JPM Cross Asset Volatiliy

J P M O R G A N Global Markets Strategy 07 August 2026

Cross Asset Volatility Gold Waking Up and RV Model Update

• The CARV Model indicates a short bias in short-dated Global Quantitative and Derivatives volatility across rates and Asia equities, with KWEB and XLF as notable Strategy exceptions. We conduct a model update for both the CARV and ETF model in Yangyang Hou AC this report, and experiment with EWMA signals as an alternative, ( replicatable solution for long-short ranking. J.P. Morgan Securities LLC • We are beginning to see a pick up in gold call open interest as well as retail Ladislav Jankovic AC participation after the gold holding well on the 4000 floor for the past month. ( We tested an option replacement strategy to capture potential upside, which offers a significantly improved risk profile compared to a long gold position. J.P. Morgan Securities LLC Mengdi Wang AC • Buy GLD Sep-26 415-440 Call Spread for 3.2 (Ref 389.67) J.P. Morgan Securities LLC • Buy Dec-26 Worst of Call on {GLD, SPX} for 1% Rodolfo Sanchez AC • In the volatility space, GDX-GLD upside volatility spread continues to J.P. Morgan Securities LLC deliver attractive carry, with supply and demand flows potentially favoring the Dobromir Tzotchev, PhD trade. ( • We have updated our cross-asset volatility monitor. Implied volatility remains J.P. Morgan Securities plc very low in FX, and moderately low in equity with the exception of the Japan-related underlyings across asset classes. Arun Jain ( • FX gamma model signals a mixed outlook, with USD/JPY, JPY cross-vols and MXN vol appearing vulnerable, while EUR, NOK and GBP/CHF vol remain J.P. Morgan Securities LLC supported. The model’s bearish JPY vol signal should be interpreted Bram Kaplan, CFA cautiously, however, as it largely reflects the recent sharp spike in volatility. We ( think that delta-hedged 3M USD/JPY atm/25 delta 1*2 (vega notionals) J.P. Morgan Securities LLC ratio put spreads are the right instruments for trading the current USD/JPY setup. Tony SK Lee ( • The FX vol surface model favors firmer convexity in HUF and JPY and flatter HUF term structures, though its skew signals remain mixed and offer little J.P. Morgan Securities (Asia Pacific) Limited/ J.P. Morgan Broking (Hong Kong) Limited directional conviction. Davide Silvestrini Figure 1: Call Spread Replacement on GLD vs Long GLD Delta One ( $1M Notional, sized 1/22 per day, Adjusted by premium J.P. Morgan Securities plc

Source: J.P. Morgan Equity Derivatives Strategy, Bloomberg Finance L.P.

See page 18 for analyst certification and important disclosures.

Yangyang Hou AC Global Markets Strategy ( August 2026 JPMORGAN

Gold Waking Up The near 70% rally in gold from this time last year to Jan-2026 seems a long way away now as the Fed put an end to the party for lucrative call and call spread buying strategies (link, link). As volatility hit new highs, overwriters and underwriters started to dominate the flow, providing more gamma supply (Figure 2), subsequently gold iltaceg m D G L d u p y n b

volatility came off the highs but remains elevated by a longer historical measure (Figure 3). n D G L m y o v d litIeap

Figure 2: GLD gamma imbalance by put and call Figure 3: Implied volatility on GLD Dealer’s perspective, negative means dealer short gamma 1M

Source: J.P. Morgan Equity Derivatives Strategy, Bloomberg Finance L.P. OPRA Source: J.P. Morgan Equity Derivatives Strategy

JPM Commodity Research pointed out the near linear relationship with 10Y since March (link), penalizing the safe haven effect of gold. However, the fundamental view remains on the upside in the long term, as we continue to see strong inflows from central banks with accelerated buying on the dip (link).

Figure 4: Gold price vs US 10yr real yield level, daily Figure 5: Reported central bank gold purchases and sales, monthly X-axis: US 10yr real yield level (bp); y-axis: Gold price (US$/oz) Tonnes

Source: Bloomberg Finance L.P., J.P. Morgan Commodities Research Note: State Oil Fund of the Republic of Azerbaijan (SOFAZ) only reports quarterly data, its reported 1Q26 sales are accounted for in March ‘26 in this chart. Source: World Gold Council, IMF, ECB, National Sources…