JPMorgan-US Equity Financing and AIR TRF Monitor Aug 27, 2024-110038121
VIP专享
Global Quantitative & Derivatives
Strategy
27 August 2024
JPMORGAN
www.jpmorganmarkets.com
Global Quantitative and Derivatives
Strategy
Bram Kaplan, CFA AC
(1-212) 272-1215
bram.kaplan@jpmorgan.com
Daniel Motoc, CFA AC
(1-212) 622-0105
daniel.motoc@jpmchase.com
J.P. Morgan Securities LLC
•Short-dated implied financing rates increased on the S&P 500, Nasdaq 100,
and Russell 2000 w/w, leading to a flattening of the funding term structure.
•Pricing on the S&P 500 AIR TRFs increased 1 bp on the Sep’24 contract, 4 bps
on the Dec’24 contract, 3 bps on the Mar’25 contract, and were little changed
across the rest of the curve w/w.
•Volumes on S&P 500 AIR TRFs totaled ~$8.6Bn (0.2z) over the last week, with
the majority of trading occurring on the Sep’24, Dec’24, and Dec’26 contracts.
•Open interest on the S&P 500 AIR TRFs increased $1.6Bn w/w
•Russell 2000 AIR TRFs traded ~$1Bn across the Sep’24, Dec’24, and Jun’25
contracts over the past week, while the Nasdaq 100 AIR TRFs did not trade.
Figure 1: S&P 500 Implied Funding Rate History
Spread vs. SOFR, annualized
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
0.6%
0.7%
0.8%
0.9%
Aug'21 Aug'22 Aug'23 Aug'24
SPX 3M IFR
SPX 1Y IFR
SPX 5Y IFR
Source: J.P. Morgan Equity Derivatives Strategy
See page 5 for analyst certification and important disclosures.
J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that
the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single
factor in making their investment decision.
US Equity Financing and AIR TRF
Monitor
Aug 27, 2024
2
Bram Kaplan, CFA AC
(1-212) 272-1215
bram.kaplan@jpmorgan.com
Global Quantitative & Derivatives Strategy
27 August 2024 JPMORGAN
AIR TRF Monitor
Figure 2: S&P 500 AIR TRFs
Expiry Bid Ask
1w Chg
(mid)
4w Chg
(mid)
OI ($Bn)
Chg
w/w
ADV 1m
($Mn)
ADV 1w
($Mn)
Sep'24 57 63 1-4 30.4 -0.2 625 380
Dec'24 65 70 4 1.5 37.1 0.3 354 454
Mar'25 74 79 3 3 12.9 0.1 67 85
Dec'25 71 76 0 1.5 20.8 0.2 237 79
Dec'26 75 80 1 3.5 16.5 0.2 190 327
Dec'27 77 83 2 4.5 10.1 0.0 48 29
Dec'28 79 85 0.5 2 8.6 0.0 32 44
All** 163.6 1.6 1,975 1,729
Pricing*
Activity Monitor
Source: J.P. Morgan Equity Derivatives Strategy. *Quoted as spread to EFFR (bps) **Calculated across entire futures chain
Figure 3: Forward Starting Spreads (Mids)
Expiry Sep'24 Dec'24 Mar'25 Dec'25 Dec'26 Dec'27
Sep'24
Dec'24 7.5
Mar'25 16.5 9
Dec'25 13.5 6 -3
Dec'26 17.5 10 1 4
Dec'27 20 12.5 3.5 6.5 2.5
Dec'28 22 14.5 5.5 8.5 4.5 2
Forward Starting Spreads (Mids)
Source: J.P. Morgan Equity Derivatives Strategy
Figure 4: AIR TRF Open Interest History by Index
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
180,000
200,000
Jan'21 Jul'21 Jan'22 Jul'22 Jan'23 Jul'23 Jan'24 Jul'24
S&P 500 (LHS)
Nasdaq (RHS)
Russell 2000 (RHS)
Open Int ($Mn)
Open Int ($Mn)
Source: J.P. Morgan Equity Derivatives Strategy, Bloomberg Finance L.P.
Figure 5: S&P 500 AIR TRF Daily Volume History
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
10,000
Aug'23 Nov'23 Feb'24 May'24 Aug'24
S&P 500 ($Mn)
3m ADV ($Mn)
Volume ($Mn)
Source: J.P. Morgan Equity Derivatives Strategy, Bloomberg Finance L.P.
3
Bram Kaplan, CFA AC
(1-212) 272-1215
bram.kaplan@jpmorgan.com
Global Quantitative & Derivatives Strategy
27 August 2024 JPMORGAN
S&P 500 Funding Monitor
Figure 6: Implied Funding Rate History by Tenor
Spread vs. SOFR, annualized
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
0.6%
0.7%
0.8%
0.9%
Aug'21 Aug'22 Aug'23 Aug'24
SPX 3M IFR
SPX 1Y IFR
SPX 5Y IFR
Source: J.P. Morgan Equity Derivatives Strategy
Figure 7: IFR Term Structure History
-0.3%
-0.2%
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
Aug'21 Aug'22 Aug'23 Aug'24
1Y-3M
2Y-1Y
5Y-1Y
Source: J.P. Morgan Equity Derivatives Strategy
Figure 8: Term Structure of Implied Financing
Spread vs. SOFR, annualized
0.3%
0.4%
0.5%
0.6%
0.7%
0.8%
0.9%
1M 3M 6M 1Y 2Y 3Y 5Y 10Y
8/26/2024
2 weeks ago
Beginning of 2024
Source: J.P. Morgan Equity Derivatives Strategy
Figure 9: Term Structure Heat Map (5Y Percentile)
Row - Column (e.g. top left value is for 3M - 1M spread)
Tenor 1M 3M 6M 1Y 2Y 3Y 5Y
3M
6M
1Y
2Y
3Y
5Y
10Y
53%
8%
42%
11%
28%
24%
37%
54%
17%
84%
36%
6%
7%
20%
25%
4%
5%
2%
2%
1%
36%
13%
16%
3%
3%
4%
2%
8%
Source: J.P. Morgan Equity Derivatives Strategy
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