REAL-TIME GLOBAL RESEARCH
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
22 June 2026
EOD Commentary
Vol was unch today with index finishing a touch tighter on the back of dovish ECB comments on rates. Options were trading two
way with HFs buying more downside hedges in Aug+ expires against systematic accounts stepping in to sell Aug and Sep vol.
Front month skew continued to steepen with the rally and also supported by short covering in July tails.
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
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