Equity Volatility Strategy: Intraday Momentum Deep Dive (Part I)

Research evidence excerpt

Equity Volatility Strategy: Intraday Momentum Deep Dive (Part I)

J P M O R G A N Global Markets Strategy

13 July 2026

Equity Volatility Strategy

Intraday Momentum Deep Dive (Part I)

The recent rally in semiconductor stocks, further amplified by rising AUM in Global Quantitative and Derivatives

leveraged ETFs, has enabled intraday momentum strategies to deliver Strategy

exceptional returns. In this report, we provide a deep dive to offer more insightful Yangyang Hou AC

understanding across the following areas: (1-212) 834-6734

yangyang.hou@jpmorgan.com

• Macro Background & Underlying Selection: Which macro environment J.P. Morgan Securities LLC

and choice of underlying assets drive superior PnL for these strategies? Mengdi Wang AC

mengdi.wang@jpmchase.com

• Volatility Regimes: PnL impact in different volatility environments J.P. Morgan Securities ACLLC Rodolfo Sanchez

• Underlying Volatility: How does the volatility level of the underlying rodolfo.sanchez@jpmchase.com

asset affect PnL? J.P. Morgan Securities LLC

• Gamma Supply & Leveraged ETF Effects: Assessment of gamma Bram Kaplan, CFA

dynamics and the influence of leveraged ETFs. (1-212) 272-1215

bram.kaplan@jpmorgan.com

• Signal Selection & Execution Timing: What signals should be used, and what J.P. Morgan Securities LLC

is the optimal execution window? Dobromir Tzotchev, PhD

(44-20) 7134-5331

dobromir.tzotchev@jpmorgan.com

• Trigger signals and methods for measuring the magnitude of moves J.P. Morgan Securities plc

• Impact of event dates (macro events and earnings releases) Arun Jain

• Entry and exit timing—Is 3:30 PM the new 4:00 PM? (1-212)arun.p.jain@jpmorgan.com622-9454

• Strategy Enhancement: Key takeaways for improving the base strategy. As J.P. Morgan Securities LLC