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JPMorgan iTraxx Index Vol Commentary

发布日期: 2026-07-17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

17 July 2026

EOD Commentary

Front month ATM vol was up 3% this week with spread drifting wider to mid 53s in main and mid 250s in xo on the back of

geopolitical headlines and semi sector degrossing. Into options expiry we saw sellers selling front month ATM vol, which pushed

Aug/Sep ATM vol lower and term steeper. The steep itraxx term attracted some sellers of longer-dated vol as our term screened

steep vs. Spread and vs. CDX term. The selloff on Friday brought back some buyers of gamma with bank desks and HFs lifting

Sep/Oct downside. All eyes on ME development over the weekend and further escalation will bring continued bids on vol.

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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