Key Points
A nearly $15 billion JP Morgan fund is expected to reset its options positions on Friday, potentially adding to equity volatility at the end of a strong quarter for U.S. stocks..
Analysts have in the past pointed to the JPMorgan Hedged Equity Funds quarterly reset roiling markets, and see it as a source of potential volatility during Friday's session..
The JPMorgan Hedged Equity Fund holds a basket of S&P 500 stocks along with options on the benchmark index and resets hedges once a quarter..
The fund uses an options strategy that seeks to protect investors if the S&P 500 falls between 5% and 20%, while allowing them to take advantage of any market gains in the average range of 3.5-5.5%..
On Dec. 30, the refresh of the fund's options positions involved about 125,000 S&P 500 options contracts in all, including S&P 500 puts at strike prices $3,060 and $3,600 and calls at $4,065, all for the March 31 expiry..
