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

14-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 77.50 20% 7.29c 13,725,013,311 10,000,000 51.92 161 452,760,761 442,760,761 45.3

CDX IG 21-Oct-26 Payer 95.00 10% 4.25c 23,530,298,885 10,000,000 51.92 161 604,458,685 594,458,685 60.4

CDX IG 21-Oct-26 Payer Spread 62.5/85 40%/15% 8.45c 11,833,111,344 10,000,000 51.92 161 112,099,720 102,099,720 11.2

CDX HY 21-Oct-26 Payer 102.50 20% 37.68c 2,653,801,033 10,000,000 107.84 75 725,015,785 715,015,785 72.5

CDX HY 21-Oct-26 Payer 98.50 10% 19.54c 5,116,837,825 10,000,000 107.84 75 1,193,241,458 1,183,241,458 119.3

CDX HY 21-Oct-26 Payer Spread 105.5/101 40%/15% 49.54c 2,018,643,638 10,000,000 107.84 75 90,838,964 80,838,964 9.1

SPX 16-Oct-26 Put 7000 20% 1.21% 1,095 9,997,350 7,515.34 3,596 372,740,434 362,743,084 37.3

SPX 16-Oct-26 Put 6525 10% 0.64% 2,083 9,998,400 7,515.34 3,596 610,115,330 600,116,930 61.0

SPX 21-Oct-26 Put Spread 7450/6800 40%/15% 1.53% 871 9,999,080 7,515.34 3,596 56,615,000 46,615,920 5.7

VIX 21-Oct-26 Call 40.0 20% 15.15% 38,461 9,999,860 17.16 80 153,228,624 143,228,764 15.3

VIX 21-Oct-26 Call 70.0 10% 10.14% 57,471 9,999,954 17.16 80 56,551,464 46,551,510 5.7

VIX 21-Oct-26 Call Spread 25/55 40%/15% 4.72% 123,456 9,999,936 17.16 79.84 370,368,000 360,368,064 37.0

Payout Ratios, Financial Crisis

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