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

15 July 2026

EOD Commentary

Vol was 0.5% today as vol sellers were all back after the July expiry. On the day we saw HFs and systematic accounts selling Aug

and Sep vol especially in ATM area alongside rates and equities stabilising locally. Term structure steepened with front month vol

better offered. In terms of opex its a quiet one with spreads pining around 52.5 and 250.

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