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

7-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% 6.89c 14,505,690,611 10,000,000 49.80 154 486,109,552 476,109,552 48.6

CDX IG 21-Oct-26 Payer 95.00 10% 3.87c 25,845,486,434 10,000,000 49.80 154 649,432,555 639,432,555 64.9

CDX IG 21-Oct-26 Payer Spread 60/82.5 40%/15% 7.94c 12,601,250,432 10,000,000 49.80 154 120,090,152 110,090,152 12.0

CDX HY 21-Oct-26 Payer 103.00 20% 38.34c 2,608,502,130 10,000,000 108.28 75 717,633,705 707,633,705 71.8

CDX HY 21-Oct-26 Payer 99.00 10% 20.48c 4,882,889,427 10,000,000 108.28 75 1,148,032,389 1,138,032,389 114.8

CDX HY 21-Oct-26 Payer Spread 106/101.5 40%/15% 48.91c 2,044,369,518 10,000,000 108.28 75 91,996,628 81,996,628 9.2

SPX 16-Oct-26 Put 7025 20% 1.18% 1,127 9,996,490 7,537.43 3,607 385,259,596 375,263,106 38.5

SPX 16-Oct-26 Put 6550 10% 0.62% 2,145 9,995,700 7,537.43 3,607 631,370,560 621,374,860 63.2

SPX 21-Oct-26 Put Spread 7500/6825 40%/15% 1.60% 830 9,993,200 7,537.43 3,607 56,025,000 46,031,800 5.6

VIX 21-Oct-26 Call 40.0 20% 32.11% 20,000 10,000,000 15.57 78 76,500,000 66,500,000 7.7

VIX 21-Oct-26 Call 70.0 10% 12.85% 50,000 10,000,000 15.57 78 41,250,000 31,250,000 4.1

VIX 21-Oct-26 Call Spread 25/55 40%/15% 7.71% 83,333 9,999,960 15.57 78.25 249,999,000 239,999,040 25.0

Payout Ratios, Financial Crisis

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