US Equity Derivatives Strategy Tactical Upside Trades in AMZN, DELL & HD; Spot-Up/Vol-Up Dynamics; Systematic Positioning

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US Equity Derivatives Strategy Tactical Upside Trades in AMZN, DELL & HD; Spot-Up/Vol-Up Dynamics; Systematic Positioning

Bram Kaplan, CFA AC Global Markets Strategy

(1-212) 272-1215 18 May 2026 J P M O R G A N

bram.kaplan@jpmorgan.com

Commentary

Systematic Investor Positioning

Macro systematic strategy positioning has diverged: momentum strategies are heavily

long US equities, while volatility-sensitive strategies remain materially under-levered vs

pre-Iran conflict levels.

CTAs remain significantly long across global equities on the back of strong momentum.

Key momentum signals are broadly positive across the major US indices, though have

started to weaken in some international markets, and CTAs’ equity beta is near historic

highs (Figure 3CTAs’equitybeta). While elevated leverage skews flow risks to the downside, there is still

a >5% drawdown cushion in US large-cap indices before the first momentum triggers

are crossed (Figure 2CTAmomentumsignals). See Delta-One Flows & Positioning for cross-asset positioning

and ongoing updates.

Volatility targeting (VT) portfolios de-levered sharply during the Iran conflict as

volatility rose: target leverage fell from ~65th %ile in late-Feb to ~28th %ile by end-

March. As volatility eased, they began to gradually re-lever – but we’re still early in the

process given (i) the recency of the vol spike, (ii) still-elevated vol (VIX in the high

teens), and (iii) positive equity/bond correlation, which raises cross-asset portfolio

volatility. We estimate VT equity leverage has rebounded to ~38th %ile, still well below

February levels (Figure 1VolatilityTargetingfunds’equityexposure). If volatility stays contained, VT portfolios should continue to

gradually re-lever over the coming weeks, but flow risks are two-way.