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

17-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% 6.89c 14,523,997,761 10,000,000 50.32 156 513,913,199 503,913,199 51.4

CDX IG 16-Sep-26 Payer 95.00 10% 3.09c 32,345,414,947 10,000,000 50.32 156 798,370,186 788,370,186 79.8

CDX IG 16-Sep-26 Payer Spread 57.5/77.5 40%/15% 8.45c 11,839,936,560 10,000,000 50.32 156 102,529,995 92,529,995 10.3

CDX HY 16-Sep-26 Payer 103.50 20% 35.72c 2,799,376,458 10,000,000 108.22 75 785,293,886 775,293,886 78.5

CDX HY 16-Sep-26 Payer 99.50 10% 18.47c 5,413,730,811 10,000,000 108.22 75 1,302,135,292 1,292,135,292 130.2

CDX HY 16-Sep-26 Payer Spread 106/102 40%/15% 41.32c 2,420,147,934 10,000,000 108.22 75 96,805,917 86,805,917 9.7

SPX 18-Sep-26 Put 7025 20% 1.20% 1,109 9,992,090 7,511.35 3,594 380,490,291 370,498,201 38.1

SPX 18-Sep-26 Put 6550 10% 0.62% 2,150 9,997,500 7,511.35 3,594 635,525,248 625,527,748 63.6

SPX 16-Sep-26 Put Spread 7450/6825 40%/15% 1.49% 895 9,997,150 7,511.35 3,594 55,937,500 45,940,350 5.6

VIX 16-Sep-26 Call 40.0 20% 8.17% 74,626 9,999,884 16.41 79 291,713,034 281,713,150 29.2

VIX 16-Sep-26 Call 70.0 10% 3.47% 175,438 9,999,966 16.41 79 159,473,142 149,473,176 15.9

VIX 16-Sep-26 Call Spread 25/55 40%/15% 9.20% 66,225 9,999,975 16.41 79.09 198,675,000 188,675,025 19.9

Payout Ratios, Financial Crisis

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