Equity Volatility Strategy Stellar PnL from Earnings Dispersion Echoes of 1998, How to Buy Correlation?

Research evidence excerpt

J P M O R G A N

Global Markets Strategy

05 August 2026

Equity Volatility Strategy

Stellar PnL from Earnings Dispersion Echoes of 1998,

How to Buy Correlation?

Dispersion reached record highs this month, despite starting from already

elevated levels, resulting in a stellar PnL. We update the Dispersion Chartbook

(link) and highlight some key take aways.

Global Quantitative and Derivatives

Strategy

Yangyang Hou AC

(1-212) 834-6734

J.P. Morgan Securities LLC

We analyze the contribution of single stock volatility delivery in both SPXT75

and SX5E dispersion trades.

While dispersion appears very high in recent history, it is not a record when

extending the backtest to include 1998. We compare dispersion across all

three layers: broader index vs. stocks, sector index vs. stocks, and broader

index vs. sector index. Notably, there are similarities with stocks that

experienced a 100% return over two months, followed by a 30% drawdown.

Mengdi Wang AC

With correlations at historical lows, we explore various approaches to buying

correlation, including tactical and systematic solutions

Bram Kaplan, CFA

Reverse dispersion - Ways to avoid shorting the earnings gap

Tony SK Lee

Use of VIX Options

(852) 2800-8857

J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

Morgan Broking (Hong Kong) Limited

Delta-hedged Index options and UpVar

Delta-hedged Index downside wing

“Cheapest to deliver” Sector Index

We also examine single stock behavior in both the volatility and spot space

during earnings so far, and flag the reduction in gamma inventory for dealers

in mega-cap names.

J.P. Morgan Securities LLC

Rodolfo Sanchez AC

J.P. Morgan Securities LLC

(1-212) 272-1215

J.P. Morgan Securities LLC

Davide Silvestrini

(44-20) 7134-4082

J.P. Morgan Securities plc

Figure 1: 3M Vol Spread for SPX T75 Dispersion

Contents

Record Earnings Dispersion

Comparison with 1998

How to Buy Correlation

Zooming in Single Stocks

Appendix

Appendix - Recent Publications

Source: J.P. Morgan Equity Derivatives Strategy, Bloomberg Finance L.P.