Hedge Comparison

Research evidence excerpt

Hedge Comparison

Hedge Comparison CreditPhilipDerivativeDobrinovStrategy

Note: The size of 3M hedges are determined by scaling the premiums spent to $10 MM. To get the expected index levels in a stress scenario, we apply the same historical moves to current spot levels. +1 212 723 2118

16-Jun-26

Scenario: The Financial Crisis (2008-2009)

Index Maturity Structure Strike Delta Price Notional/Contracts Premium Spot Expected Payout P&L Payout Ratio*

CDX IG 16-Sep-26 Payer 70.00 20% 6.79c 14,734,967,567 10,000,000 49.84 155 533,054,347 523,054,347 53.3

CDX IG 16-Sep-26 Payer 95.00 10% 3.23c 30,949,121,615 10,000,000 49.84 155 788,618,060 778,618,060 78.9

CDX IG 16-Sep-26 Payer Spread 57.5/77.5 40%/15% 7.68c 13,024,940,690 10,000,000 49.84 155 112,727,467 102,727,467 11.3

CDX HY 16-Sep-26 Payer 103.50 20% 34.49c 2,899,509,139 10,000,000 108.37 76 810,241,897 800,241,897 81.0

CDX HY 16-Sep-26 Payer 99.50 10% 18.74c 5,335,928,191 10,000,000 108.37 76 1,277,640,283 1,267,640,283 127.8

CDX HY 16-Sep-26 Payer Spread 106.5/102 40%/15% 47.16c 2,120,654,132 10,000,000 108.37 76 95,429,436 85,429,436 9.5

SPX 18-Sep-26 Put 7050 20% 1.16% 1,145 9,995,850 7,554.29 3,615 393,351,610 383,355,760 39.4

SPX 18-Sep-26 Put 6600 10% 0.62% 2,150 9,997,500 7,554.29 3,615 641,857,826 631,860,326 64.2

SPX 16-Sep-26 Put Spread 7500/6875 40%/15% 1.53% 866 9,993,640 7,554.29 3,615 54,125,000 44,131,360 5.4

VIX 16-Sep-26 Call 40.0 20% 9.26% 66,666 9,999,900 16.20 79 259,197,408 249,197,508 25.9

VIX 16-Sep-26 Call 70.0 10% 2.78% 222,222 9,999,990 16.20 79 197,333,136 187,333,146 19.7

VIX 16-Sep-26 Call Spread 25/55 40%/15% 9.20% 67,114 9,999,986 16.20 78.88 201,342,000 191,342,014 20.1

Payout Ratios, Financial Crisis

CDX HY 4/4/1900 Roll Adjusted Date 120 IG Spread HY Px SPX VIX