Screening Report
Updated: 2026-03-20 08:43:01 MYT Source File:
screen-report-20260320-084300.mdGenerated: 2026-03-20 08:43 AM Universe: 10301 Top N: 10
Executive Summary
This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: CRCA with score 65.9, near-expiry ATM IV 164.3%, and expected move $5.55.
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 | CRCA | 65.9 | call-flow, wide-spread, momentum, ultra-iv | 81.99 | 164.3% | 5.55 | 12.9% | 137.04M | 1.5K | 6.5K | 67.6% |
| 02 | TERN | 59.0 | call-flow, wide-spread, momentum, large-em | 49.06 | 210.2% | 5.10 | 5.6% | 110.19M | 762 | 7.4K | 184.3% |
| 03 | MAZE | 58.8 | call-flow, wide-spread, large-em, ultra-iv | 49.43 | 189.4% | 5.58 | 6.8% | 26.76M | 547 | 1.3K | 122.9% |
Analyst Breakdown
01 CRCA
Trading thesis: call-flow, wide-spread, momentum, ultra-iv
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 81.99 |
| Options | ATM IV | 164.3% |
| Options | Expected Move | $5.55 (6.8%) |
| Options | Expiry / DTE | 2026-03-20 / 0D |
| Trend | EMA20 / EMA50 | 60.52 / 50.15 |
| Trend | R20 / R60 | 272.7% / 70.1% |
| Trend | Distance to 20D breakout | 7.0% |
| Risk | HV20 | 275.8% |
| Risk | ATR14% | 12.9% |
| Liquidity | ADV20$ | 137.04M |
| Options | Call/Put Vol Ratio | 4.40 |
| Options | Call/Put OI Ratio | 9.22 |
| Options | Total Option Volume | 1.5K |
| Options | Total Option OI | 6.5K |
| Execution | Spread% | 67.6% |
| Score | Composite Score | 65.9 |
02 TERN
Trading thesis: call-flow, wide-spread, momentum, large-em
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 49.06 |
| Options | ATM IV | 210.2% |
| Options | Expected Move | $5.10 (10.4%) |
| Options | Expiry / DTE | 2026-03-20 / 0D |
| Trend | EMA20 / EMA50 | 44.07 / 40.20 |
| Trend | R20 / R60 | 24.4% / 23.0% |
| Trend | Distance to 20D breakout | 0.0% |
| Risk | HV20 | 38.5% |
| Risk | ATR14% | 5.6% |
| Liquidity | ADV20$ | 110.19M |
| Options | Call/Put Vol Ratio | 1.05 |
| Options | Call/Put OI Ratio | 1.30 |
| Options | Total Option Volume | 762 |
| Options | Total Option OI | 7.4K |
| Execution | Spread% | 184.3% |
| Score | Composite Score | 59.0 |
03 MAZE
Trading thesis: call-flow, wide-spread, large-em, ultra-iv
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 49.43 |
| Options | ATM IV | 189.4% |
| Options | Expected Move | $5.58 (11.3%) |
| Options | Expiry / DTE | 2026-03-20 / 0D |
| Trend | EMA20 / EMA50 | 48.05 / 45.42 |
| Trend | R20 / R60 | 9.7% / 18.5% |
| Trend | Distance to 20D breakout | 4.9% |
| Risk | HV20 | 61.5% |
| Risk | ATR14% | 6.8% |
| Liquidity | ADV20$ | 26.76M |
| Options | Call/Put Vol Ratio | 33.19 |
| Options | Call/Put OI Ratio | 1.88 |
| Options | Total Option Volume | 547 |
| Options | Total Option OI | 1.3K |
| Execution | Spread% | 122.9% |
| Score | Composite Score | 58.8 |
Failed Snapshot
- SOC — em<$5.0
- RRC — atr14%<4.0
- TECL — not-uptrend, ret20<0.0%
- UVIX — em<$5.0
- IONX — not-uptrend, optvol<500
- APPX — not-uptrend
- PBF — em<$5.0
- PL — em<$5.0
- REPX — optvol<500
- CVGI — em<$5.0, optvol<500
- UAMY — not-uptrend, em<$5.0
- HIMZ — iv<120%
- JDST — not-uptrend
- TECX — optvol<500
- MSTX — iv<120%
Desk Notes
The final ranking intentionally rewards high IV + strong trend + liquidity + active options.