Screening Report
Updated: 2026-03-12 15:42:20 MYT Source File:
screen-report-20260312-154220.mdGenerated: 2026-03-12 03:42 PM Universe: 10286 Top N: 10
Executive Summary
This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: AXTI with score 81.8, near-expiry ATM IV 170.3%, and expected move $10.00.
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 | AXTI | 81.8 | cleaner-spread, momentum, large-em, ultra-iv | 47.36 | 170.3% | 10.00 | 14.0% | 416.70M | 15.8K | 28.7K | 6.0% |
| 02 | AAOI | 72.1 | call-flow, cleaner-spread, momentum | 127.01 | 147.9% | 10.10 | 10.7% | 1.20B | 15.9K | 23.7K | 15.8% |
Analyst Breakdown
01 AXTI
Trading thesis: cleaner-spread, momentum, large-em, ultra-iv
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 47.36 |
| Options | ATM IV | 170.3% |
| Options | Expected Move | $10.00 (21.1%) |
| Options | Expiry / DTE | 2026-03-20 / 8D |
| Trend | EMA20 / EMA50 | 35.40 / 27.59 |
| Trend | R20 / R60 | 94.5% / 189.1% |
| Trend | Distance to 20D breakout | 0.0% |
| Risk | HV20 | 192.4% |
| Risk | ATR14% | 14.0% |
| Liquidity | ADV20$ | 416.70M |
| Options | Call/Put Vol Ratio | 0.34 |
| Options | Call/Put OI Ratio | 0.86 |
| Options | Total Option Volume | 15.8K |
| Options | Total Option OI | 28.7K |
| Execution | Spread% | 6.0% |
| Score | Composite Score | 81.8 |
02 AAOI
Trading thesis: call-flow, cleaner-spread, momentum
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 127.01 |
| Options | ATM IV | 147.9% |
| Options | Expected Move | $10.10 (8.0%) |
| Options | Expiry / DTE | 2026-03-13 / 1D |
| Trend | EMA20 / EMA50 | 82.84 / 60.79 |
| Trend | R20 / R60 | 161.9% / 249.7% |
| Trend | Distance to 20D breakout | 0.0% |
| Risk | HV20 | 220.9% |
| Risk | ATR14% | 10.7% |
| Liquidity | ADV20$ | 1.20B |
| Options | Call/Put Vol Ratio | 1.68 |
| Options | Call/Put OI Ratio | 0.78 |
| Options | Total Option Volume | 15.9K |
| Options | Total Option OI | 23.7K |
| Execution | Spread% | 15.8% |
| Score | Composite Score | 72.1 |
Failed Snapshot
- FSLY — em<$5.0
- JDST — not-uptrend, ret20<0.0%
- CRDU — not-uptrend, ret20<0.0%, optvol<500
- APLX — not-uptrend, ret20<0.0%, optvol<500
- OPEX — not-uptrend, adv20$<8.00M, optvol<500, optoi<1000
- REPX — optvol<500, optoi<1000
- FNKO — not-uptrend, adv20$<8.00M, em<$5.0
- ALLO — em<$5.0, optvol<500
- CRCA — iv<120%
- CRCG — em<$5.0
- FEIM — optvol<500, optoi<1000
- BYND — not-uptrend, em<$5.0
- TSLS — not-uptrend, ret20<0.0%, optvol<500
- ESLT — spot>=200.00, iv<120%
- LABX — not-uptrend, ret20<0.0%
Desk Notes
The final ranking intentionally rewards high IV + strong trend + liquidity + active options.