Credit Volatility Field Notes: Smile Dynamics, Spread-Vol Regimes & Implied vs Realised Skew in CDS Index Options

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Credit Volatility Field Notes: Smile Dynamics, Spread-Vol Regimes & Implied vs Realised Skew in CDS Index Options

J P M O R G A N Global Credit Research & Global

Index Research

29 June 2026

Credit Volatility Field Notes

Smile Dynamics, Spread-Vol Regimes & Implied vs

Realised Skew in CDS Index Options

• CDS option volatility moves systematically with spreads, making volatility Credit Derivative and Index

dynamics central to hedging, risk management, systematic trading and skew Research

pricing. Dmytro Shelukhin, CFA AC

• Volatility skew reflects the market pricing of state-dependent volatility risk: (44-20)dmytro.shelukhin@jpmorgan.com7134-2151

the key empirical question is to what extent this implied comovement is J.P. Morgan Securities plc

realised in practice. Saul Doctor

• Sticky delta, sticky strike and local volatility provide useful heuristics (44-20) 7134-1539

encapsulating the regimes of spot-vol comovement, but real markets rarely saul.doctor@jpmorgan.com

J.P. Morgan Securities plc

follow one rule mechanically; knowing how the surface actually behaves

Pavan D Talreja, CFA relative to heuristic regimes is crucial.

(1-212) 834-2051

• We apply the skew stickiness ratio framework to CDS index options, pavan.talreja@jpmchase.com

measuring how ATM volatility responds to spread moves relative to the slope J.P. Morgan Securities LLC

of the option smile. Joao Araujo

(44-20) 3493-4213

• The results point to a stable “sticky strike plus” regime: CDS volatility moves joao.fonsecadearaujo@jpmorgan.com

more than a fixed-smile assumption would imply, but less than the local- J.P. Morgan Securities plc

volatility benchmark. Hakil Haxhiu

• This pattern is broadly consistent across major CDS indices and short-dated hakil.haxhiu@jpmorgan.comJ.P. Morgan Securities LLC

expiries.