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

03 August 2026

3 August 2026

EOD Commentary

Short squeeze on the day with spread realising ~1.5x what upside Gamma has priced in, as expected there was net Vega supply all

day long as accounts jumped back into carry trade. Itraxx vol closed 0.5-1% lower with term structure a touch steeper. Skew

hasn’t moved despite the rally as downside has struggled to realise so far. There was some decent hedging flow from HF side but

got absorbed quite easily with vol RV accounts supplying on the other side. Sharp repricing of equity vol in front month also

makes the nfp Gamma more attractive to own again in equity than in credit.

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