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

26-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% 6.25c 15,997,588,994 10,000,000 51.09 158 569,332,875 559,332,875 56.9

CDX IG 16-Sep-26 Payer 95.00 10% 3.07c 32,573,956,793 10,000,000 51.09 158 846,053,348 836,053,348 84.6

CDX IG 16-Sep-26 Payer Spread 57.5/77.5 40%/15% 8.47c 11,804,190,451 10,000,000 51.09 158 102,152,836 92,152,836 10.2

CDX HY 16-Sep-26 Payer 103.50 20% 34.76c 2,876,645,816 10,000,000 107.99 75 811,528,799 801,528,799 81.2

CDX HY 16-Sep-26 Payer 100.00 10% 18.87c 5,300,184,160 10,000,000 107.99 75 1,309,725,280 1,299,725,280 131.0

CDX HY 16-Sep-26 Payer Spread 106/102 40%/15% 40.46c 2,471,447,816 10,000,000 107.99 75 98,857,913 88,857,913 9.9

SPX 18-Sep-26 Put 6875 20% 1.20% 1,135 9,999,350 7,357.49 3,520 380,741,549 370,742,199 38.1

SPX 18-Sep-26 Put 6425 10% 0.62% 2,192 9,995,520 7,357.49 3,520 636,677,600 626,682,080 63.7

SPX 16-Sep-26 Put Spread 7325/6700 40%/15% 1.61% 846 9,991,260 7,357.49 3,520 52,875,000 42,883,740 5.3

VIX 16-Sep-26 Call 40.0 20% 13.23% 40,000 10,000,000 18.89 82 166,280,000 156,280,000 16.6

VIX 16-Sep-26 Call 70.0 10% 2.44% 217,391 9,999,986 18.89 82 251,521,387 241,521,401 25.2

VIX 16-Sep-26 Call Spread 25/55 40%/15% 22.98% 23,041 9,999,794 18.89 81.57 69,123,000 59,123,206 6.9

Payout Ratios, Financial Crisis

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