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

07 July 2026

7 July 2026

EOD Commentary

Longer-dated vol was a touch lower as the muted realised vol for past month has finally reassured dealers to offer hedges and

lighten up carry into the summer. In the meantime we saw systematic accounts selling more front month atm vol / rolling July

shorts further out, which also helped push vol lower. Main moved 0.7bp intraday, still struggling to realise the implied b/e which

is currently at 0.9bp.

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