European Equity Derivatives Strategy: A Statistical Model for Inferring Eurex Options Block Directionality and Earnings Implied Moves

研报英文原文证据摘录

European Equity Derivatives Strategy: A Statistical Model for Inferring Eurex Options Block Directionality and Earnings Implied Moves

J P M O R G A N Global Markets Strategy

29 July 2026

European Equity Derivatives

Strategy

A Statistical Model for Inferring Eurex Options Block

Directionality and Earnings Implied Moves

• Eurex block-trade data discloses the exact strategy traded but not who bought Global Quantitative and Derivatives

or sold it. We introduce a statistical model to infer the directionality of Eurex Strategy

block option trades by combining block-trade data with the Eurex signed flow Davide Silvestrini AC

dataset, determining if a trade was bought or sold by Agents for 92% of Euro (44-20) 7134-4082

STOXX 50 multi-leg strategies’ notional. davide.silvestrini@jpmorgan.com

J.P. Morgan Securities plc

AC• The attributed dataset allows us to track how buy-side flows evolved through Esmail Afsah

the Iran conflict, from the initial surge in protective puts to the rotation into (44-20) 7742-9231

put-spread selling during the ceasefire and the more contained reaction to the esmail.afsah@jpmorgan.com

Strait of Hormuz closure. We also apply the methodology to the latest week of J.P. Morgan Securities plc

data, highlighting the largest transactions from clients and their direction. Yangyang Hou

• We provide single stock option implied 1-day moves for the Q2 earnings (1-212)yangyang.hou@jpmorgan.com834-6734

season. The average implied earnings-day move is at 4.4% compared to J.P. Morgan Securities LLC

4.5% last week and 5.0% at the start of the earnings season, remaining at Tony SK Lee

historically elevated levels. We see strong earnings growth of ~9% (ex (852) 2800-8857

Energy), the fastest growth in nearly three years, but the overwhelming tony.sk.lee@jpmorgan.com