts.