Screening Report
Updated: 2026-03-19 15:42:50 MYT Source File:
screen-report-20260319-154249.mdGenerated: 2026-03-19 03:42 PM Universe: 10291 Top N: 10
Executive Summary
This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: AAOI with score 74.7, near-expiry ATM IV 163.3%, and expected move $8.95.
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 | 74.7 | call-flow, momentum, large-em, ultra-iv | 92.63 | 163.3% | 8.95 | 17.5% | 1.14B | 30.1K | 79.2K | 41.3% |
Analyst Breakdown
01 AAOI
Trading thesis: call-flow, momentum, large-em, ultra-iv
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 92.63 |
| Options | ATM IV | 163.3% |
| Options | Expected Move | $8.95 (9.7%) |
| Options | Expiry / DTE | 2026-03-20 / 1D |
| Trend | EMA20 / EMA50 | 87.42 / 66.98 |
| Trend | R20 / R60 | 113.2% / 216.7% |
| Trend | Distance to 20D breakout | 37.1% |
| Risk | HV20 | 237.0% |
| Risk | ATR14% | 17.5% |
| Liquidity | ADV20$ | 1.14B |
| Options | Call/Put Vol Ratio | 1.87 |
| Options | Call/Put OI Ratio | 1.29 |
| Options | Total Option Volume | 30.1K |
| Options | Total Option OI | 79.2K |
| Execution | Spread% | 41.3% |
| Score | Composite Score | 74.7 |
Failed Snapshot
- APPX — not-uptrend
- TECL — not-uptrend, ret20<0.0%
- ALTO — em<$5.0
- ETHD — not-uptrend, ret20<0.0%
- AXTI — em<$5.0
- AIRS — not-uptrend, em<$5.0
- CRCG — em<$5.0
- REPX — optvol<500, optoi<1000
- CVGI — em<$5.0, optvol<500
- GEVO — em<$5.0
- CGON — optvol<500
- TSLS — not-uptrend, ret20<0.0%, optvol<500
- MLPX — atr14%<4.0, optvol<500, optoi<1000
- CONL — not-uptrend, em<$5.0
- FLY — not-uptrend, em<$5.0
Desk Notes
The final ranking intentionally rewards high IV + strong trend + liquidity + active options.