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

06 July 2026

6 July 2026

EOD Commentary

Vol was a touch lower with spread unable to realise for the past few weeks. Flow wise we saw some selling of tail receivers to

fund the downside by both HFs and RM. Skew is positioned for further steepening if we continue to stay here which seems like a

very likely case. Longer-dated vol is less bid now with systematic accounts stepping in to sell even the payer strikes.

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