Screening Report
Updated: 2026-03-24 08:42:49 MYT Source File:
screen-report-20260324-084249.mdGenerated: 2026-03-24 08:42 AM Universe: 10307 Top N: 10
Executive Summary
This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: AAOI with score 67.3, near-expiry ATM IV 127.4%, and expected move $11.40.
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 | 67.3 | call-flow, cleaner-spread, momentum, large-em | 95.76 | 127.4% | 11.40 | 14.7% | 1.26B | 24.9K | 33.4K | 14.0% |
| 02 | USO | 58.5 | cleaner-spread, momentum | 110.56 | 123.7% | 8.10 | 8.6% | 6.70B | 93.7K | 61.1K | 7.4% |
| 03 | UVXY | 56.9 | call-flow, cleaner-spread, momentum, large-em | 49.88 | 133.3% | 5.55 | 12.8% | 481.69M | 22.8K | 40.5K | 19.6% |
Analyst Breakdown
01 AAOI
Trading thesis: call-flow, cleaner-spread, momentum, large-em
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 95.76 |
| Options | ATM IV | 127.4% |
| Options | Expected Move | $11.40 (11.9%) |
| Options | Expiry / DTE | 2026-03-27 / 3D |
| Trend | EMA20 / EMA50 | 89.36 / 70.15 |
| Trend | R20 / R60 | 77.5% / 135.6% |
| Trend | Distance to 20D breakout | 32.6% |
| Risk | HV20 | 246.1% |
| Risk | ATR14% | 14.7% |
| Liquidity | ADV20$ | 1.26B |
| Options | Call/Put Vol Ratio | 2.95 |
| Options | Call/Put OI Ratio | 1.37 |
| Options | Total Option Volume | 24.9K |
| Options | Total Option OI | 33.4K |
| Execution | Spread% | 14.0% |
| Score | Composite Score | 67.3 |
02 USO
Trading thesis: cleaner-spread, momentum
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 110.56 |
| Options | ATM IV | 123.7% |
| Options | Expected Move | $8.10 (7.3%) |
| Options | Expiry / DTE | 2026-03-25 / 1D |
| Trend | EMA20 / EMA50 | 105.55 / 91.97 |
| Trend | R20 / R60 | 36.7% / 57.3% |
| Trend | Distance to 20D breakout | 10.0% |
| Risk | HV20 | 75.8% |
| Risk | ATR14% | 8.6% |
| Liquidity | ADV20$ | 6.70B |
| Options | Call/Put Vol Ratio | 0.98 |
| Options | Call/Put OI Ratio | 0.74 |
| Options | Total Option Volume | 93.7K |
| Options | Total Option OI | 61.1K |
| Execution | Spread% | 7.4% |
| Score | Composite Score | 58.5 |
03 UVXY
Trading thesis: call-flow, cleaner-spread, momentum, large-em
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 49.88 |
| Options | ATM IV | 133.3% |
| Options | Expected Move | $5.55 (11.1%) |
| Options | Expiry / DTE | 2026-03-27 / 3D |
| Trend | EMA20 / EMA50 | 46.65 / 43.63 |
| Trend | R20 / R60 | 21.7% / 34.9% |
| Trend | Distance to 20D breakout | 8.5% |
| Risk | HV20 | 142.6% |
| Risk | ATR14% | 12.8% |
| Liquidity | ADV20$ | 481.69M |
| Options | Call/Put Vol Ratio | 1.93 |
| Options | Call/Put OI Ratio | 2.64 |
| Options | Total Option Volume | 22.8K |
| Options | Total Option OI | 40.5K |
| Execution | Spread% | 19.6% |
| Score | Composite Score | 56.9 |
Failed Snapshot
- AXTI — dte>10
- BWET — dte>10, optvol<500, optoi<1000
- UVIX — em<$5.0
- CRCA — dte>10, optvol<500, optoi<1000
- MAZE — dte>10, optvol<500
- NEBX — dte>10
- NVDU — not-uptrend, ret20<0.0%, dte>10
- ASTX — not-uptrend, dte>10
- ZSL — not-uptrend, em<$5.0
- AIRS — not-uptrend, dte>10, em<$5.0
- TSEM — dte>10, iv<120%
- SOLT — not-uptrend, dte>10
- UCO — dte>10
- CRCL — iv<120%
- CIEN — spot>=200.00, iv<120%
Desk Notes
The final ranking intentionally rewards high IV + strong trend + liquidity + active options.