Q WHAT IS THE JP MORGAN HEDGED EQUITY FUND? The JPMorgan Hedged Equity Fund holds a basket of S&P 500 (.SPX) stocks along with options on the benchmark index and resets hedges once a quarter. The fund, which had about $16.71 billion in assets as of June 27, aims to let investors benefit from equity market gains while limiting their exposure to stock declines. For the year, the fund was down 9.6% through June 27, compared with a 17.6% decline for the S&P 500 Total return Index (.SPXTR). https://www.reuters.com/markets/us/how-massive-options-trade-by-jp-morgan-fund-can-move-markets-2022-06-28/ UQ
Q WHAT IS THE JP MORGAN HEDGED EQUITY FUND? The JPMorgan Hedged Equity Fund holds a basket of S&P 500 (.SPX) stocks along with options on the benchmark index and resets hedges once a quarter. The fund, which had about $16.71 billion in assets as of June 27, aims to let investors benefit from equity market gains while limiting their exposure to stock declines. For the year, the fund was down 9.6% through June 27, compared with a 17.6% decline for the S&P 500 Total return Index (.SPXTR). https://www.reuters.com/markets/us/how-massive-options-trade-by-jp-morgan-fund-can-move-markets-2022-06-28/ UQ EvenOdd 发表于 2022-06-29 13:23
? < To limit the cost of these put purchases, the fund also sells puts that would make money if the S&P 500 drops more than 20%. > Q HOW DOES THE FUND USE OPTIONS? The fund uses an options overlay strategy that involves buying put options that make money if the S&P 500 drops about 5% or more from its level at the start of each quarter. To limit the cost of these put purchases, the fund also sells puts that would make money if the S&P 500 drops more than 20%. In addition, the fund sells call options struck about 3.5%-5.5% above the market level, to help fund the cost of the hedge. In all, the trade is structured so that investors are protected if the market falls -5% to -20%, and they are able to take advantage of any market gains in the average range of 3.5-5.5%. In March, the refresh of these positions involved about 130,000 S&P 500 contracts in all, worth some $20 billion in notional terms. UQ
The JPMorgan Hedged Equity Fund holds a basket of S&P 500 (.SPX) stocks along with options on the benchmark index and resets hedges once a quarter. The fund, which had about $16.71 billion in assets as of June 27, aims to let investors benefit from equity market gains while limiting their exposure to stock declines.
For the year, the fund was down 9.6% through June 27, compared with a 17.6% decline for the S&P 500 Total return Index (.SPXTR).
https://www.reuters.com/markets/us/how-massive-options-trade-by-jp-morgan-fund-can-move-markets-2022-06-28/ UQ
? < To limit the cost of these put purchases, the fund also sells puts that would make money if the S&P 500 drops more than 20%. >
Q HOW DOES THE FUND USE OPTIONS?
The fund uses an options overlay strategy that involves buying put options that make money if the S&P 500 drops about 5% or more from its level at the start of each quarter. To limit the cost of these put purchases, the fund also sells puts that would make money if the S&P 500 drops more than 20%.
In addition, the fund sells call options struck about 3.5%-5.5% above the market level, to help fund the cost of the hedge.
In all, the trade is structured so that investors are protected if the market falls -5% to -20%, and they are able to take advantage of any market gains in the average range of 3.5-5.5%.
In March, the refresh of these positions involved about 130,000 S&P 500 contracts in all, worth some $20 billion in notional terms. UQ