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

24-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 72.50 20% 6.26c 15,980,426,802 10,000,000 50.89 158 554,912,576 544,912,576 55.5

CDX IG 16-Sep-26 Payer 95.00 10% 3.07c 32,608,927,723 10,000,000 50.89 158 819,512,263 809,512,263 82.0

CDX IG 16-Sep-26 Payer Spread 57.5/77.5 40%/15% 8.33c 12,009,843,309 10,000,000 50.89 158 103,689,315 93,689,315 10.4

CDX HY 16-Sep-26 Payer 103.50 20% 36.54c 2,736,693,005 10,000,000 107.97 75 772,442,885 762,442,885 77.2

CDX HY 16-Sep-26 Payer 99.50 10% 18.37c 5,443,527,065 10,000,000 107.97 75 1,318,716,877 1,308,716,877 131.9

CDX HY 16-Sep-26 Payer Spread 106/102 40%/15% 42.00c 2,380,723,449 10,000,000 107.97 75 95,228,938 85,228,938 9.5

SPX 18-Sep-26 Put 6850 20% 1.22% 1,117 9,997,150 7,365.46 3,524 371,484,886 361,487,736 37.2

SPX 18-Sep-26 Put 6375 10% 0.63% 2,141 9,998,470 7,365.46 3,524 610,342,913 600,344,443 61.0

SPX 16-Sep-26 Put Spread 7300/6650 40%/15% 1.53% 884 9,989,200 7,365.46 3,524 57,460,000 47,470,800 5.8

VIX 16-Sep-26 Call 40.0 20% 6.72% 76,335 9,999,885 19.49 82 321,904,695 311,904,810 32.2

VIX 16-Sep-26 Call 70.0 10% 2.98% 172,413 9,999,954 19.49 82 209,826,621 199,826,667 21.0

VIX 16-Sep-26 Call Spread 25/55 40%/15% 8.77% 58,479 9,999,909 19.49 82.17 175,437,000 165,437,091 17.5

Payout Ratios, Financial Crisis

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