Equity Volatility Strategy Dispersion, Mag7 Volatility Opportunity And Inverted Skew

Research evidence excerpt

Equity Volatility Strategy Dispersion, Mag7 Volatility Opportunity And Inverted Skew

J P M O R G A N Global Markets Strategy

15 June 2026

Equity Volatility Strategy

Dispersion, Mag7 Volatility Opportunity And Inverted

Skew

• From the latest Dispersion Chartbook update (link), we highlight the key Global Quantitative and Derivatives

contributions of SPX75 and SX5E. Dispersion levels remain elevated Strategy

following a modest pullback, echoing patterns observed in 1998 (link). We also Yangyang Hou AC

note attractive opportunities in IGV dispersion and the volatility spread (1-212) 834-6734

between XLF and SPX. yangyang.hou@jpmorgan.com

J.P. Morgan Securities LLC

AC• The Mag7 group has recently served as a funding leg for both directional and Mengdi Wang

risk premium trades. We analyze supply dynamics and their relationship with mengdi.wang@jpmchase.com

the index to identify their use to construct tail hedging solutions. J.P. Morgan Securities LLC

Rodolfo Sanchez AC

• Theta-neutral reverse dispersion fund with this cluster in the front rodolfo.sanchez@jpmchase.com

tenor, where index leg can be a choice of a higher beta one J.P. Morgan Securities LLC

• Long dated systematic downside vega trade to take advantage of the Bram(1-212) Kaplan,272-1215 CFA

record low stock skew, with signals to improve carry bram.kaplan@jpmorgan.com

• The number of single stocks in SPXT250 exhibiting upside inverted skew has Tony SK Lee

recently reached historical highs. We examine the return distribution of spot

(852) 2800-8857

and volatility to highlight opportunities for these stocks. Notably, 6M tenor KO tony.sk.lee@jpmorgan.com

Calls could offer compelling solutions, with maximum PnL-to-premium J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

leverage approaching 30x.