Screening Report
Updated: 2026-03-09 22:13:24 MYT Source File:
screen-report-20260309-215158.md
High IV / Uptrend Screen
Generated: 2026-03-09 09:51 PM Universe: 3 Top N: 10
Executive Summary
No names passed all hard filters in this run. That usually means the current market set is failing on trend, IV, liquidity, or option activity.
Screening Rules
- Spot price <
100 - Trend = uptrend only
- Near-expiry ATM IV >
120% - Expected move >=
$5 - DTE <=
10 - ADV20$ >=
8.00M - ATR14% >=
4.0 - Option volume >=
500 - Option OI >=
1000
Ranking Model
Score = IV convexity + expected move + trend strength + liquidity + option activity - spread penalty
Top Results
No matches found. Try loosening ADV20$, ATR14%, option volume/OI, or DTE filters.
Failed Snapshot
- AAOI — iv<120%
- VXX — iv<120%
- ASTS — not-uptrend, ret20<0.0%, iv<120%
Desk Notes
- This is a short-term opportunity screen, not a valuation screen.
- Expected move uses the ATM straddle when available; otherwise it falls back to IV × sqrt(T).
- ATR14%, option volume, option OI, and spread are included so the screen favors names that both move well and are more tradable.
- The final ranking intentionally rewards high IV + strong trend + liquidity + active options.