US Equity Derivatives Strategy: Revamping SPX Gamma Positioning; Banks Earnings Trades; Brazil & US Elections; Structured Product Trends

Global Equity Derivatives Strategy - US Equity Derivatives Strategy. New SPX dealer gamma positioning indicator: we move from an open-interest based proxy to a flow-based measure of dealer gamma. It tracks realized volatility well historically, and implies dealers are currently ~$10Bn long gamma per 1%, turning short gamma above ~8000/8200 and below ~7550. Banks earnings: into large-cap bank prints this week, we like Oct'26 XLF call spreads for an earnings-led bounce driven by a better NII outlook and stronger trading revenues, and Citi call spreads to position for an expected beat on FICC trading and higher-rate NII convexity. Brazil election: stay long the re-rating; we remain long EWZ volatility and EWZ call spreads, and for late entrants favor Dec EWZ call spreads, Nov NU call spreads, and long the JPM Brazil Financials basket (JPRBZFIN). US Midterms: SPX options continue to price only a modest event premium, with VIX below typical pre-midterm seasonality;