Nanocomposites based on melt blending of an organoclay and a thermoplastic matrix have end-use properties directly controlled by the state of dispersion of the clay and the resulting nanostructure. It is thus very important to be able to correctly quantify, the levels of intercalation and exfoliation of these systems. For the exfoliation, theological measurements in small amplitude oscillatory shear are very powerful because they put clearly in evidence the interactions between nanofillers. We show in this paper how it is possible to interpret the experimental results, we indicate the advantages and drawbacks of current methods used in the literature and we strongly suggest to use the melt yield stress to characterize exfoliation level.