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

16 July 2026

EOD Commentary

Vol was 0.5% lower again today with more selling coming in despite choppy price action on the back of Bab el-menda headlines.

Flow wise we saw HFs selling calendar and outright longer-dated vol as itraxx term structure screen steep vs. Spread and vs. Cdx

term. Spread struggled to realise after market got used to the geopolitical headlines and accounts felt comfortable selling vol here,

which helped push vol lower on the day.

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