JPMorgan iTraxx Index Vol Commentary

Research evidence excerpt

JPMorgan iTraxx Index Vol Commentary

Sales & Trading

EMEA Macro Credit Trading J P M O R G A N

19 June 2026

EOD Commentary

Vol was small higher by ~1.5% this week whilst main stayed at 51 handle with little realised vol. ATM vol was offered throughout

the week with accounts across the board selling Jul and Aug straddles and strangles. Especially post June expiry we saw more

sellers stepping in to add carry back in the book. There was also hedging demand in longer-date expiry 20~30 delta area from HFs

and bank desks, which pushed skew steeper across the term. Breakeven has come back to close to 1bp in main and 4.6bp in xo

after the rally.

Table 1: Main and XO 3M Vol Summary

(Data Source: J.P. Morgan)

Table 2: Fixed-strike Vol Change of Day

Table 3: X-Asset 3M IV - #Contracts 100mm Main Options Could Buy