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Vol Market Update

Preparing for earnings

Sideways trading for US markets yesterday as the focus will shift from macro to micro over the next few weeks with a new reporting season underway.

We will kick off today with many US large caps including JP Morgan. The market is looking for around a 4% move over the next two days for the name.

BLK is also due today and is expected to move around 3.5% over the next 2 trading sessions as well as DAL with the market looking for a price change of around 4.75% over the next two days.

Some more names will be reporting on Thursday as well with UNH (market looking for around 3% over the next 2 days), C (market looking for 4.1% move over the next 2 days), GS (market looking for 4.4% over the next 2 days) or MS (market looking for 3.7% over the next 2 days).

As we approach earnings in JPM, it is interesting to note that the call open interest is sitting at its highest level over the past 12 months.

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Given the inverted term structure, some traders might be interested in looking at calendar spreads, for instance selling May options to buy June options.

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Using the RT Spread Scanner, we are able to identify bull diagonal spreads, for instance the 17th Jun’22 130c vs 27th May’22 131c for $2.

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On the put side, the scanner identifies structures such as 17th Jun’22 130 p vs 27th May’22 129p for $1.55.

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