Global Equity Derivatives Strategy "Mercury rising: Record single stock..."

Research evidence excerpt

Global Equity Derivatives Strategy "Mercury rising: Record single stock..."

Global Research

7 July 2026ab

Global Equity Derivatives Strategy Global Strategy

GlobalMercury rising: Record single stock volatility

prime for Gamma Rentals Maxwell Grinacoff, CFA

Strategist

maxwell.grinacoff@ubs.com

+1-212-713 3892

Single stocks have never been more volatile relative to index [Figures 1-12] Gerry Fowler

Single stock volatility is continuously making new all-time highs relative to index volatility Strategist

heading into Q2 earnings – largely due to suppressed intra-index correlations – further gerry.fowler@ubs.com

+44-20-7567 5490

exacerbated by retail call buying and leveraged ETFs (see here). This is coming amidst an

already fragile environment, with our Turbu-lens signal at 0.90 (highest reading since Keith Parker

mid-September 2025). Strategist

keith.parker@ubs.com

+1-212-713 3296

While we see scope for record single stock volatility to boil over at the index level (as we

Sean Simondsbriefly witnessed on 05-June), we think it could be difficult to hedge at the index level as

dispersion/rotation could well persist through earnings reporting over the next several

sean.simonds@ubs.com

weeks. Single stock optionality could therefore present a better opportunity tactically – +1-212-713 2851

our preferred methodology for screening for these opportunities is via our Gamma

Artour DanilovRentals framework.

artour.danilov@ubs.com

Gamma Rental opportunities for 2Q26 reporting season [Figures 13-22] +44-20-7567 5203

This is the twelfth run of our Gamma Rentals framework. Hit rate for the top 50 US pairs

Nicolas Le Roux

that produced positive delta-hedged P&L was >70% last quarter (above average since Strategist