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JPMorgan iTraxx Index Vol Commentary

发布日期: 2026-06-22研究机构: JPMorgan报告页数: 4原文语言: English证据页码: 1

研报英文原文证据摘录

Sales & Trading

EMEA Macro Credit Trading J P M O R G A N

22 June 2026

EOD Commentary

Vol was unch today with index finishing a touch tighter on the back of dovish ECB comments on rates. Options were trading two

way with HFs buying more downside hedges in Aug+ expires against systematic accounts stepping in to sell Aug and Sep vol.

Front month skew continued to steepen with the rally and also supported by short covering in July tails.

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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