Screening Report
Updated: 2026-03-20 15:42:59 MYT Source File:
screen-report-20260320-154259.mdGenerated: 2026-03-20 03:42 PM Universe: 10301 Top N: 10
Executive Summary
This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: AAOI with score 60.1, near-expiry ATM IV 144.4%, and expected move $6.15.
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 | 60.1 | call-flow, momentum | 101.92 | 144.4% | 6.15 | 14.7% | 1.30B | 24.3K | 83.1K | 40.7% |
Analyst Breakdown
01 AAOI
Trading thesis: call-flow, momentum
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 101.92 |
| Options | ATM IV | 144.4% |
| Options | Expected Move | $6.15 (6.0%) |
| Options | Expiry / DTE | 2026-03-20 / 0D |
| Trend | EMA20 / EMA50 | 88.80 / 68.35 |
| Trend | R20 / R60 | 116.9% / 225.4% |
| Trend | Distance to 20D breakout | 24.6% |
| Risk | HV20 | 237.4% |
| Risk | ATR14% | 14.7% |
| Liquidity | ADV20$ | 1.30B |
| Options | Call/Put Vol Ratio | 2.09 |
| Options | Call/Put OI Ratio | 1.31 |
| Options | Total Option Volume | 24.3K |
| Options | Total Option OI | 83.1K |
| Execution | Spread% | 40.7% |
| Score | Composite Score | 60.1 |
Failed Snapshot
- CRCG — em<$5.0
- TECL — not-uptrend, ret20<0.0%
- APPX — not-uptrend
- AXTI — em<$5.0
- CVGI — em<$5.0, optvol<500
- RRC — atr14%<4.0, optoi<1000
- ALTO — em<$5.0
- MSTX — iv<120%
- REPX — optvol<500, optoi<1000
- BCRX — em<$5.0
- CGON — optvol<500
- TSLS — not-uptrend, ret20<0.0%, optvol<500
- DAWN — em<$5.0
- AIRS — not-uptrend, em<$5.0
- GEVO — em<$5.0, optvol<500
Desk Notes
The final ranking intentionally rewards high IV + strong trend + liquidity + active options.