Citi Credit Options Snapshot

Research evidence excerpt

Citi Credit Options Snapshot

Citi Credit Options Snapshot - 6/23/2026

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 24% 31% 0.75 0.95 1M 22% 28% 4.18 5.22 1M 21% 31% 0.68 1.00 1M 21% 27% 3.28 4.07

3M 31% 39% 0.98 1.23 3M 32% 36% 5.97 6.83 3M 42% 40% 1.33 1.28 3M 40% 35% 6.14 5.37

6M 35% 48% 1.09 1.49 6M 33% 44% 6.21 8.24 6M 38% 49% 1.21 1.55 6M 37% 44% 5.59 6.73

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 50.3 31% 39% 48% Close 303.3 28% 36% 44% Close 51.2 31% 40% 49% Close 246.7 27% 35% 44%

1W Ago 49.8 28% 38% 48% 1W Ago 298.3 25% 35% 43% 1W Ago 51.3 32% 40% 49% 1W Ago 248.4 27% 35% 44%

1M Ago 52.4 31% 39% 45% 1M Ago 308.2 31% 38% 45% 1M Ago 55.2 38% 45% 50% 1M Ago 273.6 35% 41% 46%

3M Ago 62.7 62% 58% 57% 3M Ago 359.5 60% 55% 53% 3M Ago 69.2 77% 67% 66% 3M Ago 343.1 70% 62% 61%

6M Ago 50.2 28% 40% 48% 6M Ago 317.3 25% 36% 43% 6M Ago 50.8 29% 40% 48% 6M Ago 243.7 25% 36% 44%

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%