US Equity Derivatives Strategy: Mid-Year Outlook and Trades

研报英文原文证据摘录

US Equity Derivatives Strategy: Mid-Year Outlook and Trades

Bram Kaplan, CFA AC Global Markets Strategy

(1-212) 272-1215 24 June 2026 J P M O R G A N

bram.kaplan@jpmorgan.com

equal.

Systematic Investor Positioning

Systematic strategy equity positioning remains broadly supportive, though momentum-

driven and volatility-sensitive strategies continue to diverge. Strong price momentum

across key benchmarks keeps CTA/momentum strategy equity leverage elevated. By

contrast, volatility-targeting exposure is more moderate: the June 5th and 23rd tech-led

sell-offs pushed it materially lower, but outside of those drawdowns they have generally

re-levered as volatility stabilized following the Iran-conflict shock.

CTAs remain significantly long across global equities given generally strong

momentum, though are likely on the cusp of de-leveraging following this week’s

pullback. The early-June sell-off eroded most of the cushion to the nearest momentum

triggers, but it didn’t flip the signals, leaving CTAs broadly long. This week’s sell-off

has again brought major equity index futures near trigger levels. Elevated leverage

skews flow risks to the downside, particularly in the US and Europe (Figure 8CTAmomentumsignals). See

Delta-One Flows & Positioning for cross-asset positioning and ongoing updates.

Volatility targeting (VT) portfolios likely de-levered following the sharp, tech-led sell-

off on June 5 (NDX -5%, VIX +6 points), followed by continued volatility and strongly

positive equity-bond correlation. We estimate VT equity leverage has fallen from near-

median levels in early June to the ~32nd %ile currently (Figure 7VolatilityTargetingfunds’equityexposure). VT leverage remains

materially below pre-conflict levels; if volatility stays contained, VT portfolios should