Citi Credit Options Snapshot

Research evidence excerpt

Citi Credit Options Snapshot

Citi Credit Options Snapshot - 6/24/2026

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% 32% 0.76 1.01 1M 22% 29% 4.17 5.43 1M 21% 32% 0.68 1.04 1M 21% 28% 3.28 4.32

3M 31% 40% 0.99 1.28 3M 32% 37% 6.02 6.96 3M 42% 41% 1.33 1.30 3M 40% 36% 6.14 5.51

6M 35% 48% 1.11 1.53 6M 33% 44% 6.27 8.36 6M 38% 49% 1.22 1.58 6M 37% 44% 5.63 6.85

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 50.9 32% 40% 48% Close 306.3 29% 37% 44% Close 51.7 32% 41% 49% Close 248.3 28% 36% 44%

1W Ago 50.3 31% 39% 47% 1W Ago 301.8 28% 36% 43% 1W Ago 51.5 31% 39% 48% 1W Ago 250.0 27% 35% 44%

1M Ago 51.7 31% 38% 45% 1M Ago 305.4 29% 37% 44% 1M Ago 54.4 37% 44% 49% 1M Ago 269.2 34% 40% 45%

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 50.0 26% 39% 47% 6M Ago 316.1 23% 34% 41% 6M Ago 50.9 29% 41% 48% 6M Ago 244.7 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%