JP Morgan has launched a credit market equivalent of Wall Street's "fear gauge". VTRAC-X is a new family of CDS volatility trackers designed to mirror the role of the (ⅥⅩ) index in equity markets and boost liquidity in index products. Credit options have been one of the fastest growing asset classes in the fixed income space and the addition of an index to track changes in expected future volatility will enable investors to compare volatility across global CDS indexes. The new index also opens the door for investors to take a view on implied versus realised variance through the creation of a new swaps product. VTRAC-X Swaps, which comprise a static option basket and the total return of a dynamic strategy to capture the delta of the basket, are traded out to three months, but the standard tenor is one month.
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