Citi Credit Options Snapshot

Research evidence excerpt

Citi Credit Options Snapshot

Citi Credit Options Snapshot - 7/27/2026

IG HY MA XO

Volatiliy Bps/Day Volatiliy Bps/Day Volatiliy Bps/Day Volatiliy Bps/Day

IG Realized Implied Realized Implied HY Realized Implied Realized Implied Main Realized Implied Realized Implied Xover Realized Implied Realized Implied

1M 18% 38% 0.60 1.27 1M 15% 32% 3.01 6.32 1M 22% 42% 0.76 1.44 1M 25% 41% 4.05 6.79

3M 22% 46% 0.72 1.52 3M 25% 39% 4.87 7.64 3M 26% 48% 0.88 1.63 3M 26% 45% 4.27 7.42

6M 35% 51% 1.16 1.69 6M 31% 44% 6.14 8.69 6M 38% 55% 1.30 1.86 6M 37% 51% 6.10 8.34

IG Level 1M ATM 3M ATM 6M ATM HY Level 1M ATM 3M ATM 6M ATM Main Level 1M ATM 3M ATM 6M ATM Xover Level 1M ATM 3M ATM 6M ATM

Close 53.5 38% 46% 51% Close 315.7 32% 39% 44% Close 55.1 42% 48% 55% Close 265.7 41% 45% 51%

1W Ago 52.3 34% 43% 49% 1W Ago 309.8 28% 37% 43% 1W Ago 53.5 37% 44% 52% 1W Ago 257.4 37% 42% 48%

1M Ago 50.9 33% 41% 49% 1M Ago 304.8 28% 36% 44% 1M Ago 51.8 33% 41% 49% 1M Ago 248.0 28% 36% 44%

3M Ago 54.6 38% 43% 46% 3M Ago 331.6 29% 37% 42% 3M Ago 58.3 49% 51% 54% 3M Ago 287.7 43% 45% 48%

6M Ago 48.9 30% 37% 44% 6M Ago 291.0 27% 33% 38% 6M Ago 50.4 35% 41% 48% 6M Ago 242.3 31% 37% 43%

IG Bps/Day Histogram HY Bps/Day Histogram MA Bps/Day Histogram XO Bps/Day Histogram

50% 50% 50% 50%

40% 40% 40% 40%

30% 30% 30% 30%

20% 20% 20% 20%

10% 10% 10% 10%

0% 0% 0% 0%

0.5 1 2 3 4 5 >5 2.5 5 10 15 20 25 >25 0.5 1 2 3 4 5 >5 2.5 5 10 15 20 25 >25

Past 90 Days Past 30 Days Past 90 Days Past 30 Days Past 90 Days Past 30 Days Past 90 Days Past 30 Days

300% 90D Back-Looking Implied/Realized Ratio 250% 90D Back-Looking Implied/Realized Ratio 325% 90D Back-Looking Implied/Realized Ratio 300% 90D Back-Looking Implied/Realized Ratio

300% 275%275% 225% 275% 250%250%

250% 200% 225%225% 225% 200% 175%200% 200%

175%