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

29-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% 6.92c 14,442,218,016 10,000,000 51.21 159 533,812,682 523,812,682 53.4

CDX IG 16-Sep-26 Payer 95.00 10% 3.04c 32,896,520,026 10,000,000 51.21 159 863,781,564 853,781,564 86.4

CDX IG 16-Sep-26 Payer Spread 57.5/77.5 40%/15% 8.45c 11,828,043,917 10,000,000 51.21 159 102,459,564 92,459,564 10.2

CDX HY 16-Sep-26 Payer 103.50 20% 33.71c 2,966,599,357 10,000,000 108.02 75 836,333,395 826,333,395 83.6

CDX HY 16-Sep-26 Payer 100.00 10% 18.43c 5,426,644,882 10,000,000 108.02 75 1,339,928,321 1,329,928,321 134.0

CDX HY 16-Sep-26 Payer Spread 106/102 40%/15% 39.18c 2,552,310,774 10,000,000 108.02 75 102,092,431 92,092,431 10.2

SPX 18-Sep-26 Put 6850 20% 1.18% 1,150 9,993,500 7,354.02 3,519 383,089,315 373,095,815 38.3

SPX 18-Sep-26 Put 6400 10% 0.61% 2,247 9,999,150 7,354.02 3,519 647,408,210 637,409,060 64.7

SPX 16-Sep-26 Put Spread 7275/6675 40%/15% 1.52% 895 9,997,150 7,354.02 3,519 53,700,000 43,702,850 5.4

VIX 16-Sep-26 Call 40.0 20% 6.25% 86,956 9,999,940 18.41 81 357,302,204 347,302,264 35.7

VIX 16-Sep-26 Call 70.0 10% 2.66% 204,081 9,999,969 18.41 81 226,325,829 216,325,860 22.6

VIX 16-Sep-26 Call Spread 25/55 40%/15% 7.66% 70,921 9,999,861 18.41 81.09 212,763,000 202,763,139 21.3

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX