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

21 July 2026

EOD Commentary

Realised vol remains low in credit and itraxx had another day of u/p vs sx5e. Implied vol still trades at more than 20% premium to

1-2month realised, on back of which we started to see more format of vol selling such as bearish seagull, pay ladder and covered

put etc. Term structure steepened back on the day as hedging still comes more into longer dated expiry, whilst Gamma stays better

offered everywhere. 1month OTM feels more two way. At current level we like selling sub 20%d calendar for 1m-6m, and itraxx

PS still screens cheap vs equity and cdx on back of steeper skew for accounts interested in reloading hedges.

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