JPMorgan's Kolanovic Says Market "Ripe For Rebound," Watch Commercial Hedgers

A key relative value measure in volatility has begun to normalize, a new report from JPMorgan’s derivatives team notes. VIX ETP positioning has neared record shorts and is a contributing factor in the inversion in the front end of the VIX futures term structure, a point certain traders consider when accessing stock market health. Considering this and who is behind the net positioning, the JPMorgan derivatives team conduct quantitative analysis of a trading strategy based on their findings and essentially make a recommendation to follow the trades of Commercials (including hedgers) and trade against Non-Commercials (including hedge funds).

JPMorgan derivatives team explains VIX front month inversion:...

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