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

1-Jul-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% 5.97c 16,744,537,835 10,000,000 51.00 158 608,993,681 598,993,681 60.9

CDX IG 16-Sep-26 Payer 95.00 10% 2.63c 38,058,222,689 10,000,000 51.00 158 977,468,276 967,468,276 97.7

CDX IG 16-Sep-26 Payer Spread 57.5/75 40%/15% 7.34c 13,619,286,746 10,000,000 51.00 158 103,150,813 93,150,813 10.3

CDX HY 16-Sep-26 Payer 104.00 20% 33.62c 2,974,138,701 10,000,000 108.05 75 852,650,709 842,650,709 85.3

CDX HY 16-Sep-26 Payer 100.50 10% 17.64c 5,667,984,336 10,000,000 108.05 75 1,426,565,229 1,416,565,229 142.7

CDX HY 16-Sep-26 Payer Spread 106/102.5 40%/15% 34.07c 2,934,909,330 10,000,000 108.05 75 102,721,827 92,721,827 10.3

SPX 18-Sep-26 Put 7050 20% 1.07% 1,242 9,998,100 7,499.36 3,588 429,939,218 419,941,118 43.0

SPX 18-Sep-26 Put 6625 10% 0.55% 2,433 9,999,630 7,499.36 3,588 738,821,427 728,821,797 73.9

SPX 16-Sep-26 Put Spread 7450/6875 40%/15% 1.45% 919 9,989,530 7,499.36 3,588 52,842,500 42,852,970 5.3

VIX 16-Sep-26 Call 40.0 20% 6.57% 92,592 9,999,936 16.45 79 362,312,496 352,312,560 36.2

VIX 16-Sep-26 Call 70.0 10% 2.86% 212,765 9,999,955 16.45 79 194,254,445 184,254,490 19.4

VIX 16-Sep-26 Call Spread 25/55 40%/15% 7.66% 79,365 9,999,990 16.45 79.13 238,095,000 228,095,010 23.8

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX