REAL-TIME GLOBAL RESEARCH
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
17 July 2026
EOD Commentary
Front month ATM vol was up 3% this week with spread drifting wider to mid 53s in main and mid 250s in xo on the back of
geopolitical headlines and semi sector degrossing. Into options expiry we saw sellers selling front month ATM vol, which pushed
Aug/Sep ATM vol lower and term steeper. The steep itraxx term attracted some sellers of longer-dated vol as our term screened
steep vs. Spread and vs. CDX term. The selloff on Friday brought back some buyers of gamma with bank desks and HFs lifting
Sep/Oct downside. All eyes on ME development over the weekend and further escalation will bring continued bids on vol.
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
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