U.S. Stock Moves Mispriced Around Results on Taxes, JPM Says
Why the Stock Market Sugar Rush Might Not Last
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Keep a bias toward long volatility on U.S. stocks before their earnings reports, JPMorgan Chase & Co. says.
The options market is expecting earnings-related volatility to be roughly in line with the historical average, but a larger-than-normal risk premium is justified by “the important and idiosyncratic tax reform data point accompanying companies’ earnings reports,” JPMorgan strategists Shawn Quigg, Marko Kolanovic and Bram Kaplan wrote in a report Tuesday.