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

23-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% 6.32c 15,825,913,212 10,000,000 50.26 156 566,696,945 556,696,945 56.7

CDX IG 16-Sep-26 Payer 95.00 10% 2.78c 36,017,155,289 10,000,000 50.26 156 905,749,874 895,749,874 90.6

CDX IG 16-Sep-26 Payer Spread 57.5/77.5 40%/15% 7.82c 12,788,014,118 10,000,000 50.26 156 110,317,810 100,317,810 11.0

CDX HY 16-Sep-26 Payer 103.50 20% 34.01c 2,940,283,017 10,000,000 108.11 75 826,984,121 816,984,121 82.7

CDX HY 16-Sep-26 Payer 100.00 10% 18.27c 5,473,996,573 10,000,000 108.11 75 1,348,026,620 1,338,026,620 134.8

CDX HY 16-Sep-26 Payer Spread 106/102 40%/15% 40.31c 2,480,502,375 10,000,000 108.11 75 99,220,095 89,220,095 9.9

SPX 18-Sep-26 Put 6975 20% 1.15% 1,158 9,993,540 7,472.79 3,576 393,648,409 383,654,869 39.4

SPX 18-Sep-26 Put 6525 10% 0.61% 2,197 9,996,350 7,472.79 3,576 647,979,174 637,982,824 64.8

SPX 16-Sep-26 Put Spread 7425/6800 40%/15% 1.52% 877 9,989,030 7,472.79 3,576 54,812,500 44,823,470 5.5

VIX 16-Sep-26 Call 40.0 20% 5.61% 103,092 9,999,924 17.28 80 411,955,632 401,955,708 41.2

VIX 16-Sep-26 Call 70.0 10% 2.72% 212,765 9,999,955 17.28 80 211,913,940 201,913,985 21.2

VIX 16-Sep-26 Call Spread 25/55 40%/15% 8.56% 67,567 9,999,916 17.28 79.96 202,701,000 192,701,084 20.3

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX