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

26 June 2026

EOD Commentary

Vol was 1~2% higher on the week supported by hedging flows in longer-dated with spreads at the tights and vol at the lows. In

general we saw better buying of downside from HFs and bank desks which pushed skew steeper across the term. But with 10d

realised vol dropping to low 10s, there was also decent atm selling in front months from systematic accounts. Term structure

steepen a touch on the week. Equity underperformed credit into the weekend with vga main back to fair territory in a one-month

lookback

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