Screening Report

Updated: 2026-03-09 22:13:2418:14 MYT Source File: screen-report-20260309-215158.221754.md

High IV / Uptrend Screen

Generated: 2026-03-09 09:5110:17 PM Universe: 3 Top N: 10

Executive Summary

NoThis screen highlights high-implied-volatility, short-term momentum names passedtrading allbelow hard$200. filtersCurrent inleader: thisAAOI run.with Thatscore usually72.4, meansnear-expiry theATM currentIV market142.1%, setand isexpected failingmove on trend, IV, liquidity, or option activity.$13.40.

Screening Rules

• Spot price < 100200
• Trend = uptrend only
• Near-expiry ATM IV > 120%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

NoTrading matches found.thesis: Trynear-break, looseningmomentum, ADV20$,large-em

ATR14%,optionvolume/OI,or filters.

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

• AAOI — iv<120%
• VXX — iv<120%
• ASTS — not-uptrend, ret20<0.0%, iv<120%

Desk Notes

1. This is a short-term opportunity screen, not a valuation screen.
2. Expected move uses the ATM straddle when available; otherwise it falls back to IV × sqrt(T).
3. ATR14%, option volume, option OI, and spread are included so the screen favors names that both move well and are more tradable.

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