Trader Commentaries

Research evidence excerpt

Trader Commentaries

Sales & Trading

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

29 June 2026

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iTraxx Curves

• XO rolls found a floor and steepened over the week with some profit taking and NAVs steepening from the rally seen in

Merlin.

• Main curves were quiet with small two way in both older rolls and 5s10s.

• The largest area of activity came in financial rolls which flattened significantly over the week from a mix of skew lists as

well as some setting of new flatteners.

iTraxx Options

• 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

iTraxx Tranches

• A quieter week in tranches which saw main correlations move a little higher and XO mixed.

• The rise in XO abated slightly with some weakness in mezzanine - 10-20 moved 10-15c wider vs delta whilst older series

20-35 underperformed by a similar amount.

• With overall tighter spreads we continue to see generically more buyers of protection / long unwinds across families and

series.

Table 1: One table rules all !