"Equities Are At Greater Risk Of Jackson Hole Shock Than Is Priced In": How One Bank Is Hedging This Week's Main Event

Yesterday, we previewed this year's Jackson Hole Economic Symposium, which this year takes place Aug 24-26 (Chair Powell scheduled to speak on Friday at 10:05am ET), and while we discussed the various things Powell may, and likely will say, it's worth noting that the Chairman's speech has a history of causing volatility in markets.

It certainly was the case last year, with the S&P selling off -3.4% the day Powell spoke, which was 2.7x more than what options markets were implying.

Back then equities were the asset class most reactive to Powell’s hawkish speech, in line with a strong dynamic at the time of S&P gamma paying off during macro events like important data releases and FOMC meetings.