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

20 July 2026

EOD Commentary

Sentiment felt much better after +ve headlines from Iran side on negotiation and itraxx closed tighter on day. Even at open there

was a lot of profit taking from both RMs and HFs selling back protection. Vol space feels pretty slow still with front month better

offered, however street has generally good bid on short dated tail and long dated belly. Implied b/e edged higher with wider

spread and higher vol, back to 1.4bp/d for main and 6.7bp/d for xover. Itraxx u/p and steep skew & term, alongside with higher b/

e set up a better entry for covered put. Market consensus remains fading the US-Iran risk off moves, which is why we would

continue to see these price action in local moves wider. However there is also non-negligible risk of gap if the situation gets much

more escalation or tech earnings fail to bring the long-expected rally back to the market and trigger more aggressive unwinding of

momentum strategies, especially when market liquidity gets bad again in August. Therefore it also makes sense to own some

cheap summer gap in case the carry trades fail again this summer

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