Idea History of the JHEQX Hedged Equity Fund

2023年1月8日

If you’re new to my TV feed, I have been following 3 JPM hedged equity funds put spread collars (seagull) for 2 years now.

Some points to be aware of before using any of this info:

• Theories are highly speculative dealer flows.
  
• All the information is public.
  
• Hedges are SPX quarterly expiry options.
  
• Core concepts originate from Cem Karsan on fin twit.
  
• I use the white paper “Implied Order Book” as my basis for Dealer Flow
  

My Charting on the funds started in 2021 when I was trying to understand the role of volatility and the expiry of these funds before and after Opec/VolEx.

I got my first prediction completely wrong.

Then I began to map the history of the expirations

My interest in the funds led me to 2 other similar funds running the same strategy.

I started breaking down the delta and gamma of the hedges

The math is fairly straight forward.

So I started a pine script to track the collar

The script involves plotting the delta/gamma/vanna for a put spread collar

I had transformed into “The Hedge Whisperer”

Pointing to my price targets like Smalls on the Sand Lot.

But I realized I was getting lucky, and started to look for the distribution probabilities of the hedge

The popularity of 0DTE continues to grow and the understanding of these dealer flows became an event of their own.

In the coming weeks:

• Regular updates on hedged equity flows and levels.
  
• How I think JHEQX will be the straw that breaks the camels back.
  
• Trade ideas for upcoming expirations.
  
• And How to hedge assets using the same strategy
  

Thanks to all who have commented and kept my interest in writing and researching.

I hope you find these topics helpful.