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

28 July 2026

EOD Commentary

Atm vol was roughly unch today with mixed flows going through. Market settled down a bit locally as de-escalation drove Brent

down to low 80s despite still weak semis. We saw buying of both downside and upside hedges into tomorrow’s FOMC from Aug

to Oct. Systematic accounts took the other side and sold Oct/Nov atm vols, which kept vol unch on the session. All eyes on the

Fed tmr, which stills see a lot of uncertainty (30% chance of hike from rates pricing), and even without a hike the market is

expected to see higher vol with hawkish Warsh.

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