Citi Credit Options Snapshot

Research evidence excerpt

Citi Credit Options Snapshot

Citi Credit Options Snapshot - 7/31/2026

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 23% 38% 0.75 1.24 1M 20% 32% 3.96 6.17 1M 26% 41% 0.88 1.36 1M 28% 40% 4.64 6.59

3M 22% 45% 0.74 1.47 3M 25% 38% 4.92 7.42 3M 26% 46% 0.87 1.55 3M 26% 44% 4.32 7.24

6M 35% 50% 1.17 1.64 6M 32% 43% 6.21 8.40 6M 39% 54% 1.29 1.79 6M 38% 50% 6.12 8.14

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 53.1 38% 45% 50% Close 313.6 32% 38% 43% Close 53.9 41% 46% 54% Close 262.8 40% 44% 50%

1W Ago 53.6 39% 46% 51% 1W Ago 316.0 33% 39% 44% 1W Ago 55.5 42% 47% 54% 1W Ago 267.9 40% 44% 50%

1M Ago 51.0 31% 40% 48% 1M Ago 304.5 28% 36% 43% 1M Ago 51.6 32% 41% 49% 1M Ago 244.6 29% 37% 44%

3M Ago 54.4 38% 43% 47% 3M Ago 330.4 30% 37% 43% 3M Ago 59.2 49% 52% 54% 3M Ago 292.8 43% 46% 48%

6M Ago 49.4 31% 38% 45% 6M Ago 296.2 28% 34% 39% 6M Ago 51.3 38% 43% 48% 6M Ago 246.8 33% 38% 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%