European Equity Derivatives Strategy: Structured products update; high conviction longs & short into earnings; earnings implied moves

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European Equity Derivatives Strategy: Structured products update; high conviction longs & short into earnings; earnings implied moves

J P M O R G A N Global Markets Strategy

22 July 2026

European Equity Derivatives

Strategy

Structured products update; high conviction longs &

short into earnings; earnings implied moves

• We update our analysis of the European structured product vega risk Global Quantitative and Derivatives

profiles, focusing on the mono-index and worst-of (WoF) autocallables across Strategy

the major indices and single stocks. Index spot levels remain comfortably Davide Silvestrini AC

above the peak vega levels, while there is significant dispersion in the vega (44-20) 7134-4082

profiles for single stocks. Among the high-vanna names, we find banks, davide.silvestrini@jpmorgan.com

utilities, and energy companies, while the names trading below the peak vega J.P. Morgan Securities plc

level, with the opposite vanna dynamics, are predominantly in the autos, Esmail Afsah AC

luxury, and defense sectors. (44-20) 7742-9231

esmail.afsah@jpmorgan.com

• European banks will start reporting over the coming week, with BNP and J.P. Morgan Securities plc

UniCredit setting the tone on Thursday. Consensus earnings expectations do Yangyang Hou

not appear ambitious at 4.8%, but the buy-side expectations may be higher after (1-212) 834-6734

last week’s stellar equity trading numbers from the US investment banks. After yangyang.hou@jpmorgan.com

J.P. Morgan Securities LLC

the strong performance we run the risk of “travel and arrive”, but the backdrop

Tony SK Lee

remains positive, and we continue to recommend the bullish option

(852) 2800-8857

structures on banks. Rising inflation, and by extension the rate expectations, tony.sk.lee@jpmorgan.com