The JPM collar has historically rolled on the last business day of each quarter. On that schedule, the Q4 2026 position was due to be set on Wednesday, September 30, 2026 and to expire Thursday, December 31, 2026. The Q3 2026 legs, which expired September 30, 2026, are listed in the fund's annual report. No SEC filing shows the Q4 2026 strikes yet (EDGAR checked October 18, 2026); the Q4 levels circulating now come from third parties, not from a filing. The strike table below lists every recent position as the fund itself reported it to the SEC. This page explains what the collar is, its three legs, how the roll works, where the legs cleared, and why those strikes become levels traders watch into quarter end.
Correction, October 18, 2026: an earlier version of this guide said the collar's strikes could be read straight off SPX open interest the day after a roll, that its legs show up in any per-strike SPX gamma profile including SquawkFlow's, and gave the March 2026 short put as near 5,310 from a third-party reconstruction. The fund's SEC filings list that short put at 5,470. They also show the legs cleared through the options clearing house through the March 2026 position, while the June 30, 2026 N-PORT report lists the June 2026 legs as cleared at CME Clearing House (index identifier SYRM6). CME-cleared legs are not in listed SPX open interest, so neither SPX open interest nor our SPX gamma view shows them. The text and the strike table below now follow the filings, each re-read on SEC EDGAR on October 18, 2026.
What the JPM collar actually is
The "JPM collar" is the options overlay run by the JPMorgan Hedged Equity Fund, best known by its institutional share class ticker JHEQX. Per the fund's June 30, 2026 fact sheet, it holds $18.52 billion in assets across roughly 155 U.S. large-cap stocks, a portfolio built to track the broad market. On top of that equity book, the fund runs what its SEC prospectus calls a Put/Spread Collar: a three-leg S&P 500 index options position that trades away some upside in exchange for a defined band of downside protection.
Plenty of funds hedge. What makes this one worth an article is the combination of size and predictability. The position is enormous, it resets on a public schedule, and it is built the same way every time. Through the March 2026 position, the legs cleared through the options clearing house, and new strikes could be spotted as fresh open interest in SPX options after a roll. That changed with the June 2026 position, which the fund's June 30, 2026 N-PORT report listed as cleared at CME Clearing House rather than the options clearing house (see the table below). The September 2026 legs appear only in the annual report, which lists the counterparty as "Exchange-Traded" and names no clearing house, so no filing yet says where positions after June 2026 cleared. The combination of size and schedule turns a mutual fund's internal risk management into a market structure event that index traders plan around four times a year.
The three legs
The prospectus describes the construction directly: the fund buys a put at a higher strike, writes a put at a lower strike, and simultaneously sells a call "that substantially offsets the cost of the put option spread." In practice, per the same filing, the put spread is maintained "to protect the Fund from a decrease in the market of 5% to 20%, with potential upside generally capped at 3.5-5.5%."
Concretely, with each leg expressed relative to the S&P 500 level at initiation:
- A put bought roughly 5% below the index. This is where protection begins.
- A put sold roughly 20% below the index. This is where protection ends; it also cheapens the hedge.
- A call sold a few percent above the index. The premium collected here pays for the put spread, bringing the net cost of the package near zero.
The payoff for fund holders follows from the legs. Declines smaller than about 5% are absorbed unhedged, declines between roughly 5% and 20% are offset by the put spread, and anything beyond 20% is once again the holder's problem. On the other side, quarterly gains beyond the call strike are forfeited. Think of the first 5% as a deductible and the call as the premium payment, an insurance framing that matters later when we look at what the hedge did and did not deliver.
The quarterly roll
The prospectus commits to resetting the options "on at least a quarterly basis," and in practice the flagship fund rolls on the last business day of March, June, September and December. The size is what turns the reset into an event. The fund's own filing for March 31, 2026 lists that quarter's legs at 30,774 to 30,978 contracts (third-party reconstructions had put them near 35,000). At an S&P 500 level of 6,500, a single 31,000-contract leg with the standard $100 multiplier controls about $20.2 billion of notional exposure, larger than the fund's $18.5 billion of net assets at June 30, 2026.
JPMorgan also runs sister funds, Hedged Equity 2 (JHQDX) and Hedged Equity 3 (JHQTX), that execute the same playbook on staggered schedules. Per JPMorgan's launch announcement, JHQDX resets its hedge on the last business day of January, April, July and October, and JHQTX on the last business day of February, May, August and November. The result is a smaller version of the roll landing at every month-end, though the quarter-end flagship roll remains the one the market watches.
Why one fund's hedge moves the S&P 500
The fund itself only trades four days a year. The reason the collar matters every day is the dealer on the other side. Whoever sells JHEQX its put spread and buys its call inherits a large, concentrated options position, and dealers do not carry directional risk; they hedge it in futures and adjust that hedge continuously as the market moves. Our guide to how market makers hedge walks through the mechanics; the short version is that tens of thousands of contracts at a single strike create hedging flows that scale with the position's gamma exposure.
While the legs cleared through the options clearing house, the collar's strikes were among the largest single lines of open interest in SPX and showed up as visible features in any per-strike gamma profile built from it. The June 2026 position was reported as cleared at CME, and a gamma profile built from listed SPX open interest, including ours, does not include CME-cleared legs. As expiration approaches and gamma concentrates near the strikes, dealer re-hedging can dampen movement around those levels, the dynamic traders call gamma pinning. This is why collar strikes routinely appear in level sets alongside call walls and put walls: not because anyone believes the market "must" respect them, but because a mechanical hedger with a known position sits behind them. For the broader framework on reading these positions, see our dealer positioning guide.
The roll day itself adds a second flow. The expiring legs and the newly struck legs sit at different strikes with different deltas, so dealers unwinding old hedges while establishing new ones produce net buying or selling that has nothing to do with news or sentiment.
The strikes, from the fund's SEC filings
JPMorgan Trust I files reports for the JPMorgan Hedged Equity Fund on SEC EDGAR (CIK 1217286): a quarterly N-PORT, plus the annual (N-CSR) and semiannual (N-CSRS) shareholder reports, each with a schedule of the option legs held on the report date. Each row below is the position that ran for the quarter ending on the date shown, read from the filing named in the last column. Contract counts are per leg as filed.
| Quarter ended | Short call | Long put | Short put | Contracts per leg | Clearing counterparty as filed | SEC accession (filed) |
|---|---|---|---|---|---|---|
| Sep 30, 2025 | 6,505 | 5,870 | 4,955 | 32,590 | Options Clearing | 0002071691-25-007769 (Nov 26, 2025) |
| Dec 31, 2025 | 7,000 | 6,330 | 5,340 | 31,187 call and long put, 31,190 short put | Options Clearing | 0002071691-26-004892 (Feb 26, 2026) |
| Mar 31, 2026 | 7,155 | 6,475 | 5,470 | 30,978 call, 30,774 each put | Options Clearing | 0002071691-26-012745 (May 29, 2026) |
| Jun 30, 2026 | 6,865 | 6,180 | 5,210 | 27,069 | CME Clearing House | 0002071691-26-021121 (Aug 28, 2026) |
| Sep 30, 2026 | 7,890 | 7,090 | 5,990 | 24,800 | Exchange-Traded (no clearing house named) | 0001193125-26-385060 (Sep 8, 2026), annual report on Form N-CSR |
Notes on reading the table:
- The June 30, 2026 legs also appear in the March 31, 2026 filing's schedule of investments, which lists them as 31,000 contracts per leg with the counterparty shown as "Exchange-Traded". By the June 30 report the count was 27,069 per leg and the counterparty was CME Clearing House, with index identifier SYRM6.
- "Options Clearing" is the counterparty name as filed. It is the clearinghouse for listed SPX options, which is why the earlier legs were visible in SPX open interest; that the legs were exchange-listed SPX options is our inference, not a line in the filing.
- The June 30, 2026 filing values the written 6,865 call at -$1.717 billion, -9.27% of the fund's $18.52 billion net assets. That is the filing's mark on the capped upside, not a realized loss: the fund collected the call premium and holds the stocks.
- The Sep 30, 2026 row comes from the fund's annual report on Form N-CSR, not an N-PORT: its schedule of investments as of June 30, 2026 (filed September 8, 2026) lists the legs set on the June 30 roll, expiring September 30, 2026, with the counterparty shown as "Exchange-Traded". It names no clearing house, so the table does not assign one.
- The Q4 2026 position (due to be set September 30, 2026 and expire December 31, 2026) is not in any filing yet (EDGAR checked October 18, 2026). The last four quarterly N-PORT reports were filed 57 to 59 days after their quarter ends, so on that pattern the September 30, 2026 report would appear in late November 2026. Until a filing shows them, any Q4 2026 strike levels you see are third-party estimates.
Case study: the March 31, 2026 expiration
The collar that expired on March 31, 2026 was short the 7,155 calls, long the 6,475 puts and short the 5,470 puts, per the fund's own N-PORT filing for that date. A widely cited reconstruction from open interest had put the short put near 5,310, 160 points away from the filed strike. The S&P 500 finished the quarter at 6,528.52, about 0.8% above the long put strike, so the fund's protection expired worthless by a narrow margin. Hypercall attributes part of that day's late strength to dealers unwinding the short futures they had carried against those puts into expiration. Treat that as one reading rather than a measurement: the session carried macro headlines and broad gains across indexes, and single-cause explanations of an index move rarely survive contact with the tape.
The fund's own results for that quarter are the more instructive number. The fact sheet's hedge-period table shows the fund returned -4.94% for the three months ended March 31, 2026, against -4.33% for the S&P 500 benchmark. A hedged fund lost slightly more than the index in a down quarter. That is not a malfunction; it is the deductible doing exactly what the term sheet says. The market's decline stopped just inside the unprotected first 5%, so the puts paid nothing, while the fund still bore the cost of running the overlay. Protection that starts 5% down is worth nothing in a 4% drawdown.
What holders get, in the fund's own numbers
The same fact sheet makes the two-sided nature of the trade unusually easy to audit, because JPMorgan publishes returns by hedge period and by calendar year.
The protection shows up in the bad years. In 2022 the fund returned -8.06% while the S&P 500 returned -18.11%. Its three-year beta stands at 0.59, meaning it moves a little more than half as much as the index. That is the product working as designed.
The cost shows up in the strong quarters. In the hedge period ended June 30, 2026, the fund returned 3.25% while the S&P 500 returned 15.20%. Most of that twelve-point gap is the call cap doing its work, with the overlay's running cost and ordinary tracking differences between the equity sleeve and the index accounting for the rest. Capped upside is not a footnote risk; in a ripping market it is most of the story.
Neither side of that ledger is a criticism. It is simply what a collar is, and the fund's documents disclose it plainly. The reason to internalize both numbers is that the same trade-offs apply to anyone replicating a collar in their own account.
How traders actually use this
You do not need to trade JHEQX, or trade like it, for the collar to be relevant. A few practical uses:
- Mark the strikes each quarter, from the filing. The legs sit at roughly 5% up, 5% down and 20% down from the index at the roll and persist for three months. The June 2026 position was reported as cleared at CME, and the September 2026 legs' filing names no clearing house, so SPX open interest is no longer a dependable place to read them. The fund's SEC filings are the primary source: the quarterly N-PORT, which arrives about two months after each quarter end, and the annual N-CSR and semiannual N-CSRS reports, whose schedules list the legs open on the report date.
- Weight them more as expiration nears. Gamma builds near the strikes into quarter end, which is when pin risk around the long put or short call becomes a real consideration, especially if the index is trading near one of them, as it was in March 2026.
- Expect mechanical flow on roll day. The last session of the quarter carries a known, sentiment-free flow event. When a late-day move lands on one of those dates, check the roll calendar alongside the headlines; mechanical flow and a macro catalyst can share the same afternoon.
- Do not look for the legs in an SPX gamma profile. SquawkFlow's per-strike SPX gamma view is built from listed SPX open interest. CME-cleared legs, like the June 2026 position's, are not in that data, so the view shows the rest of the SPX book around the collar strikes, not the collar itself.
The larger lesson extends past this one fund. Markets carry a growing share of systematic, disclosed, calendar-driven options flows, and the JPM collar is merely the biggest and best documented of them. Learning to read it is good training for reading all the others.
Educational content, not financial advice. See our risk disclosure.