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

22 July 2026

EOD Commentary

Sentiment flipped from start of day as oil & gas prices kept breaking higher which triggered another round of rates sell off. Credit

however remains pretty calm with spread stuck in the tight range. However on the day we did see decent size of short dated OTM

PS buying and rolling of tail hedges, which, combined with relentless Gamma selling, has supported the steepness of term

structure. And we started to see HFs taking the other side around low delta OTM area. On back of elevated skew in itraxx, we still

like replacing index short with 1m/2m PS here and short credit 30-40%d payer vs own SX5E put still makes sense.

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