实时全球研报

JPMorgan iTraxx Index Vol Commentary

发布日期: 2026-07-22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 July 2026

EOD Commentary

Sentiment flipped from start of day as oil & gas prices kept breaking higher which triggered another round of rates sell off. Credit

however remains pretty calm with spread stuck in the tight range. However on the day we did see decent size of short dated OTM

PS buying and rolling of tail hedges, which, combined with relentless Gamma selling, has supported the steepness of term

structure. And we started to see HFs taking the other side around low delta OTM area. On back of elevated skew in itraxx, we still

like replacing index short with 1m/2m PS here and short credit 30-40%d payer vs own SX5E put still makes sense.

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

本摘录由系统从所标注的 PDF 证据页直接提取并保留英文原文，不做批量翻译；登录后在阅读器切换中文时才按需翻译。