Report published September 28, 2026
J.P. Morgan: US Equity Derivatives Strategy: Buying the Calm Before the Ballot
J.P. Morgan · September 28, 2026
J.P. Morgan highlights that equity volatility screens unusually cheap ahead of the US midterm elections and macro overhangs. The team recommends buying VIX Oct call spreads, hedging higher yields via RTY options, trading cross-asset SPX/JPY hybrid dual digitals, and positioning in CCL and SHOP via calls.
Read the remaining 4 pages
Finvaulta summarizes J.P. Morgan's analysis. Attribute opinions, forecasts, time-sensitive values, and chronology to the issuer and report date; do not treat this page as an independent verification or a current market-data source.
Key Takeaways
- 1.Implied volatility screens cheap ahead of the US midterm elections, prompting a recommendation to buy VIX October call spreads to position for pre-election volatility or macro shocks.
- 2.Policy uncertainty and the AI cycle provide strong dispersion catalysts across Healthcare, Technology, and Financials; J.P. Morgan recommends buying a Dec'27 volswap dispersion basket across these sectors.
- 3.Hedge higher bond yields via Russell 2000 put spreads or SPX-over-RTY outperformance calls due to small caps' high floating-rate debt exposure and steep skew.
Table of Contents
- Commentary
- Systematic Investor Positioning
- Month/Quarter-End Portfolio Rebalances: A Potential Equity Headwind
- S&P 500 Volatility
- US Midterm Elections
- Volatility
- Dispersion
- Trading Themes
- Hedging a Higher-Rate Environment
- Buy high-leverage SPX/JPY hybrid options
- Single Stock Trades
- Index Volatility, Term Structure and Skew
Report data
Average VIX level around midterm elections, since 1990 — as of September 25, 2026.
| Metric | Estimate | Context |
|---|---|---|
| VIX Oct 20-25 call spread indicative cost | 0.47 vol points / premium | Pricing for pre-election volatility trade offering ~11x maximum leverage. |
| Realized SPX vs bond underperformance from rebalancing | ~100 bps | Estimated impact of fixed-weight asset allocation rebalancing into month- and quarter-end. |
| Rolling 2M correlation between Russell 2000 and US 10-year rates | -66% | Strong negative correlation supporting RTY put spreads to hedge against rising rates. |
| Shopify Dec'27 Price Target | 185 USD | J.P. Morgan equity research price target representing ~30% upside from reference price. |
| USDJPY Year-End 2026 Target | 164 JPY per USD | J.P. Morgan FX strategist year-end forecast implying ~4% yen depreciation from current levels. |
Access the full report
And others from the leading tier 1 banks.
Free account: read previews and a daily allowance of full reports. Pro removes the daily limit.