CD Player: Market Themes and Relative Value Trade Ideas in the Credit Derivatives Market

Research evidence excerpt

CD Player: Market Themes and Relative Value Trade Ideas in the Credit Derivatives Market

J P M O R G A N Global Credit Research

22 July 2026

CD Player

Market Themes and Relative Value Trade Ideas in the

Credit Derivatives Market

Credit Derivative and Index

Research

Saul Doctor AC

(44-20) 7134-1539

saul.doctor@jpmorgan.com

J.P. Morgan Securities plc

Macro Stability, Micro Fragility. Credit drifts modestly wider, while dispersion AC Dmytro Shelukhin, CFA

builds.

(44-20) 7134-2151

dmytro.shelukhin@jpmorgan.com

Market Themes J.P. Morgan Securities plc

Pavan D Talreja, CFA AC

• No. 1: Harvesting Main Skew Premium via Risk Reversals: A First Look. (1-212) 834-2051

We find that iTraxx Main option skew persistently prices more spread-vol pavan.talreja@jpmchase.com

J.P. Morgan Securities LLC

covariance than subsequently realises, and that this gap can be monetised AC Joao Araujo

through short-payer/long-receiver risk reversals. Across more realistic (44-20) 3493-4213

implementations, performance is robust across strikes but depends materially joao.fonsecadearaujo@jpmorgan.com

on sizing, with gamma-neutral structures delivering the strongest risk-adjusted J.P. Morgan Securities plc

results. Hakil Haxhiu

hakil.haxhiu@jpmorgan.com

Trade Ideas J.P. Morgan Securities LLC

• No. 1: US Decompression via Sen Mezz tranches. CDX.HY/CDX.IG

spreads have compressed in recent weeks despite rising dispersion, as cash-

market compression has spilled into CDX indices. We recommend using the

recent compression to add decompression trades. We suggest buying

protection in the CDX.HY S45 Senior Mezz tranche, funded by selling

protection in the CDX.IG S45 IG Sen Mezz tranche. In our view, the tranche

format offers a compressed entry point, index-like positive time value, and a