Screening Report
Updated: 2026-03-13 15:42:26 MYT Source File:
screen-report-20260313-154225.mdGenerated: 2026-03-13 03:42 PM Universe: 10297 Top N: 10
Executive Summary
This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: AXTI with score 85.1, near-expiry ATM IV 171.2%, and expected move $9.35.
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 | 85.1 | call-flow, cleaner-spread, near-break, momentum | 46.73 | 171.2% | 9.35 | 14.1% | 418.66M | 8.1K | 37.6K | 9.6% |
| 02 | AAOI | 60.9 | call-flow, momentum | 106.19 | 145.6% | 6.45 | 13.7% | 1.07B | 23.9K | 26.3K | 20.2% |
Analyst Breakdown
01 AXTI
Trading thesis: call-flow, cleaner-spread, near-break, momentum
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 46.73 |
| Options | ATM IV | 171.2% |
| Options | Expected Move | $9.35 (20.0%) |
| Options | Expiry / DTE | 2026-03-20 / 7D |
| Trend | EMA20 / EMA50 | 36.48 / 28.34 |
| Trend | R20 / R60 | 74.4% / 215.5% |
| Trend | Distance to 20D breakout | 1.3% |
| Risk | HV20 | 192.0% |
| Risk | ATR14% | 14.1% |
| Liquidity | ADV20$ | 418.66M |
| Options | Call/Put Vol Ratio | 1.84 |
| Options | Call/Put OI Ratio | 0.60 |
| Options | Total Option Volume | 8.1K |
| Options | Total Option OI | 37.6K |
| Execution | Spread% | 9.6% |
| Score | Composite Score | 85.1 |
02 AAOI
Trading thesis: call-flow, momentum
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 106.19 |
| Options | ATM IV | 145.6% |
| Options | Expected Move | $6.45 (6.1%) |
| Options | Expiry / DTE | 2026-03-13 / 0D |
| Trend | EMA20 / EMA50 | 85.06 / 62.57 |
| Trend | R20 / R60 | 119.4% / 231.2% |
| Trend | Distance to 20D breakout | 19.6% |
| Risk | HV20 | 233.2% |
| Risk | ATR14% | 13.7% |
| Liquidity | ADV20$ | 1.07B |
| Options | Call/Put Vol Ratio | 1.29 |
| Options | Call/Put OI Ratio | 0.82 |
| Options | Total Option Volume | 23.9K |
| Options | Total Option OI | 26.3K |
| Execution | Spread% | 20.2% |
| Score | Composite Score | 60.9 |
Failed Snapshot
- CF — optoi<1000
- BNO — optoi<1000
- JDST — not-uptrend
- FSLY — em<$5.0
- TECL — not-uptrend, ret20<0.0%
- EWY — not-uptrend, ret20<0.0%, optoi<1000
- CRCA — iv<120%
- REPX — optvol<500, optoi<1000
- APLX — not-uptrend, ret20<0.0%, optvol<500
- ADBE — spot>=200.00, not-uptrend, atr14%<4.0
- ALLO — em<$5.0, optvol<500
- NUGT — spot>=200.00, not-uptrend, ret20<0.0%, optoi<1000
- CRCG — em<$5.0, optvol<500
- SGI — not-uptrend, ret20<0.0%, optoi<1000
- TSLS — not-uptrend, ret20<0.0%, optvol<500
Desk Notes
The final ranking intentionally rewards high IV + strong trend + liquidity + active options.