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Screening Report

Updated: 2026-03-16 15:42:51 MYT Source File: screen-report-20260316-154250.md Generated: 2026-03-16 03:42 PM Universe: 10298 Top N: 10

Executive Summary

This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: AAOI with score 98.5, near-expiry ATM IV 177.1%, and expected move $15.90.

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 AAOI 98.5 call-flow, cleaner-spread, momentum, large-em 96.81 177.1% 15.90 15.5% 1.02B 16.2K 56.9K 6.3%
02 AXTI 85.1 call-flow, cleaner-spread, momentum, large-em 48.86 193.3% 8.95 13.8% 447.45M 11.3K 39.0K 5.6%

Analyst Breakdown

01 AAOI

Trading thesis: call-flow, cleaner-spread, momentum, large-em

Category Metric Value
Price Spot 96.81
Options ATM IV 177.1%
Options Expected Move $15.90 (16.4%)
Options Expiry / DTE 2026-03-20 / 4D
Trend EMA20 / EMA50 86.18 / 63.92
Trend R20 / R60 120.1% / 223.8%
Trend Distance to 20D breakout 31.2%
Risk HV20 232.9%
Risk ATR14% 15.5%
Liquidity ADV20$ 1.02B
Options Call/Put Vol Ratio 2.49
Options Call/Put OI Ratio 1.13
Options Total Option Volume 16.2K
Options Total Option OI 56.9K
Execution Spread% 6.3%
Score Composite Score 98.5

02 AXTI

Trading thesis: call-flow, cleaner-spread, momentum, large-em

Category Metric Value
Price Spot 48.86
Options ATM IV 193.3%
Options Expected Move $8.95 (18.3%)
Options Expiry / DTE 2026-03-20 / 4D
Trend EMA20 / EMA50 37.66 / 29.14
Trend R20 / R60 97.1% / 229.5%
Trend Distance to 20D breakout 0.0%
Risk HV20 187.8%
Risk ATR14% 13.8%
Liquidity ADV20$ 447.45M
Options Call/Put Vol Ratio 1.29
Options Call/Put OI Ratio 0.63
Options Total Option Volume 11.3K
Options Total Option OI 39.0K
Execution Spread% 5.6%
Score Composite Score 85.1

Failed Snapshot

  • DAVE — spot>=200.00
  • CRCG — em<$5.0
  • CRDU — not-uptrend, ret20<0.0%, optvol<500
  • NOVT — not-uptrend, ret20<0.0%, optoi<1000
  • REPX — optvol<500, optoi<1000
  • CRCA — iv<120%
  • ALLO — em<$5.0, optvol<500
  • TSLS — not-uptrend, ret20<0.0%, optvol<500
  • FLY — not-uptrend, em<$5.0
  • RGTU — not-uptrend, adv20$<8.00M, optvol<500
  • BE — not-uptrend, iv<120%
  • BYND — not-uptrend, em<$5.0
  • CIEN — spot>=200.00, iv<120%
  • CBUS — adv20$<8.00M, em<$5.0, optvol<500, optoi<1000
  • AMAT — spot>=200.00, not-uptrend

Desk Notes

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

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