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

01 July 2026

1 July 2026

EOD Commentary

Front month vol was 1% lower today on the back of systematic accounts selling ATM gamma with realise vol continue to

collapse. Skew steepen further supported by downside buying in longer-dated expires. Sep finally started to see sellers after being

bid for 2 months although selling is more concentrated on ATM area. All eyes on NFP tmr but market is only pricing 0.6% move.

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