{"id":1492964,"date":"2024-09-30T01:00:00","date_gmt":"2024-09-30T05:00:00","guid":{"rendered":"https:\/\/bugaluu.com\/news\/?p=1492964"},"modified":"2024-09-30T01:00:00","modified_gmt":"2024-09-30T05:00:00","slug":"what-will-happen-tomorrow-jpm-collar-trade","status":"publish","type":"post","link":"https:\/\/bugaluu.com\/news\/what-will-happen-tomorrow-jpm-collar-trade\/1492964\/","title":{"rendered":"What Will Happen Tomorrow – JPM Collar Trade?"},"content":{"rendered":"

What Will Happen Tomorrow – JPM Collar Trade?<\/span><\/p>\n

\n

Via SpotGamma.com,<\/em><\/a><\/p>\n

Equities this past week have been\u00a0very<\/em>\u00a0quiet, <\/strong>with the SPX having a range of only 0.75% over the last 6 sessions.<\/p>\n

\u00a0<\/p>\n

In fact, the 0DTE SPX at-the-money straddle on Friday, in front of a key Core PCE data print, was a\u00a0paltry<\/em>\u00a0$25.5 (45bps).<\/p>\n

That pricing is as low as it gets, reflecting that traders\u00a0think<\/em>\u00a0that markets will continue to do\u2026 nothing.<\/p>\n

But here at SpotGamma, we think that is all about to change\u2026 <\/em><\/p>\n

\u00a0<\/p>\n

\u2026 AND we have a brand new way for you to watch it change AS IT HAPPENS.<\/p>\n

Why this change?<\/strong><\/p>\n

Enter, the infamous JPM Collar Trade.<\/p>\n

In what might be the most well-known option trade in existence, each quarter a large JPM Hedge Fund (JHEQX), sells ~40k contracts of an out-of-the-money call to fund a long put spread.<\/p>\n

In this case, the call they are currently (heavily<\/em>) short is:<\/p>\n

40k contracts at the 5,750 strike, expiring tomorrow, Monday, 9\/30.<\/p>\n

That 40k short call position means dealers are long a literal\u00a0ton of Gamma,\u00a0<\/strong>which you can see on our brand new TRACE heatmap and strike plot, below.<\/p>\n

<\/a><\/p>\n

TRACE is powered by SpotGamma\u2019s new proprietary open interest models, allowing us to show you the latest in dealer hedging flows \u2013\u00a0flows that update throughout the day<\/strong>.<\/p>\n

You see the changes\u00a0as they happen.<\/em><\/p>\n

This means that on Monday, when the existing JPM position(s) are closed, and rolled to new December strikes, you\u2019ll be able to see it happen. <\/strong><\/p>\n

Further, you\u2019ll see how it changes the dealer hedging position.<\/p>\n

What does this matter?<\/p>\n

We believe these trades will lead to a pickup in S&P 500 volatility.<\/strong><\/p>\n

Here\u2019s why.<\/p>\n

If one believes that positive Gamma is linked to low volatility <\/strong>(which we do), then the\u00a0removal<\/em>\u00a0of a giant blanket of positive Gamma (AKA JPM\u2019s short call) should open the door for volatility.<\/p>\n

This is exactly what is set to happen on Monday, as the current JPM call is going to be closed and “rolled up and out.”<\/p>\n

The implication is then, that the new call is going to be changed to a ~5% higher strike, out in Dec ’24. That is far less positive Gamma in the new position vs. the current position, expiring tomorrow.<\/strong><\/p>\n

Therefore, this expiration should allow for volatility (i.e. market movement) to expand, suggesting that starting Monday, the SPX will start moving and we\u2019ll be relying on TRACE to show us the way.<\/p>\n

If YOU want TRACE in your corner as this change happens – in real time – then the time is now to sign up for our \u201cAlpha\u201d plan, which includes TRACE access PLUS a whole host of other real-time indicators and volatility tools.<\/em><\/a><\/p>\n<\/div>\n

Tyler Durden<\/a><\/span>
\nSun, 09\/29\/2024 – 21:00<\/span><\/p>\n

\u200bhttps:\/\/www.zerohedge.com\/markets\/what-will-happen-tomorrow-jpm-collar-trade<\/a>\u00a0<\/p>\n","protected":false},"excerpt":{"rendered":"

What Will Happen Tomorrow – JPM Collar Trade? Via SpotGamma.com, Equities this past week have been\u00a0very\u00a0quiet, with the SPX having a range of only 0.75%…<\/p>\n","protected":false},"author":0,"featured_media":1492965,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-1492964","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-news","wpcat-1-id"],"_links":{"self":[{"href":"https:\/\/bugaluu.com\/news\/wp-json\/wp\/v2\/posts\/1492964","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/bugaluu.com\/news\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/bugaluu.com\/news\/wp-json\/wp\/v2\/types\/post"}],"replies":[{"embeddable":true,"href":"https:\/\/bugaluu.com\/news\/wp-json\/wp\/v2\/comments?post=1492964"}],"version-history":[{"count":0,"href":"https:\/\/bugaluu.com\/news\/wp-json\/wp\/v2\/posts\/1492964\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/bugaluu.com\/news\/wp-json\/wp\/v2\/media\/1492965"}],"wp:attachment":[{"href":"https:\/\/bugaluu.com\/news\/wp-json\/wp\/v2\/media?parent=1492964"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/bugaluu.com\/news\/wp-json\/wp\/v2\/categories?post=1492964"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/bugaluu.com\/news\/wp-json\/wp\/v2\/tags?post=1492964"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}