JPM Delta One Flows

J P M O R G A N Global Markets Strategy 21 September 2026

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Delta-One Flows & Positioning CIB-distorted week: US flows below avg amid sector rotation; India/Korea/Japan lead int’l weakness; duration cut

In this publication, we analyze flow and positioning metrics for global futures and Global Equity Derivatives Strategy US-listed ETFs across asset classes. Bram Kaplan, CFA AC ( Weekly Highlights ETF flows were heavily distorted by CIB activity tied to index rebalances around J.P. Morgan Securities LLC last Friday’s quad‑witching, making headline equity ETF prints unusually noisy. Daniel Motoc, CFA AC Adjusting for estimated CIB effects, US equity inflows looked modestly below ( average, but with a clear internal rotation: out of Financials/Health Care and into Tech, J.P. Morgan Securities LLC Communication Services, Discretionary, and Industrials. International flows were weak, led by strong outflows from India, Korea, and Japan. In rates, ETF investors and Arda Sebuktekin ( Asset Managers cut duration. In commodities, Managed Money sharply reduced Copper longs w/w, while Energy ETF inflows skewed toward inverse oil products. J.P. Morgan Securities LLC

ETFs Tony SK Lee ( • Asset classes: Equities ($38.3Bn, 0.8z), Fixed Income ($14.3Bn, 0.7z), and J.P. Morgan Securities (Asia Pacific) Limited/ J.P. Commodities ($2.8Bn, 1z) all posted strong inflows, while Currency/Multi- Morgan Broking (Hong Kong) Limited asset ($0.8Bn, 0.1z) was near-average. Davide Silvestrini • Regions: After adjusting for estimated custom in-kind basket rebalance ( (‘CIB’) effects, US inflows looked slightly below-average last week (~-0.3z). J.P. Morgan Securities plc International flows were weak: International DM saw below-average inflows ($2.7Bn, -1.3z) and EM saw outflows (-$1.5Bn, -1.3z), led by India (-1.8z), Korea (-1.7z), and Japan (-1.1z). 4w US ETF Flows ($Bn) • Sectors: A sharp sector rotation played out, with outflows from Financials 50 Equities Fixed Income (-$2.8Bn, -2.4z) and Health Care (-$1Bn, -1.5z) into Discretionary ($1.6Bn, 40 35.0 Other 38.3

30 3.7z), Comm. Services (1.6z), Industrials (0.9z), and Tech ($3Bn, 0.9z; led by +$1.7Bn into SOXX).

• Styles: Equity factor and thematic flows were skewed by CIB creations (which -10 -12.8 will likely reverse this week as the redemption leg prints). Call writing saw -20 8/28 9/4 9/11 9/18

strong inflows (0.9z). Source: J.P. Morgan Equity Derivatives Strategy, Bloomberg Finance L.P. • Levered ETFs: Levered products drew strong inflows ($1.8Bn, 1z), led by 4w Global Futures Flows ($Bn) SOXL ($0.5Bn) and TQQQ ($0.3Bn). 80 Equities

• Fixed Income: Munis ($3.9Bn, 3.9z) and Loans ($1.5Bn, 2.1z) saw strong Fixed Income Commodities 26.0 inflows, while International bonds (-1.5z) saw outflows. Investors also rotated out of Long-term (-1.1z) into Short-term (0.5z) gov’t bonds. -

• Commodities: Commodities saw ~1z inflows across categories (except Base -60 -80 -82.3 Metals). Precious Metals inflows were primarily driven by gold, while Energy -100 8/28 9/4 9/11 9/18

inflows went mostly into inverse oil funds. Source: J.P. Morgan Equity Derivatives Strategy, Bloomberg Finance L.P. Sum of futures in Tables 1-5. • Currency/Multi-Asset: Fiat ETFs ($0.1Bn, 1.5z) saw above-typical inflows, mainly into long USD and JPY products. Futures

See page 21 for analyst certification and important disclosures.

Bram Kaplan, CFA AC Global Markets Strategy ( September 2026 JPMORGAN

• Flows: We saw large net buying (>1.5z) in MID, CAC 40, JSE Top 40, ASX 200, UK 10y, GBP, JPY, CAD and CHF futures, and large net selling (<-1.5z) in BIST 30, China A50 and CSI 300 futures. • CTAs: CTAs likely remain net long global equities and added to longs w/w, while staying broadly short global rates (ex-China). They likely bought copper w/w, remain long Energy and Ags, and hold mixed exposure in global FX vs USD. • CFTC Positioning: Asset Managers sold NDX…