Stocks Watch-list for Trading On Nov 07, 2019

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Screening Methodology - Strong Stocks Scanner

Everyday our Strong Stocks Scanner sifts through an entire universe of stocks traded on NYSE and NASDAQ. Some of the important parameters used to scan are:

  1. Relative Performance of the stock vis-a-vis S&P 500 ($SPX) index is at least more than 10% in previous 52 weeks.
  2. There are no corporate events such as earnings, major news etc in next 5 days.
  3. Volume Weighted Average Price (VWAP) is increasing steadily over multiple time frames.
  4. Frequency of higher lows is more than that of lower lows
  5. VWAP and Lower highs has more weight than highs
  6. Number of stocks traded previous day > 500,000
  7. Number of options traded previous day > 500

Candidates screened with above criteria have higher probability of bouncing back on every pull back. Important word is probability. It is not a prediction.With these edges lined up, ATM call, though it has 50 delta will have higher probability of price appreciation. Our trading system/algorithm is heavily skewed towards capital preservation.

Screening Methodology - Weak Stocks Scanner

Some of the important parameters used for Weak Stocks Scanner are:

  1. Relative Performance of the stock vis-a-vis S&P 500 ($SPX) index is at least less than 10% in previous 52 weeks.
  2. There are no corporate events such as earnings, major news etc in next 5 days.
  3. Volume Weighted Average Price (VWAP) is decreasing steadily over multiple time frames.
  4. Number of stocks traded previous day > 500,000
  5. Number of options traded previous day > 500

Candidates screened with above criteria have higher probability of going down on every reaction rally. Important word is probability. It is not a prediction. With these edges lined up, ATM put with 50 delta will have higher probability of price appreciation. Our trading system/algorithm is heavily skewed towards capital preservation. 

Screening Methodology - Low IV Stocks Scanner

Some of the important parameters used for Low IV Stocks Scanner are:

  1. Average Implied Volatility of options is less than preset threshold, which is in normal time <25%. However it is adjusted based on overall IV on all stocks and VIX.
  2. IV Percentile is less than preset threshold (normally 40)
  3. Number of stocks traded previous day > 500,000
  4. Number of options traded previous day > 500

Screening Methodology - High IV Stocks Scanner

Some of the important parameters used for Low IV Stocks Scanner are:

  1. Average Implied Volatility of options is more than preset threshold, which is in normal time >50%. However it is adjusted based on overall IV on all stocks and VIX.
  2. IV Percentile is less than preset threshold (normally 80)
  3. Number of stocks traded previous day > 500,000
  4. Number of options traded previous day > 500