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JPMorgan iTraxx Index Vol Commentary

发布日期: 2026-07-01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

01 July 2026

1 July 2026

EOD Commentary

Front month vol was 1% lower today on the back of systematic accounts selling ATM gamma with realise vol continue to

collapse. Skew steepen further supported by downside buying in longer-dated expires. Sep finally started to see sellers after being

bid for 2 months although selling is more concentrated on ATM area. All eyes on NFP tmr but market is only pricing 0.6% move.

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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