US Equity Derivatives Strategy: Q2 Earnings Volatility, Trading Tech and Consumer Segments into Reporting, Single Stock Futures Launching

Research evidence excerpt

US Equity Derivatives Strategy: Q2 Earnings Volatility, Trading Tech and Consumer Segments into Reporting, Single Stock Futures Launching

Bram Kaplan, CFA AC Global Markets Strategy

(1-212) 272-1215 17 July 2026 J P M O R G A N

bram.kaplan@jpmorgan.com

Commentary

Systematic Investor Positioning

Systematic strategy equity positioning remains broadly supportive, with the gap

narrowing between momentum-driven and volatility-sensitive strategies. Moderating,

but still positive, price momentum is keeping CTA/momentum strategy equity leverage

elevated, while volatility-targeting exposure has rebuilt after June’s deleveraging as

volatility stabilized.

Volatility targeting (VT) portfolios have re-levered over the past couple of weeks,

recovering from two de-leveraging events in June (following sharp, tech-led sell-offs on

the 5th and 23rd). VT target leverage has risen from ~32nd %ile in late-June to near-

median levels today, according to our model (Figure 1VolatilityTargetingfunds’equityexposure). If volatility stays contained, VT

portfolios should continue to gradually re-lever over the coming weeks, providing a

tailwind for markets, but flow risks remain two-way.

CTAs remain long across US/global equities on still favorable momentum (China being

the notable exception). Choppiness and moderate pressure in tech has flipped short-term

signals negative on Nasdaq, but momentum signals remain broadly positive across US/

DM benchmarks (Figure 2CTAmomentumsignals). CTAs’ equity beta also remains elevated (~75th %ile),

which skews flow risks to the downside. See Delta-One Flows & Positioning for cross-

asset positioning and ongoing updates.

Figure 1: Volatility Targeting funds’ equity exposure Figure 2: CTA momentum signals

As of 7/16/2026 mid-day ET

Current CTA Levels