Equity Volatility Strategy: Levered ETF Gamma, RV, Dispersion and FOMC

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Equity Volatility Strategy: Levered ETF Gamma, RV, Dispersion and FOMC

J P M O R G A N Global Markets Strategy

24 July 2026

Equity Volatility Strategy

Levered ETF Gamma, RV, Dispersion and FOMC

• For the semi stocks with levered ETF, we combine the dealer’s estimated Global Quantitative and Derivatives

position from listed gamma flow with the effective short gamma arising Strategy

from their contributions to related levered ETFs. An intraday momentum Yangyang Hou AC

strategy on stocks during earnings can help avoid paying premiums at elevated (1-212) 834-6734

volatility levels (link). yangyang.hou@jpmorgan.com

J.P. Morgan Securities LLC

AC• We updated the Dispersion Chartbook (link), noting that dispersion levels Bram Kaplan, CFA

remain elevated entering earnings season. However, correlation seasonality (1-212) 272-1215

supports delivery this quarter. We see potential for sector dispersion within bram.kaplan@jpmorgan.com

SMH, given high correlations. IGV and XLV are also candidates to monitor J.P. Morgan Securities LLC

for more attractive entry levels. Mengdi Wang AC

• Vol spread betweeen NDX and SMH is at record highs for a pair with 90% mengdi.wang@jpmchase.comJ.P. Morgan Securities LLC

correlation. We seek a relative value trade between the two, taking advantage AC Rodolfo Sanchez

of the mismatched earnings calendar, as well as a stand-alone NDX vega trade rodolfo.sanchez@jpmchase.com

to anticipate a potential 1998/1999 replay. J.P. Morgan Securities LLC

Tony SK Lee

• Buy Aug-26 Call on NDX funded by SMH for credit, Delta-hedged (852) 2800-8857

• Buy Dec-27 105% UpVar on NDX at 21.9% tony.sk.lee@jpmorgan.com

J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

• SPX skew and term structure remain elevated, while record gamma supply Morgan Broking (Hong Kong) Limited