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JPMorgan iTraxx Index Vol Commentary

发布日期: 2026-07-06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

06 July 2026

6 July 2026

EOD Commentary

Vol was a touch lower with spread unable to realise for the past few weeks. Flow wise we saw some selling of tail receivers to

fund the downside by both HFs and RM. Skew is positioned for further steepening if we continue to stay here which seems like a

very likely case. Longer-dated vol is less bid now with systematic accounts stepping in to sell even the payer strikes.

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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