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Screening Report

Updated: 2026-03-11 21:52:47 MYT Source File: screen-report-20260311-215246.md Generated: 2026-03-11 09:52 PM Universe: 10284 Top N: 10

Executive Summary

This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: BNO with score 57.7, near-expiry ATM IV 146.5%, and expected move $8.45.

Ranking Model

Score = IV convexity + expected move + trend strength + liquidity + option activity - spread penalty

Top Results

# Symbol Score Thesis Spot IV1 EM $ ATR14% ADV20$ Opt Vol Opt OI Spread%
01 BNO 57.7 call-flow, wide-spread, near-break, momentum 43.37 146.5% 8.45 5.6% 193.87M 11.6K 3.6K 69.8%

Analyst Breakdown

01 BNO

Trading thesis: call-flow, wide-spread, near-break, momentum

Category Metric Value
Price Spot 43.37
Options ATM IV 146.5%
Options Expected Move $8.45 (19.5%)
Options Expiry / DTE 2026-03-20 / 9D
Trend EMA20 / EMA50 37.06 / 33.77
Trend R20 / R60 33.4% / 49.9%
Trend Distance to 20D breakout 1.3%
Risk HV20 46.9%
Risk ATR14% 5.6%
Liquidity ADV20$ 193.87M
Options Call/Put Vol Ratio 1.79
Options Call/Put OI Ratio 0.09
Options Total Option Volume 11.6K
Options Total Option OI 3.6K
Execution Spread% 69.8%
Score Composite Score 57.7

Failed Snapshot

  • APPX — not-uptrend, ret20<0.0%
  • JDST — not-uptrend, ret20<0.0%
  • HRI — not-uptrend, ret20<0.0%, optvol<500
  • LABX — not-uptrend, ret20<0.0%
  • CRDU — not-uptrend, ret20<0.0%, optvol<500
  • CRCA — iv<120%
  • APLX — not-uptrend, ret20<0.0%, optvol<500
  • PVLA — iv<120%, optvol<500
  • TPL — spot>=200.00, iv<120%
  • LITE — spot>=200.00, iv<120%
  • UCO — iv<120%
  • TSLS — not-uptrend, ret20<0.0%, optvol<500
  • AGX — spot>=200.00, iv<120%
  • VRT — spot>=200.00, iv<120%
  • KEYS — spot>=200.00, iv<120%

Desk Notes

The final ranking intentionally rewards high IV + strong trend + liquidity + active options.

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