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

14 July 2026

EOD Commentary

Front month vol was up 1% after overnight US-Iran escalation took oil to $85 and main to 53.5 at wides. We saw a wave of aug

short covering from HFs community in the morning session alongside weakness in index. The unexpectedly soft CPI print

brought back some confidence and stopped rates from selling off further, which also pushed index gradually back to ~unch

territory on the day. As things were settling down a bit, we saw sellers stepping in selling outright and rolling shorts further out.

Term structure flattened a touch as a result.

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