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

9-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% 7.72c 12,951,511,938 10,000,000 51.17 159 430,946,185 420,946,185 43.1

CDX IG 21-Oct-26 Payer 95.00 10% 4.21c 23,743,155,607 10,000,000 51.17 159 591,497,885 581,497,885 59.1

CDX IG 21-Oct-26 Payer Spread 60/82.5 40%/15% 9.41c 10,627,143,342 10,000,000 51.17 159 101,001,668 91,001,668 10.1

CDX HY 21-Oct-26 Payer 102.50 20% 38.27c 2,612,817,409 10,000,000 107.95 75 711,681,516 701,681,516 71.2

CDX HY 21-Oct-26 Payer 98.50 10% 20.36c 4,911,919,129 10,000,000 107.95 75 1,141,436,110 1,131,436,110 114.1

CDX HY 21-Oct-26 Payer Spread 105.5/101 40%/15% 48.61c 2,057,227,497 10,000,000 107.95 75 92,575,237 82,575,237 9.3

SPX 16-Oct-26 Put 6950 20% 1.26% 1,061 9,994,620 7,482.71 3,580 357,518,294 347,523,674 35.8

SPX 16-Oct-26 Put 6475 10% 0.67% 2,004 9,999,960 7,482.71 3,580 580,084,893 570,084,933 58.0

SPX 21-Oct-26 Put Spread 7425/6750 40%/15% 1.63% 819 9,999,990 7,482.71 3,580 55,282,500 45,282,510 5.5

VIX 21-Oct-26 Call 40.0 20% 8.05% 73,529 9,999,944 16.90 80 291,027,782 281,027,838 29.1

VIX 21-Oct-26 Call 70.0 10% 3.43% 172,413 9,999,954 16.90 80 165,171,654 155,171,700 16.5

VIX 21-Oct-26 Call Spread 25/55 40%/15% 9.17% 64,516 9,999,980 16.90 79.58 193,548,000 183,548,020 19.4

Payout Ratios, Financial Crisis

CDX HY 4/4/1900 Date Roll Adjusted

100 IG Spread HY Px SPX VIX