Charlie McElligott Equities Update

• The August-to-date US Equities “Spot Up, Vol Up” panic “Upside-Grab” has been legendary…

• For context, just look at “Up Vol” vs “Down Vol” across Index & ETF in the charts below for relative magnitudes vs prior (full) months—This will normalize over the course of rest-of-month as we get more days in count (unless we continue to “Crash-Up”)…but up to this point one week into August, it’s been comedy to watch

• As discussed last week, after the July Degrossing / Momentum Unwind, Customers were caught flat-footed into 1) the booming Earnings season (87% Upside Surprise on EPS and 75% beating on Revs, across 86% of S&P reported now), which has CRITICALLY and CONSTRUCTIVELY seen the distribution of the S&P 500 “Earnings Growth Contribution” see leadership from “The Other 493” names (outside of just “Mag7”) nearly TRIPLE since 4Q25….and 2) yet-another hilarious “Iran Ceasefire v33” which was a generic “Risk-On,” but most importantly, was a second-order “Dovish Fed Impulse” as Crude Oil was yet-again lit on fire)…so, CHASE BACK “IN”

• Net / Net, these dual dynamics forced an underpositioned Buyside to panic “Net-Up” into the Spot Equities rally, and chase back into Upside (again) as Calls went crazy bid, while Downside got smoked-out and Puts died, as Spot Index exploded higher and away from hedge strikes….hence, BIBLICAL Put-Call Skew