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

25-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% 6.29c 15,902,122,951 10,000,000 50.94 158 565,623,987 555,623,987 56.6

CDX IG 16-Sep-26 Payer 95.00 10% 3.06c 32,724,805,686 10,000,000 50.94 158 849,505,292 839,505,292 85.0

CDX IG 16-Sep-26 Payer Spread 57.5/77.5 40%/15% 8.47c 11,806,328,904 10,000,000 50.94 158 102,114,360 92,114,360 10.2

CDX HY 16-Sep-26 Payer 103.50 20% 34.90c 2,865,159,015 10,000,000 108.04 75 807,365,786 797,365,786 80.7

CDX HY 16-Sep-26 Payer 100.00 10% 18.80c 5,319,247,127 10,000,000 108.04 75 1,312,723,311 1,302,723,311 131.3

CDX HY 16-Sep-26 Payer Spread 106/102 40%/15% 40.23c 2,485,701,717 10,000,000 108.04 75 99,428,069 89,428,069 9.9

SPX 18-Sep-26 Put 6875 20% 1.12% 1,216 9,995,520 7,358.22 3,521 407,870,939 397,875,419 40.8

SPX 18-Sep-26 Put 6425 10% 0.59% 2,309 9,997,970 7,358.22 3,521 670,580,195 660,582,225 67.1

SPX 16-Sep-26 Put Spread 7325/6700 40%/15% 1.46% 933 9,992,430 7,358.22 3,521 58,312,500 48,320,070 5.8

VIX 16-Sep-26 Call 40.0 20% 6.60% 81,300 9,999,900 18.63 81 335,850,300 325,850,400 33.6

VIX 16-Sep-26 Call 70.0 10% 2.84% 188,679 9,999,987 18.63 81 213,395,949 203,395,962 21.3

VIX 16-Sep-26 Call Spread 25/55 40%/15% 7.94% 67,567 9,999,916 18.63 81.31 202,701,000 192,701,084 20.3

Payout Ratios, Financial Crisis

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