GlobalQuantitative&DerivativesStrategy23July2024JPMORGANwww.jpmorganmarkets.comGlobalQuantitativeandDerivativesStrategyBramKaplan,CFAAC(1-212)272-1215bram.kaplan@jpmorgan.comDanielMotoc,CFAAC(1-212)622-0105daniel.motoc@jpmchase.comJ.P.MorganSecuritiesLLC•Short-datedimpliedfinancingratesincreasedontheS&P500,Nasdaq100,andRussell2000lastweek,leadingtoaflatteningofthetermstructure.•PricingontheS&P500AIRTRFsincreased~7bpsontheSep’24andDec’24contracts,6bpsontheMar’25contract,and~1-2bpsacrosstherestofthecurve.•VolumesonS&P500AIRTRFstotaled~$6.3Bn(-0.1z)overthelastweek,withthemajorityofvolumesontheSep’24,Dec’24,Mar’25,andDec’25contracts.•OpeninterestontheS&P500AIRTRFsdecreased$0.1Bnw/w.•TheNasdaq100andRussell2000AIRTRFsdidnottradeoverthelastweek.Figure1:S&P500ImpliedFundingRateHistorySpreadvs.SOFR,annualized-0.1%0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8%0.9%Jul'21Jul'22Jul'23Jul'24SPX3MIFRSPX1YIFRSPX5YIFRSource:J.P.MorganEquityDerivativesStrategySeepage5foranalystcertificationandimportantdisclosures.J.P.Morgandoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.USEquityFinancingandAIRTRFMonitorJul23,20242Bra...
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