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

8-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% 7.30c 13,702,009,026 10,000,000 50.45 156 445,472,378 435,472,378 44.5

CDX IG 21-Oct-26 Payer 95.00 10% 4.04c 24,782,376,731 10,000,000 50.45 156 598,307,443 588,307,443 59.8

CDX IG 21-Oct-26 Payer Spread 60/82.5 40%/15% 8.64c 11,570,713,492 10,000,000 50.45 156 110,069,245 100,069,245 11.0

CDX HY 21-Oct-26 Payer 103.00 20% 39.13c 2,555,278,011 10,000,000 108.15 75 705,206,764 695,206,764 70.5

CDX HY 21-Oct-26 Payer 99.00 10% 20.55c 4,866,813,497 10,000,000 108.15 75 1,148,472,818 1,138,472,818 114.8

CDX HY 21-Oct-26 Payer Spread 105.5/101.5 40%/15% 41.25c 2,424,284,880 10,000,000 108.15 75 96,971,395 86,971,395 9.7

SPX 16-Oct-26 Put 7000 20% 1.23% 1,083 9,996,090 7,503.85 3,590 369,251,018 359,254,928 36.9

SPX 16-Oct-26 Put 6500 10% 0.63% 2,132 9,999,080 7,503.85 3,590 620,309,669 610,310,589 62.0

SPX 21-Oct-26 Put Spread 7450/6800 40%/15% 1.55% 859 9,998,760 7,503.85 3,590 55,835,000 45,836,240 5.6

VIX 21-Oct-26 Call 40.0 20% 6.70% 92,592 9,999,936 16.13 79 359,349,552 349,349,616 35.9

VIX 21-Oct-26 Call 70.0 10% 3.16% 196,078 9,999,978 16.13 79 172,744,718 162,744,740 17.3

VIX 21-Oct-26 Call Spread 25/55 40%/15% 9.11% 68,027 9,999,969 16.13 78.81 204,081,000 194,081,031 20.4

Payout Ratios, Financial Crisis

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