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

24 July 2026

EOD Commentary

Pretty choppy session where itraxx didn’t manage to break wides again and chunk size of hedges got dumped after the Pakistan

headlines, illiquidity in index exacerbated the move either way and xover-main decomped 1.5bps on day driven by momentum

buying into xover, xo/hy rv trade and option hedging flow. Itraxx vol closed pretty much unch across expiry despite equity vol

coming back lower. There was interest in selling from vol RV accounts and street stays bid in the efforts to cover the short Vega.

Fronth month tail still feels better bid too but we saw some profit taking when itraxx traded at wides earlier today. Short skew in

itraxx still feels the right carry and for accounts looking for downside hedges, itraxx PS / fly looks attractive in payout and cdx 1-

2month outright payer still screens on the cheap side too.

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