The imminent expiration of a huge option position is intensifying the whipsawing moves in equities markets on Monday.
The $20 billion JP Morgan Chase Hedged Equity Fund — which sells calls and buys put spreads to protect investors against large losses in exchange for capping their gains — rolls over its contracts at the end of each quarter. Most of the time the expiry passes with little notice, as the positions are put on well above and below the current market.