Thank you for this, genuinely appreciate you taking the time to comment.
You are completely right and I have updated the article. The original described the JHEQX structure as a "risk reversal" and called the quarterly transition a "roll" - both were wrong. I went back to the SEC 497k prospectus directly (JPMorgan Trust I 2023, Trust IV 2022 and 2025) and it explicitly names the structure a Put/Spread Collar with three legs: long put at roughly -5%, short put at roughly -20% to form the spread, and a short call to make the whole package near zero cost. The sold put leg and the -5% to -20% protection band were completely missing from my original piece.
On the roll mechanics: the corrected article now makes clear that JPMorgan holds the structure all the way through to expiry without any mid-life adjustment, then initiates a completely fresh collar. Re-strike is the accurate term, not roll. The 0DTE calls on transition day are there to bridge the delta imbalance between the expiring and the incoming structure, nothing more. All of this is now sourced to the prospectus and MenthorQ's collar guide.
This was the most structurally significant correction in the piece. I should have verified this against the primary source before publishing.
Correct on all three points and the article now reflects each one.
The 0DTE call purchase on transition day as a delta bridging tool rather than a position roll is now explicitly described and sourced. Re-strike is used throughout the corrected piece instead of roll.
Your point on QYLD vs the rest of the Global X yield fund family is really interesting and goes a bit beyond the scope of this article, but worth flagging for anyone reading the comments. QYLD runs a covered call overlay on the Nasdaq-100 and does actually close and re-establish the short call at each monthly expiry, which makes it structurally different from JHEQX's hold to expiry approach. The fact that QYLD does this but the other funds in the same family do not is a genuinely odd divergence that I want to look at properly in a dedicated piece on covered call overlay mechanics. Thank you for adding that context, it is the kind of thing that only comes from someone who actually watches these flows.
Both observations are well supported and the corrected article now cites primary data for each.
On the institutional dominance of large block vol selling: Cboe's own research shows institutional 0DTE average daily volume hit 1.1 million contracts in Q3 2025, up 70% year over year, with hedge funds and banks using these contracts for precisely timed risk management around macro events.
On the balanced and transient nature of the flow: Cboe's white paper documents that customer activity in 0DTE is extremely balanced between buys and sells, which results in net market maker gamma exposure that is de minimis, at most 0.2% of SPX daily liquidity. That is exactly what you are describing. Volume being traded back and forth between participants, not building up as persistent directional dealer exposure.
The corrected article now separates retail headcount (roughly 50-60% of individual trades) from institutional notional, which is the dominant share of large block and vol selling flow. Your framing of how the 0DTE ecosystem actually works is more precise than what I had originally written and I appreciate you laying it out clearly.
JP Morgan doesn’t roll a collar
Thank you for this, genuinely appreciate you taking the time to comment.
You are completely right and I have updated the article. The original described the JHEQX structure as a "risk reversal" and called the quarterly transition a "roll" - both were wrong. I went back to the SEC 497k prospectus directly (JPMorgan Trust I 2023, Trust IV 2022 and 2025) and it explicitly names the structure a Put/Spread Collar with three legs: long put at roughly -5%, short put at roughly -20% to form the spread, and a short call to make the whole package near zero cost. The sold put leg and the -5% to -20% protection band were completely missing from my original piece.
On the roll mechanics: the corrected article now makes clear that JPMorgan holds the structure all the way through to expiry without any mid-life adjustment, then initiates a completely fresh collar. Re-strike is the accurate term, not roll. The 0DTE calls on transition day are there to bridge the delta imbalance between the expiring and the incoming structure, nothing more. All of this is now sourced to the prospectus and MenthorQ's collar guide.
This was the most structurally significant correction in the piece. I should have verified this against the primary source before publishing.
They buy positive Delta in the 0DTE to offset a neutralize and Delta imbalance of the expiring collar and the new collar coming in
A re strike would be a more accurate term
QYLD on the other hand does buy back the actual cross stride that they sold. The other funds in the Y of the family of funds don’t for some reason.
Correct on all three points and the article now reflects each one.
The 0DTE call purchase on transition day as a delta bridging tool rather than a position roll is now explicitly described and sourced. Re-strike is used throughout the corrected piece instead of roll.
Your point on QYLD vs the rest of the Global X yield fund family is really interesting and goes a bit beyond the scope of this article, but worth flagging for anyone reading the comments. QYLD runs a covered call overlay on the Nasdaq-100 and does actually close and re-establish the short call at each monthly expiry, which makes it structurally different from JHEQX's hold to expiry approach. The fact that QYLD does this but the other funds in the same family do not is a genuinely odd divergence that I want to look at properly in a dedicated piece on covered call overlay mechanics. Thank you for adding that context, it is the kind of thing that only comes from someone who actually watches these flows.
Most of the large zero DTE flows are institutional, especially the volatility selling that we often see
Most of the volume is traded back-and-forth between participants, retail and hedge funds, and doesn’t remain in the chain very long
Both observations are well supported and the corrected article now cites primary data for each.
On the institutional dominance of large block vol selling: Cboe's own research shows institutional 0DTE average daily volume hit 1.1 million contracts in Q3 2025, up 70% year over year, with hedge funds and banks using these contracts for precisely timed risk management around macro events.
On the balanced and transient nature of the flow: Cboe's white paper documents that customer activity in 0DTE is extremely balanced between buys and sells, which results in net market maker gamma exposure that is de minimis, at most 0.2% of SPX daily liquidity. That is exactly what you are describing. Volume being traded back and forth between participants, not building up as persistent directional dealer exposure.
The corrected article now separates retail headcount (roughly 50-60% of individual trades) from institutional notional, which is the dominant share of large block and vol selling flow. Your framing of how the 0DTE ecosystem actually works is more precise than what I had originally written and I appreciate you laying it out clearly.