Asia Pacific Equity Derivatives Strategy Short Gamma Risks in Korea and Japan; Funding Pressure Builds in Korean Equities; Diversified AI Exposure Trades

Research evidence excerpt

Asia Pacific Equity Derivatives Strategy Short Gamma Risks in Korea and Japan; Funding Pressure Builds in Korean Equities; Diversified AI Exposure Trades

J P M O R G A N Global Markets Strategy

30 June 2026

Asia Pacific Equity Derivatives

Strategy

Short Gamma Risks in Korea and Japan; Funding

Pressure Builds in Korean Equities; Diversified AI

Exposure Trades

• Korea Short Gamma Keeps Volatility Flow-Driven: Dealers’ short gamma in Global Equity Derivatives Strategy

AC Korean equities has persisted in June, with dealers short roughly US$1.4bn, or Tony SK Lee

around 4% of average futures turnover. The imbalance has been driven (852) 2800-8857

largely by leveraged ETFs and reinforced by listed KOSPI2 options demand, tony.sk.lee@jpmorgan.com

keeping the market sensitive to hedging and rebalancing flows. Korea J.P.MorganMorganBrokingSecurities(Hong (AsiaKong)Pacific)LimitedLimited/ J.P.

optionality demand has also spilled over offshore, with EWY options open AC Haoshun Liu

interest rising sharply and EWY implied volatility moving higher and trading (852) 2800-7736

above KOSPI2 implied volatility. The risk is also becoming more concentrated haoshun.liu@jpmorgan.com

as single-stock leveraged products expand, shifting more flow pressure toward J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

Morgan Broking (Hong Kong) Limited

large-cap semiconductor names.

Xipu Han AC

• Funding Pressure Tests Korea’s Leverage Loop: Crowded long demand is (852) 2800-1029

showing up in richer implied financing across Korea futures and swaps, as xipu.han@jpmorgan.com

levered investors compete for exposure against limited natural shorts and finite J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

dealer balance-sheet capacity. KOSPI2 futures implied funding has averaged AC Twinkle Mehta, CFA