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

10 July 2026

EOD Commentary

ATM vol was ~unch and front-month skew steepened again on the week. Vol was better offered to start the week as muted

realised vol brought more HFs and systematic sellers in front month. Market sold off on Wednesday after US struck Iran again

and threatened the end of the ceasefire. Main moved 1.5bp intraday which was the biggest move we have seen in the past 2

weeks, and that brought some bids in the vol space as people rushed to cover their shorts in July and Aug. Longer-dated downside

vol remained better bid as dealers were still recycling the hedging flows.

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