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

6-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 21-Oct-26 Payer 75.00 20% 7.63c 13,105,830,248 10,000,000 50.57 157 445,729,191 435,729,191 44.6

CDX IG 21-Oct-26 Payer 95.00 10% 4.31c 23,221,477,056 10,000,000 50.57 157 595,229,257 585,229,257 59.5

CDX IG 21-Oct-26 Payer Spread 57.5/75 40%/15% 8.99c 11,124,916,213 10,000,000 50.57 157 82,702,101 72,702,101 8.3

CDX HY 21-Oct-26 Payer 102.50 20% 39.73c 2,516,832,002 10,000,000 108.15 75 682,000,233 672,000,233 68.2

CDX HY 21-Oct-26 Payer 98.00 10% 20.59c 4,857,078,237 10,000,000 108.15 75 1,097,581,499 1,087,581,499 109.8

CDX HY 21-Oct-26 Payer Spread 105.5/101 40%/15% 45.15c 2,214,888,014 10,000,000 108.15 75 99,669,961 89,669,961 10.0

SPX 16-Oct-26 Put 6950 20% 1.28% 1,047 9,998,850 7,483.24 3,581 352,774,253 342,775,403 35.3

SPX 16-Oct-26 Put 6450 10% 0.66% 2,024 9,998,560 7,483.24 3,581 580,762,836 570,764,276 58.1

SPX 21-Oct-26 Put Spread 7425/6750 40%/15% 1.64% 816 9,996,000 7,483.24 3,581 55,080,000 45,084,000 5.5

VIX 21-Oct-26 Call 40.0 20% 8.67% 71,428 9,999,920 16.15 79 277,354,924 267,355,004 27.7

VIX 21-Oct-26 Call 70.0 10% 3.78% 163,934 9,999,974 16.15 79 144,753,722 134,753,748 14.5

VIX 21-Oct-26 Call Spread 25/55 40%/15% 9.85% 62,893 9,999,987 16.15 78.83 188,679,000 178,679,013 18.9

Payout Ratios, Financial Crisis

CDX HY 4/4/1900 Date Roll Adjusted

100 IG Spread HY Px SPX VIX