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

22-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% 6.67c 14,988,064,201 10,000,000 50.29 156 538,068,898 528,068,898 53.8

CDX IG 16-Sep-26 Payer 95.00 10% 2.90c 34,431,734,139 10,000,000 50.29 156 868,517,492 858,517,492 86.9

CDX IG 16-Sep-26 Payer Spread 57.5/77.5 40%/15% 8.20c 12,202,137,879 10,000,000 50.29 156 105,413,132 95,413,132 10.5

CDX HY 16-Sep-26 Payer 103.50 20% 34.60c 2,890,510,634 10,000,000 108.15 75 812,203,856 802,203,856 81.2

CDX HY 16-Sep-26 Payer 100.00 10% 18.44c 5,422,448,084 10,000,000 108.15 75 1,333,866,640 1,323,866,640 133.4

CDX HY 16-Sep-26 Payer Spread 106/102 40%/15% 41.20c 2,427,419,831 10,000,000 108.15 75 97,096,793 87,096,793 9.7

SPX 18-Sep-26 Put 7000 20% 1.15% 1,154 9,993,640 7,500.58 3,589 393,639,171 383,645,531 39.4

SPX 18-Sep-26 Put 6550 10% 0.61% 2,169 9,999,090 7,500.58 3,589 642,259,265 632,260,175 64.2

SPX 16-Sep-26 Put Spread 7450/6825 40%/15% 1.50% 888 9,998,880 7,500.58 3,589 55,500,000 45,501,120 5.6

VIX 16-Sep-26 Call 40.0 20% 6.10% 100,000 10,000,000 16.40 79 390,800,000 380,800,000 39.1

VIX 16-Sep-26 Call 70.0 10% 2.68% 227,272 9,999,968 16.40 79 206,362,976 196,363,008 20.6

VIX 16-Sep-26 Call Spread 25/55 40%/15% 8.90% 68,493 9,999,978 16.40 79.08 205,479,000 195,479,022 20.5

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX