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Screening Report

Updated: 2026-03-23 08:42:48 MYT Source File: screen-report-20260323-084247.md Generated: 2026-03-23 08:42 AM Universe: 10305 Top N: 10

Executive Summary

This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: UVXY with score 88.6, near-expiry ATM IV 182.6%, and expected move $9.20.

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 UVXY 88.6 call-flow, cleaner-spread, momentum, large-em 54.10 182.6% 9.20 12.0% 525.58M 20.6K 30.3K 15.2%
02 USO 61.3 cleaner-spread, near-break, momentum, large-em 121.43 121.5% 10.65 7.4% 6.84B 49.6K 34.2K 6.6%
03 LQDA 29.4 call-flow, wide-spread, large-em 36.41 135.5% 5.05 6.2% 63.10M 1.5K 6.2K 120.8%

Analyst Breakdown

01 UVXY

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

Category Metric Value
Price Spot 54.10
Options ATM IV 182.6%
Options Expected Move $9.20 (17.0%)
Options Expiry / DTE 2026-03-27 / 4D
Trend EMA20 / EMA50 46.31 / 43.38
Trend R20 / R60 40.3% / 47.0%
Trend Distance to 20D breakout 0.0%
Risk HV20 139.5%
Risk ATR14% 12.0%
Liquidity ADV20$ 525.58M
Options Call/Put Vol Ratio 2.72
Options Call/Put OI Ratio 2.68
Options Total Option Volume 20.6K
Options Total Option OI 30.3K
Execution Spread% 15.2%
Score Composite Score 88.6

02 USO

Trading thesis: cleaner-spread, near-break, momentum, large-em

Category Metric Value
Price Spot 121.43
Options ATM IV 121.5%
Options Expected Move $10.65 (8.8%)
Options Expiry / DTE 2026-03-25 / 2D
Trend EMA20 / EMA50 105.02 / 91.21
Trend R20 / R60 50.2% / 74.1%
Trend Distance to 20D breakout 0.2%
Risk HV20 65.6%
Risk ATR14% 7.4%
Liquidity ADV20$ 6.84B
Options Call/Put Vol Ratio 0.67
Options Call/Put OI Ratio 0.89
Options Total Option Volume 49.6K
Options Total Option OI 34.2K
Execution Spread% 6.6%
Score Composite Score 61.3

03 LQDA

Trading thesis: call-flow, wide-spread, large-em

Category Metric Value
Price Spot 36.41
Options ATM IV 135.5%
Options Expected Move $5.05 (13.9%)
Options Expiry / DTE 2026-03-27 / 4D
Trend EMA20 / EMA50 36.23 / 36.02
Trend R20 / R60 8.4% / 1.8%
Trend Distance to 20D breakout 6.6%
Risk HV20 64.7%
Risk ATR14% 6.2%
Liquidity ADV20$ 63.10M
Options Call/Put Vol Ratio 1.38
Options Call/Put OI Ratio 2.92
Options Total Option Volume 1.5K
Options Total Option OI 6.2K
Execution Spread% 120.8%
Score Composite Score 29.4

Failed Snapshot

  • NEBX — dte>10
  • UVIX — em<$5.0
  • AXTI — dte>10
  • BWET — dte>10, optvol<500, optoi<1000
  • ASTX — not-uptrend, dte>10
  • CRCA — dte>10, optvol<500, optoi<1000
  • AAOI — not-uptrend
  • AGQ — not-uptrend, ret20<0.0%
  • MAZE — not-uptrend, dte>10, optvol<500
  • TSEM — dte>10, iv<120%
  • HIMZ — not-uptrend, dte>10
  • KORU — spot>=200.00, not-uptrend, ret20<0.0%, dte>10
  • IDYA — not-uptrend, dte>10
  • CRCG — dte>10, em<$5.0, optvol<500
  • CRCL — iv<120%

Desk Notes

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

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