01. Architecture of the Advanced Market Screener
The National Stock Exchange (NSE) features over 200 liquid equity derivatives (F&O) underlyings. Scanning these assets manually for trading setups is impossible during active market hours.
The Arkenwell Advanced Market Screener is a high-speed professional multi-factor scanner that monitors all listed F&O equities simultaneously. It combines core technical price action, implied volatility metrics, dealer exposure shifts, and statistical co-integration into a unified, sortable screening engine.
02. Technical Indicator Layer
The screener continuously computes foundational technical metrics for every constituent:
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Moving Average Alignment: Price vs. MA20, MA50, and MA200 benchmarks to identify primary stage trends.
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EMA Crossover: Real-time identification of golden crosses and death crosses.
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VWAP Position: Whether current price trades above or below the Volume-Weighted Average Price, confirming intraday buyer versus seller control.
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52-Week High/Low Proximity: Percentage distance to 52-week peak and trough levels.
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Average True Range (ATR & ATR%): Quantifying intraday volatility expansion versus contraction.
03. Derivatives Intelligence Layer
Unlike standard stock screeners that only look at price and volume, Arkenwell embeds derivatives telemetry directly into every row:
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Stock IV, IV Rank (IVR) & IV Percentile (IVP): Gauging whether option premiums are historically elevated or compressed.
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Net GEX & DEX (in ₹ Crores): Identifying equities where options dealers hold significant gamma or delta exposure.
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Volume Surge: Multipliers flagging unusual turnover spikes relative to 30-day moving averages.
04. Futures Buildup Classification
Every constituent is classified into its active open interest cycle:
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Long Buildup: Price up, Open Interest up. Confirms aggressive new buyers entering futures contracts.
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Short Buildup: Price down, Open Interest up. Confirms aggressive short sellers driving down prices.
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Short Covering: Price up, Open Interest down. Temporary short-covering rallies that often fade.
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Long Unwinding: Price down, Open Interest down. Long liquidation; support levels failing.
05. Kalman Co-Integration Z-Scores & Volatility Cones
Kalman Z-Score: Evaluates how far an equity has drifted from its statistical co-integration relationship with sector peers or benchmark indices. A Z-score exceeding +2.0 or -2.0 highlights strong mean-reversion candidates.
Volatility Cones (7d, 30d, 90d): Real-time upper and lower dispersion bands indicating expected price travel over rolling weekly, monthly, and quarterly horizons.
06. High-Conviction Desk Screening Recipes
Desks deploy proven multi-factor screening filters:
1. Gamma Squeeze Recipe: Filter for
Price > VWAP + Volume Surge > 2.0x + Net GEX < 0 (Short Gamma) + Short Covering / Long Buildup. Flags stocks ready for explosive dealer-assisted squeezes.2. Volatility Crush / Premium Selling Recipe: Filter for
IV Rank > 80 + ATR Contraction + Price near MA50. Flags stocks with overpriced options ideal for credit spreads.3. Mean-Reversion Stat-Arb Recipe: Filter for
Kalman Z-Score < -2.2 + Relative Strength > 60 + Futures Basis in Contango. Identifies oversold equities primed for a sharp mean-reversion bounce.07. Column Customization & Data Export
The screener supports rapid interaction:
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Sort any column in ascending or descending order with a single click.
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Instant search box to filter by ticker symbol or sector group.
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One-click CSV Export to download the complete multi-factor dataset for custom offline quantitative modeling.
08. Common Pitfalls vs. Reality
* Misconception: The stock with the highest percentage gain of the day is the best momentum buy.
* Reality: Top gainers often represent low-liquidity illiquid names experiencing short-covering spikes that reverse violently the following morning. Always check Futures Buildup and Volume Surge before chasing moves.
* Misconception: High IV Rank means you should immediately sell calls.
* Reality: IV Rank spikes preceding major earnings or regulatory events can expand even higher. Verify the economic calendar before selling premium blindly.
09. Arkenwell Terminal Integration
In the live terminal:
1. Open MARKETS → NSE Screener (press
Shift + 4 then 3).2. Use the preset chips or filter dropdowns to select your target sector or liquidity threshold.
3. Click any row to view its mini-chart, key quant metrics, and direct options positioning snapshot.
4. Click the chart icon on any symbol row to launch the full Interactive Advanced Charting modal.
10. Professional Takeaways
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The Advanced Market Screener bridges technical price action with derivatives positioning across 200+ F&O stocks.
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Combining futures buildup with IV Rank eliminates false technical breakouts.
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Kalman Z-scores identify statistical pair and basket trading opportunities.
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Automated screening saves hours of manual chart checking every morning.
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