Screening Report
Updated: 2026-03-25 08:42:51 MYT Source File:
screen-report-20260325-084250.mdGenerated: 2026-03-25 08:42 AM Universe: 10310 Top N: 10
Executive Summary
This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: AAOI with score 73.6, near-expiry ATM IV 133.5%, and expected move $12.70.
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 | 73.6 | call-flow, cleaner-spread, momentum, large-em | 113.90 | 133.5% | 12.70 | 13.0% | 1.57B | 42.8K | 37.9K | 14.2% |
| 02 | UVXY | 64.4 | call-flow, momentum, large-em | 51.56 | 153.2% | 5.75 | 12.4% | 497.77M | 13.2K | 42.4K | 37.4% |
Analyst Breakdown
01 AAOI
Trading thesis: call-flow, cleaner-spread, momentum, large-em
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 113.90 |
| Options | ATM IV | 133.5% |
| Options | Expected Move | $12.70 (11.2%) |
| Options | Expiry / DTE | 2026-03-27 / 2D |
| Trend | EMA20 / EMA50 | 91.69 / 71.86 |
| Trend | R20 / R60 | 102.4% / 177.8% |
| Trend | Distance to 20D breakout | 11.5% |
| Risk | HV20 | 251.6% |
| Risk | ATR14% | 13.0% |
| Liquidity | ADV20$ | 1.57B |
| Options | Call/Put Vol Ratio | 1.76 |
| Options | Call/Put OI Ratio | 1.48 |
| Options | Total Option Volume | 42.8K |
| Options | Total Option OI | 37.9K |
| Execution | Spread% | 14.2% |
| Score | Composite Score | 73.6 |
02 UVXY
Trading thesis: call-flow, momentum, large-em
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 51.56 |
| Options | ATM IV | 153.2% |
| Options | Expected Move | $5.75 (11.1%) |
| Options | Expiry / DTE | 2026-03-27 / 2D |
| Trend | EMA20 / EMA50 | 47.12 / 43.94 |
| Trend | R20 / R60 | 33.1% / 39.8% |
| Trend | Distance to 20D breakout | 4.9% |
| Risk | HV20 | 140.6% |
| Risk | ATR14% | 12.4% |
| Liquidity | ADV20$ | 497.77M |
| Options | Call/Put Vol Ratio | 1.46 |
| Options | Call/Put OI Ratio | 2.54 |
| Options | Total Option Volume | 13.2K |
| Options | Total Option OI | 42.4K |
| Execution | Spread% | 37.4% |
| Score | Composite Score | 64.4 |
Failed Snapshot
- UVIX — em<$5.0
- AXTI — dte>10
- MAZE — dte>10, optvol<500
- BWET — dte>10, optvol<500, optoi<1000
- CRCA — not-uptrend, dte>10, optvol<500, optoi<1000
- NEBX — dte>10, optvol<500
- KORU — spot>=200.00, not-uptrend, ret20<0.0%, dte>10
- AIRS — not-uptrend, dte>10, em<$5.0
- TSEM — dte>10, iv<120%
- SOLT — not-uptrend, dte>10
- ASTX — not-uptrend, ret20<0.0%, dte>10
- VRDN — not-uptrend, ret20<0.0%, dte>10
- TVTX — not-uptrend, ret20<0.0%, dte>10
- TRON — adv20$<8.00M, dte>10, em<$5.0
- SNDK — spot>=200.00, iv<120%
Desk Notes
The final ranking intentionally rewards high IV + strong trend + liquidity + active options.