信用违约互换指数期权仪表板：我们详细介绍了美国和欧洲信用违约互换期权的相对价值——单个、成对以及跨信用-股票期权的情况。

12mth...Pctile-10.553.859.685.4-11.659.966.891.9-50286314428-11.748.155.281.5-61295342478-8.034.945.672.8-8.238.650.978.7-7.130.939.061.9-8.434.442.573.0-7.428.036.167.2Restricted - External Position44%13%8%6%27%10%69%22%62%28%79%37%71%37%84%38%74%26%83%35% European Credit StrategySoren Willemann+44 (0) 20 7773 9983soren.willemann@barclays.comBarclays, UKKhush Patel+44 (0) 20 7773 4647khush.patel@barclays.comBarclays, UKUS Credit StrategyJigar Patel+1 212 412 1161jigar.n.patel@barclays.comBCI, US iTraxx MainFIGURE 2. SnapshotSpot (bp)3mth ATM Implied1mth RealizedImpl-Real (pct vol)Impl/Real (pct vol)Implied Vol Price1mth RealizedImpl-Real (price vol)Impl/Real (price vol)Implied Daily Move (bp)Straddle B/E Range (bp)Payer skew 130-100Receiver skew 100-80FIGURE 3. 3mth ATM implied and 1mth realized volatility, premiumFIGURE 5. Payer (130-100) and receiver (100-80) skew-40481216May-24Jul-24Implied volFIGURE 7. Implied volatility skew – current, 1wk and 1mth ago4050607080%90%Implied vol3 June 2025 FIGURE 9. Implied and realized (high-low, 2wk running) daily rangesSource: for the above charts and tables: Barclays Trading, Barclays Research3 June 2025 iTraxx SenFinFIGURE 11. SnapshotSpot (bp)3mth ATM Implied1mth RealizedImpl-Real (pct vol)Impl/Real (pct vol)Implied Vol Price1mth RealizedImpl-Real (price vol)Impl/Real (price vol)Implied Daily Move (bp)Straddle B/E Range (bp)Payer skew 130-100Receiver skew 100-80FIGURE 12. 3mth ATM implied and 1mth realized volatility, premiumFIGURE 14. Payer (130-100) and receiver (100-80) skew-2261014May-24Jul-24Implied volFIGURE 16. Implied volatility skew – current, 1wk and 1mth ago43485358636873788380%90%Implied vol3 June 2025 FIGURE 18. Implied and realized (high-low, 2wk running) daily rangesSource: for the above charts and tables: Barclays Trading, Barclays Research3 June 2025 iTraxx CrossoverFIGURE 20. SnapshotSpot (bp)3mth ATM Implied1mth RealizedImpl-Real (pct vol)Impl/Real (pct vol)Implied Vol Price1mth RealizedImpl-Real (price vol)Impl/Real (price vol)Implied Daily Move (bp)Straddle B/E Range (bp)Payer skew 130-100Receiver skew 100-80FIGURE 21. 3mth ATM implied and 1mth realized volatility, premiumFIGURE 23. Payer (130-100) and receiver (100-80) skew-2261014May-24Jul-24Sep-24Implied volFIGURE 25. Implied volatility skew – current, 1wk and 1mth ago3545556580%90%100%Implied vol3 June 2025 FIGURE 27. Implied and realized (high-low, 2wk running) daily rangesSource: for the above charts and tables: Barclays Trading, Barclays Research3 June 2025 FIGURE 36. Implied and realized (high-low, 2wk running) daily rangesSource: for the above charts and tables: Barclays Trading, Barclays Research3 June 2025 FIGURE 45. Implied and realized (high-low, 2wk running) daily rangesSource: for the above charts and tables: Barclays Trading, Barclays Research3 June 2025 iTraxx Main vs SenFin and CrossFIGURE 47. Main-SenFinFIGURE 49. 3mth ATM implied/1mth realized0.00.51.01.52.02.53.0May-24Jul-24Sep-24Nov-24Jan-253mth Implied/1mth realized Main (1.20)3mth Implied/1mth realized SenFin (1.26)FIGURE 51. 3mth ATM implied33384348535863687378May-24Jul-24Sep-24Nov-24Jan-25Main 3mth ATM implied (49)SenFin 3mth ATM implied (54)FIGURE 53. ATM implied and 3mth realized beta1.01.11.21.3May-24Jul-24Sep-24Nov-24Jan-253mth realized (1.15)3 June 2025 Source: for the above charts and tables: Barclays Trading, Barclays Research3 June 2025 iTraxx Main vs SX5E and DAXFIGURE 57. Main-SX5EFIGURE 59. 3mth ATM implied/1mth realized0.00.40.81.21.62.02.42.8May-24Jul-24Sep-24Nov-243mth Implied/1mth realized Main (1.20)3mth Implied/1mth realized SX5E (1.12)FIGURE 61. 3mth ATM implied515253545556575May-24Jul-24Sep-24Nov-24Main 3mth ATM implied (49)FIGURE 63. ATM implied and 3mth realized beta152535455565758595May-24Jul-24Sep-24Nov-243mth realized (37.42)3 June 2025 Source: for the above charts and tables: Barclays Trading, Barclays Research3 June 2025 iTraxx Cross vs SX5E and DAXFIGURE 67. Cross-SX5EFIGURE 69. 3mth ATM implied/1mth realized0.00.40.81.21.62.02.42.8May-24Jul-24Sep-24Nov-243mth Implied/1mth realized Cross (1.19)3mth Implied/1mth realized SX5E (1.12)FIGURE 71. 3mth ATM implied5152535455565May-24Jul-24Sep-24Nov-24Jan-25Cross 3mth ATM implied (43)FIGURE 73. ATM implied and 3mth realized beta2610141822May-24Jul-24Sep-24Nov-243mth realized (8.02)3 June 2025 Source: for the above charts and tables: Barclays Trading, Barclays Research3 June 2025 iTraxx SenFin vs SX7EFIGURE 78. 3mth ATM implied/1mth realizedFIGURE 80. ATM implied and 3mth realized beta01234May-24Jul-24Sep-24Nov-243mth realized (1.58)Source: for the above charts and tables: Barclays Trading, Barclays Research3 June 2025 iTraxx Main vs CDX.IG, iTraxx Cross vs CDX.HYFIGURE 82. Main-CDX.IGFIGURE 84. 3mth ATM implied/1mth realized0.00.51.01.52.02.53.03.54.0May-24Jul-24Sep-24Nov-24Jan-25Mar-25May-253mth Implied/1mth realized Main (1.20)3mth Implied/1mth realized CDXIG (0.78)FIGURE 86. 3mth ATM implied333843485358636873May-24Jul-24Sep-24No