#JPM roll preliminary numbers; they may adjust:
-3020P
+3580P
-4005C
Appears to be 46,700 contracts, Sept Quarterly expiry.
-3020P
+3580P
-4005C
Appears to be 46,700 contracts, Sept Quarterly expiry.
$JPM also sold 26,300 of the 0DTE for today of the 4285P that were deep ITM to offset the delta of the roll. This will leave a major imbalance at 4:01 pm ET, as dealers will still be net short.
Final delta is around -56 and change per contract; multiplied by 46,700 contracts this will be a material imbalance.
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