REAL-TIME GLOBAL RESEARCH
Citi Credit Options Snapshot
Research evidence excerpt
Citi Credit Options Snapshot - 8/06/2026
IG
HY
Implied Volatility Surface (by Put Delta)
MA
Implied Volatility Surface (by Put Delta)
90%
1M
90%
80%
70%
60%
50%
40%
30%
20%
0%
3M
ATM
25% Put
70%
75%
25% Put
50%
1M
25%
20%
15%
10%
90%
25%
0%
3M
0%
Oct-26
3M Implied Volatility History
25%
20%
70%
15%
60%
50%
10%
50%
45%
40%
35%
30%
25%
20%
15%
10%
5%
0%
Oct-26
30%
20%
0%
Feb-25 May-25 Aug-25 Dec-25 Mar-26 Jun-26 Oct-26
90%
25% Put
3M Implied Skew History
50%
45%
40%
70%
35%
30%
60%
25%
50%
20%
15%
40%
10%
30%
5%
20%
0%
Feb-25 May-25 Aug-25 Dec-25 Mar-26 Jun-26 Oct-26
25% Call
65%
25% Put
50%
0%
3M
ATM
25% Put
25% Call
90%
25% Put
20%
100%
75%
6M
50%
1M
90%
0%
3M
6M
3M Implied Volatility History
25%
20%
70%
60%
15%
50%
40%
10%
30%
20%
5%
10%
0%
Feb-25 May-25 Aug-25 Dec-25 Mar-26 Jun-26 Oct-26
ATM
90%
25% Put
25-50 Skew (RHS)
3M Implied Skew History
35%
80%
30%
70%
25%
60%
50%
20%
40%
15%
30%
10%
20%
5%
10%
0%
Feb-25 May-25 Aug-25 Dec-25 Mar-26 Jun-26 Oct-26
25% RR (RHS)
25% Call
Realized Volatility
25%
80%
25-50 Skew (RHS)
3M Implied Skew History
100%
80%
90%
70%
80%
60%
70%
60%
50%
40%
30%
20%
10%
0%
Feb-25 May-25 Aug-25 Dec-25 Mar-26 Jun-26 Oct-26
25% RR (RHS)
Realized Volatility
25%
3M Implied Volatility History
100%
25%
90%
80%
20%
70%
60%
15%
50%
40%
10%
30%
20%
5%
10%
0%
Feb-25 May-25 Aug-25 Dec-25 Mar-26 Jun-26 Oct-26
25-50 Skew (RHS)
80%
25% RR (RHS)
Realized Volatility
5%
ATM
75%
1M
40%
5%
20%
100%
6M
80%
25-50 Skew (RHS)
3M Implied Skew History
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Feb-25 May-25 Aug-25 Dec-25 Mar-26 Jun-26
25% Call
100%
6M
3M Implied Volatility History
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Feb-25 May-25 Aug-25 Dec-25 Mar-26 Jun-26
100%
80%
50%
25%
Implied Volatility Surface (by Put Delta)
90%
60%
50%
100%
90%
70%
75%
Implied Volatility Surface (by Put Delta)
100%
80%
100%
XO
70%
25% Put
25% RR (RHS)
Realized Volatility
70%
50%
45%
30%
25%
50%
30%
10%
Feb-25 May-25 Aug-25 Dec-25 Mar-26
30D
Jun-26
90D
Oct-26
5%
Feb-25 May-25 Aug-25 Dec-25 Mar-26
30D
Jun-26
90D
Oct-26
10%
Feb-25 May-25 Aug-25 Dec-25 Mar-26
30D
Jun-26
90D
Oct-26
10%
Feb-25 May-25 Aug-25 Dec-25 Mar-26
30D
Jun-26
Oct-26
90D
Analyst: Philip Dobrinov.…
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