Citi Credit Options Snapshot

Research evidence excerpt

Citi Credit Options Snapshot

Citi Credit Options Snapshot - 6/18/2026

IG HY MA XO

Volatiliy Bps/Day Volatiliy Bps/Day Volatiliy Bps/Day Volatiliy Bps/Day

IG Realized Implied Realized Implied HY Realized Implied Realized Implied Main Realized Implied Realized Implied Xover Realized Implied Realized Implied

1M 25% 32% 0.79 1.02 1M 24% 29% 4.57 5.59 1M 26% 32% 0.84 1.02 1M 25% 28% 3.95 4.37

3M 36% 41% 1.13 1.31 3M 34% 38% 6.58 7.21 3M 42% 40% 1.36 1.28 3M 41% 35% 6.33 5.50

6M 35% 49% 1.11 1.57 6M 33% 45% 6.29 8.66 6M 38% 49% 1.22 1.56 6M 37% 44% 5.70 6.86

IG Level 1M ATM 3M ATM 6M ATM HY Level 1M ATM 3M ATM 6M ATM Main Level 1M ATM 3M ATM 6M ATM Xover Level 1M ATM 3M ATM 6M ATM

Close 51.4 32% 41% 49% Close 308.2 29% 38% 45% Close 51.9 32% 40% 49% Close 251.6 28% 35% 44%

1W Ago 52.6 35% 43% 49% 1W Ago 314.5 34% 40% 46% 1W Ago 54.5 38% 44% 51% 1W Ago 266.5 34% 39% 45%

1M Ago 53.7 34% 41% 47% 1M Ago 314.5 34% 40% 44% 1M Ago 57.5 44% 49% 53% 1M Ago 280.5 39% 43% 47%

3M Ago 57.2 58% 57% 55% 3M Ago 352.0 54% 52% 50% 3M Ago 61.4 70% 64% 64% 3M Ago 295.0 64% 59% 59%

6M Ago 51.8 35% 44% 51% 6M Ago 324.8 29% 39% 45% 6M Ago 52.2 36% 43% 50% 6M Ago 251.7 32% 39% 46%

IG Bps/Day Histogram HY Bps/Day Histogram MA Bps/Day Histogram XO Bps/Day Histogram

50% 50% 50% 50%

40% 40% 40% 40%

30% 30% 30% 30%

20% 20% 20% 20%

10% 10% 10% 10%

0% 0% 0% 0%

0.5 1 2 3 4 5 >5 2.5 5 10 15 20 25 >25 0.5 1 2 3 4 5 >5 2.5 5 10 15 20 25 >25

Past 90 Days Past 30 Days Past 90 Days Past 30 Days Past 90 Days Past 30 Days Past 90 Days Past 30 Days

300% 90D Back-Looking Implied/Realized Ratio 225% 90D Back-Looking Implied/Realized Ratio 325% 90D Back-Looking Implied/Realized Ratio 300% 90D Back-Looking Implied/Realized Ratio

275% 300% 275%

200% 275% 250%250%

250% 225%225% 175% 225% 200%

200% 200%

150% 175%