Screening Report
Updated: 2026-03-09 22:18:14 MYT Source File:
screen-report-20260309-221754.mdGenerated: 2026-03-09 10:17 PM Universe: 3 Top N: 10
Executive Summary
This screen highlights high-implied-volatility, short-term momentum names trading below $200. Current leader: AAOI with score 72.4, near-expiry ATM IV 142.1%, and expected move $13.40.
Screening Rules
- Spot price <
200 - Trend = uptrend only
- Near-expiry ATM IV >
50% - 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
| # | Symbol | Score | Thesis | Spot | IV1 | EM $ | EM % | Expiry | DTE | R20 | ATR14% | ADV20$ | Opt Vol | Opt OI | Spread% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 01 | AAOI | 72.4 | near-break, momentum, large-em | 101.28 | 142.1% | 13.40 | 13.2% | 2026-03-13 | 4 | 128.6% | 11.2% | 844.45M | 4.7K | 15.8K | 29.9% |
| 02 | VXX | 61.3 | call-flow, momentum, large-em, ultra-iv | 36.99 | 166.1% | 5.73 | 15.5% | 2026-03-13 | 4 | 33.9% | 5.6% | 453.85M | 10.6K | 55.6K | 23.9% |
Analyst Breakdown
#01 AAOI
Trading thesis: near-break, momentum, large-em
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 101.28 |
| Options | ATM IV | 142.1% |
| Options | Expected Move | $13.40 (13.2%) |
| Options | Expiry / DTE | 2026-03-13 / 4D |
| Trend | EMA20 / EMA50 | 72.85 / 55.18 |
| Trend | R20 / R60 | 128.6% / 233.4% |
| Trend | Distance to 20D breakout | 1.2% |
| Risk | HV20 | 218.2% |
| Risk | ATR14% | 11.2% |
| Liquidity | ADV20$ | 844.45M |
| Options | Call/Put Vol Ratio | 0.89 |
| Options | Call/Put OI Ratio | 0.64 |
| Options | Total Option Volume | 4.7K |
| Options | Total Option OI | 15.8K |
| Execution | Spread% | 29.9% |
| Score | Composite Score | 72.4 |
#02 VXX
Trading thesis: call-flow, momentum, large-em, ultra-iv
| Category | Metric | Value |
|---|---|---|
| Price | Spot | 36.99 |
| Options | ATM IV | 166.1% |
| Options | Expected Move | $5.73 (15.5%) |
| Options | Expiry / DTE | 2026-03-13 / 4D |
| Trend | EMA20 / EMA50 | 30.15 / 29.30 |
| Trend | R20 / R60 | 33.9% / 18.4% |
| Trend | Distance to 20D breakout | 0.0% |
| Risk | HV20 | 67.8% |
| Risk | ATR14% | 5.6% |
| Liquidity | ADV20$ | 453.85M |
| Options | Call/Put Vol Ratio | 1.42 |
| Options | Call/Put OI Ratio | 1.49 |
| Options | Total Option Volume | 10.6K |
| Options | Total Option OI | 55.6K |
| Execution | Spread% | 23.9% |
| Score | Composite Score | 61.3 |
Failed Snapshot
- ASTS — not-uptrend, ret20<0.0%
Desk Notes
The final ranking intentionally rewards high IV + strong trend + liquidity + active options.