JPMorgan Collar Put-Strike "In Play" As Market Hits "Meaningful Short Gamma Pocket"

As we have discussed many times before (here and here for example), the $16 billion JPMorgan Hedged Equity Fund (JHEQX) often has an impact into quarter-end options-expirations as the strategy rolls thousands of put contracts.

Typically, there is some 'pinning' trend action as the large gamma draws the market towards the put strikes as dealers are forced to sell the market (delta hedge) to bring their books back to neutral as the options time to maturity looms.

As Bloomberg notes, the fund’s derivatives position consists of a put-spread collar that involves buying puts as well as selling bullish calls and even more-bearish puts. At the end of each quarter these positions are often rolled over without incident.