Global Credit Derivatives Research CDS index option dashboard: We give a detailed view of the RV of US and European CDS options – individually, across pairs and across credit-equity options.

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Global Credit Derivatives Research CDS index option dashboard: We give a detailed view of the RV of US and European CDS options – individually, across pairs and across credit-equity options.

FICC Research

Credit Strategy

28 July 2026

Global Credit Derivatives Research

CDS index option dashboard

We give a detailed view of the RV of US and European CDS

options – individually, across pairs and across credit-equity

options. European Credit Strategy

Soren Willemann

+44 (0) 20 7773 9983

soren.willemann@barclays.com

Three quick takes Barclays, UK

Khush Patel

1. CDS indices widened last week amid re-escalating US-Iran tensions, before partially retracing +44 (0) 20 7773 4647

yesterday amid some de-escalation over the weekend (Main +1bp, CDX.IG +0.8bp). Spreads khush.patel@barclays.com

continue to be positioned at the tighter end of their 1-year range (below 20%). Meanwhile, 3mth Barclays, UK

implied vol increased by 2.3pp for Main and 1pp for CDX.IG, both positioned at c.30% in their

range (Figure 1). US Credit Strategy

Jigar Patel

2. The 1s3s term structure have flattened across iTraxx indices, away from recent steep levels, +1 212 412 1161

now trading in the middle of their 1-year range (See Figure 6 for Main). jigar.n.patel@barclays.com

BCI, US

3. Despite the recent moves, indices continue to trade in a tight range with realised trading

ranges across indices near recent lows and noticeably below implied daily moves (See Figure

9 for Main and Figure 36 for CDX.IG).

FIGURE 1. Volatility snapshot

1wk 1mth Current Changes 12mth... ago ago

27-Jul 20-Jul 26-Jun -1wk -1mth Low Average High Pctile Position

Index Levels (bp)

Main 54.1 53.1 51.8 1.0 2.3 50.5 56.7 73.5 27% 16%

SenFin 56.2 55.5 54.4 0.7 1.8 53.0 60.8 80.1 13% 12%

Cross 262 256 247 5.9 14 239 276 362 18% 18%