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

23 July 2026

EOD Commentary

Sentiment started to shift when rates & equities sell off accelerated after mid day and RMs stepped in lifting protection, which

pushed credit indices another leg wider this pm. Short Gamma covering in both EMEA and NA as spread kept breaking wides,

implied vol closed ~1-2% higher in itraxx and term structure flattened 2% on back of which rolling of hedges kept going. Implied

b/e moved higher to 1.75bp/d in main and 8bps in xover and today is the first day over the past month when we had larger moves

than implied. If the move sustains we might see more hedging coming through and sellers are waiting to sell at higher vol lvl.

Another day of itraxx u/p put 1month Z-score for main vs vga back at +2, and locally it should have more leg to go. At +3 area

the set up should look pretty good for entering selling credit payer vs equity payer in 30%d area.

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