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Screening Report

Updated: 2026-03-0910 22:18:1402:24:45 MYT Source File: screen-report-20260309-221754.20260310-022444.md Generated: 2026-03-0910 10:1702:24 PMAM Universe: 310275 Top N: 10

Executive Summary

This screen highlights high-implied-volatility, short-term momentum names trading below $200100. Current leader: AAOIUCO with score 72.490.0, near-expiry ATM IV 142.1%206.7%, and expected move $13.4010.45.

Screening Rules

  • Spot price < 200100
  • Trend = uptrend only
  • Near-expiry ATM IV > 50%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

# Symbol Score Thesis Spot IV1 EM $ EM % Expiry DTE R20 ATR14% ADV20$ Opt Vol Opt OI Spread%
01 UCO90.0call-flow, cleaner-spread, momentum, large-em35.32206.7%10.4529.6%2026-03-201053.8%5.2%280.79M18.2K39.1K6.7%
02AAOI 72.474.7 call-flow, near-break, momentum, large-em 101.2899.92 142.1%143.2% 13.4035 13.2%4% 2026-03-13 4 128.125.6% 11.2%4% 844.45M841.28M 4.5.7K 15.8K 29.9%24.7%
0203 VXXUVXY 61.354.8 call-flow, momentum, large-em, ultra-ivem 36.9950.67 166.1%141.8% 5.6.73 15.5%13.3% 2026-03-13 43 33.9%35.8% 5.6%9.2% 453.85M507.25M 10.19.2K36.6K 55.6K23.9%24.4%

Analyst Breakdown

#01 UCO

Trading thesis: call-flow, cleaner-spread, momentum, large-em

CategoryMetricValue
PriceSpot35.32
OptionsATM IV206.7%
OptionsExpected Move$10.45 (29.6%)
OptionsExpiry / DTE2026-03-20 / 10D
TrendEMA20 / EMA5027.18 / 24.30
TrendR20 / R6053.8% / 76.8%
TrendDistance to 20D breakout0.0%
RiskHV2060.2%
RiskATR14%5.2%
LiquidityADV20$280.79M
OptionsCall/Put Vol Ratio3.53
OptionsCall/Put OI Ratio2.48
OptionsTotal Option Volume18.2K
OptionsTotal Option OI39.1K
ExecutionSpread%6.7%
ScoreComposite Score90.0

#02 AAOI

Trading thesis: call-flow, near-break, momentum, large-em

Category Metric Value
Price Spot 101.2899.92
Options ATM IV 142.1%143.2%
Options Expected Move $13.4035 (13.2%4%)
Options Expiry / DTE 2026-03-13 / 4D
Trend EMA20 / EMA50 72.8572 / 55.1812
Trend R20 / R60 128.125.6% / 233.4%228.9%
Trend Distance to 20D breakout 1.2%2.6%
Risk HV20 218.2%
Risk ATR14% 11.2%4%
Liquidity ADV20$ 844.45M841.28M
Options Call/Put Vol Ratio 0.891.88
Options Call/Put OI Ratio 0.64
Options Total Option Volume 4.5.7K
Options Total Option OI 15.8K
Execution Spread% 29.9%24.7%
Score Composite Score 72.474.7

#02#03 VXXUVXY

Trading thesis: call-flow, momentum, large-em, ultra-ivem

Category Metric Value
Price Spot 36.9950.67
Options ATM IV 166.1%141.8%
Options Expected Move $5.6.73 (15.5%13.3%)
Options Expiry / DTE 2026-03-13 / 4D3D
Trend EMA20 / EMA50 30.1541.89 / 29.3040.91
Trend R20 / R60 33.9%35.8% / 18.4%10.3%
Trend Distance to 20D breakout 0.0%6.7%
Risk HV20 67.8%107.5%
Risk ATR14% 5.6%9.2%
Liquidity ADV20$ 453.85M507.25M
Options Call/Put Vol Ratio 1.4243
Options Call/Put OI Ratio 1.492.10
Options Total Option Volume 10.6K19.2K
Options Total Option OI 55.36.6K
Execution Spread% 23.9%24.4%
Score Composite Score 61.354.8

Failed Snapshot

  • ASTSCRCA — not-uptrend
  • AXTI — dte>10
  • USO — spot>=100.00
  • BWET — adv20$<8.00M, optvol<500, optoi<1000
  • UVIX — em<$5.0
  • KORU — spot>=100.00, not-uptrend, ret20<0.0%
  • JDST — not-uptrend, ret20<0.0%
  • MULL — spot>=100.00, not-uptrend, ret20<0.0%, dte>10
  • ASTX — not-uptrend, ret20<0.0%
  • BE — spot>=100.00, not-uptrend
  • SOLT — not-uptrend, ret20<0.0%
  • RCAT — em<$5.0
  • REPX — atr14%<4.0, optvol<500
  • ETHD — not-uptrend, ret20<0.0%
  • HRI — spot>=100.00, not-uptrend, ret20<0.0%, optvol<500

Desk Notes

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

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