I wrote this script to track 3 hedged equity funds.
I've been following these funds for nearly 2 years now.
This is the first time in 2022 that I have seen the funds positions line up in positive gamma.
All of 2022 the hedged equity funds were aligned in negative gamma and sold off into expiration.
Except when dealer Gamma exposures is positive or short...
The collar resets the last business day of Feb, May, Aug, and Nov.
This is the smallest of the 3 funds JPMorgan manages with a collar. At 3 billion in assets, the impacts on markets are still relevant.
The options for the 3rd fund are not as well known, but using the reset date and the fact they use SPX options I’m able to make a guess at the relevant sizes and...