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

30-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% 6.17c 16,203,387,636 10,000,000 50.67 157 601,177,650 591,177,650 60.1

CDX IG 16-Sep-26 Payer 95.00 10% 2.68c 37,306,491,780 10,000,000 50.67 157 984,852,522 974,852,522 98.5

CDX IG 16-Sep-26 Payer Spread 57.5/75 40%/15% 7.13c 14,022,465,080 10,000,000 50.67 157 106,372,576 96,372,576 10.6

CDX HY 16-Sep-26 Payer 104.00 20% 34.38c 2,908,613,466 10,000,000 108.15 75 831,971,530 821,971,530 83.2

CDX HY 16-Sep-26 Payer 100.50 10% 17.94c 5,574,426,174 10,000,000 108.15 75 1,399,388,106 1,389,388,106 139.9

CDX HY 16-Sep-26 Payer Spread 106.5/102.5 40%/15% 43.66c 2,290,243,436 10,000,000 108.15 75 91,609,737 81,609,737 9.2

SPX 18-Sep-26 Put 6975 20% 1.11% 1,206 9,997,740 7,440.43 3,560 411,832,785 401,835,045 41.2

SPX 18-Sep-26 Put 6550 10% 0.58% 2,336 9,998,080 7,440.43 3,560 698,432,591 688,434,511 69.9

SPX 16-Sep-26 Put Spread 7375/6800 40%/15% 1.42% 945 9,998,100 7,440.43 3,560 54,337,500 44,339,400 5.4

VIX 16-Sep-26 Call 40.0 20% 4.87% 116,279 9,999,994 17.65 80 468,953,207 458,953,213 46.9

VIX 16-Sep-26 Call 70.0 10% 2.10% 270,270 9,999,990 17.65 80 279,188,910 269,188,920 27.9

VIX 16-Sep-26 Call Spread 25/55 40%/15% 7.99% 70,921 9,999,861 17.65 80.33 212,763,000 202,763,139 21.3

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX