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

13-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% 7.42c 13,471,201,878 10,000,000 51.11 158 452,986,068 442,986,068 45.3

CDX IG 21-Oct-26 Payer 95.00 10% 4.05c 24,685,655,518 10,000,000 51.11 158 623,651,441 613,651,441 62.4

CDX IG 21-Oct-26 Payer Spread 60/82.5 40%/15% 9.15c 10,929,118,582 10,000,000 51.11 158 103,885,181 93,885,181 10.4

CDX HY 21-Oct-26 Payer 103.00 20% 39.02c 2,562,926,131 10,000,000 108.03 75 709,609,325 699,609,325 71.0

CDX HY 21-Oct-26 Payer 99.00 10% 20.12c 4,971,339,609 10,000,000 108.03 75 1,177,584,426 1,167,584,426 117.8

CDX HY 21-Oct-26 Payer Spread 105.5/101.5 40%/15% 42.98c 2,326,805,849 10,000,000 108.03 75 93,072,234 83,072,234 9.3

SPX 16-Oct-26 Put 7075 20% 1.14% 1,162 9,993,200 7,575.39 3,625 400,923,605 390,930,405 40.1

SPX 16-Oct-26 Put 6600 10% 0.58% 2,262 9,998,040 7,575.39 3,625 673,010,418 663,012,378 67.3

SPX 21-Oct-26 Put Spread 7525/6875 40%/15% 1.50% 877 9,997,800 7,575.39 3,625 57,005,000 47,007,200 5.7

VIX 21-Oct-26 Call 40.0 20% 17.30% 38,461 9,999,860 15.03 78 145,036,431 135,036,571 14.5

VIX 21-Oct-26 Call 70.0 10% 11.58% 57,471 9,999,954 15.03 78 44,310,141 34,310,187 4.4

VIX 21-Oct-26 Call Spread 25/55 40%/15% 12.04% 55,248 9,999,888 15.03 77.71 165,744,000 155,744,112 16.6

Payout Ratios, Financial Crisis

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