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

10-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% 7.23c 13,833,643,693 10,000,000 50.73 157 472,876,032 462,876,032 47.3

CDX IG 21-Oct-26 Payer 95.00 10% 3.95c 25,333,097,582 10,000,000 50.73 157 653,969,951 643,969,951 65.4

CDX IG 21-Oct-26 Payer Spread 60/82.5 40%/15% 8.86c 11,283,676,321 10,000,000 50.73 157 107,328,265 97,328,265 10.7

CDX HY 21-Oct-26 Payer 103.00 20% 38.73c 2,581,880,658 10,000,000 108.07 75 714,047,471 704,047,471 71.4

CDX HY 21-Oct-26 Payer 99.00 10% 19.99c 5,002,226,413 10,000,000 108.07 75 1,183,331,632 1,173,331,632 118.3

CDX HY 21-Oct-26 Payer Spread 105.5/101.5 40%/15% 42.34c 2,361,882,350 10,000,000 108.07 75 94,475,294 84,475,294 9.4

SPX 16-Oct-26 Put 7025 20% 1.18% 1,121 9,999,320 7,543.64 3,610 382,875,432 372,876,112 38.3

SPX 16-Oct-26 Put 6550 10% 0.62% 2,141 9,998,470 7,543.64 3,610 629,557,004 619,558,534 63.0

SPX 21-Oct-26 Put Spread 7475/6825 40%/15% 1.50% 883 9,995,560 7,543.64 3,610 57,395,000 47,399,440 5.7

VIX 21-Oct-26 Call 40.0 20% 8.40% 75,187 9,999,871 15.84 79 289,620,324 279,620,453 29.0

VIX 21-Oct-26 Call 70.0 10% 3.79% 166,666 9,999,960 15.84 79 141,999,432 131,999,472 14.2

VIX 21-Oct-26 Call Spread 25/55 40%/15% 9.60% 65,789 9,999,928 15.84 78.52 197,367,000 187,367,072 19.7

Payout Ratios, Financial Crisis

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