JPMorgan-US Equity Financing and AIR TRF Monitor Sep 24, 2024-110455996

Global Quantitative & Derivatives Strategy24 September 2024J P M O R G A Nwww.jpmorganmarkets.comGlobal Quantitative and Derivatives StrategyBram Kaplan, CFA AC(1-212) 272-1215bram.kaplan@jpmorgan.comDaniel Motoc, CFA AC(1-212) 622-0105daniel.motoc@jpmchase.comJ.P. Morgan Securities LLC•Short dated implied financing rates declined on the S&P 500 w/w, leading to a w/w steepening of the term structure. Implied financing rates were little changed on the Nasdaq 100, and the Russell 2000 term structure steepened as the 1M IFR fell w/w while the intermediate/long-ends of the curve increased.•Pricing on the shorter-dated S&P 500 AIR TRFs decreased w/w (Dec’24 -8bps, Mar’25 -7bps, Dec’25 -2bps), while the longer-end of the curve was little changed.•Volumes on S&P 500 AIR TRFs totaled ~$35.3Bn (3.0z) over the last week, with the majority of trading on the Sep’24 and Dec’24 contracts, and notable volumes on the Mar’25, Sep’25, Dec’25, Dec’26, and Dec’27 contracts as well.•Open interest on the S&P 500 AIR TRFs decreased $15.6Bn w/w, following Friday’s expiry.•We saw ~$100Mn notional trade on the Dec’24 Nasdaq 100 AIR TRFs last week, while ~$2Mn notional traded on the Dec’24 Russell 2000 AIR TRFs.Figure 1: S&P 500 Implied Funding Rate HistorySpread vs. SOFR, annualized-0.1%0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8%0.9%Sep'21Sep'22Sep'23Sep'24SPX 3M IFRSPX 1Y IFRSPX 5Y IFRSource: J.P. Morgan Equity Derivatives StrategySee page 5 for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.US Equity Financing and AIR TRF MonitorSep 24, 20242Bram Kaplan, CFA AC(1-212) 272-1215bram.kaplan@jpmorgan.comGlobal Quantitative & Derivatives Strategy24 September 2024J P M O R G A NAIR TRF MonitorFigure 2: S&P 500 AIR TRFsExpiryBidAsk1w Chg (mid)4w Chg (mid)OI ($Bn)Chg w/wADV 1m ($Mn)ADV 1w ($Mn)Dec'246873-8.5-0.546.35.31,6862,971Mar'257580-7-2.516.51.8814534Jun'257378--12.7-0.217941Dec'257277-2-122.70.9273321Dec'2676810117.70.1263161Dec'2778830-0.511.20.767138Dec'2880850-0.59.00.32754All**153.6-15.63,4984,630Pricing*Activity MonitorSource: J.P. Morgan Equity Derivatives Strategy. *Quoted as spread to EFFR (bps) **Calculated across entire futures chainFigure 3: Forward Starting Spreads (Mids)ExpiryDec'24Mar'25Jun'25Dec'25Dec'26Dec'27Dec'24Mar'257Jun'255-2Dec'254-3-1Dec'268134Dec'27103562Dec'281257842Forward Starting Spreads (Mids)Source: J.P. Morgan Equity Derivatives StrategyFigure 4: AIR TRF Open Interest History by Index05001,0001,5002,0002,5003,0003,5004,0004,500020,00040,00060,00080,000100,000120,000140,000160,000180,000200,000Jan'21Jul'21Jan'22Jul'22Jan'23Jul'23Jan'24Jul'24S&P 500 (LHS)Nasdaq (RHS)Russell 2000 (RHS)Open Int ($Mn)Open Int ($Mn)Source: J.P. Morgan