REAL-TIME GLOBAL RESEARCH
Sales & Trading: EMEA Macro Credit Trading
Research evidence excerpt
Sales & Trading: EMEA Macro Credit Trading
Sales & Trading
EMEA Macro Credit Trading J P M O R G A N
29 July 2026
JPMorgan iTraxx Index Vol Commentary
EOD Commentary
Front month vol was up 1~2% today with market turning weak into the uncertain fomc tonight. Flows were better bid overall with
both HFs and bank desks lifting gamma for the upcoming Fed as well as US-Iran escalation. Only a few short vol accounts
stepped in selling Sep ATM vol. Credit vol moved less than equity vol on the day which didn’t help to attract sellers in our space.
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
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