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

15-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% 7.55c 13,251,542,547 10,000,000 51.66 160 464,933,332 454,933,332 46.5

CDX IG 21-Oct-26 Payer 95.00 10% 3.67c 27,262,438,111 10,000,000 51.66 160 728,528,233 718,528,233 72.9

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 103.00 20% 36.34c 2,751,703,572 10,000,000 107.92 75 763,887,148 753,887,148 76.4

CDX HY 21-Oct-26 Payer 99.50 10% 17.82c 5,611,839,931 10,000,000 107.92 75 1,361,461,401 1,351,461,401 136.1

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 7050 20% 1.18% 1,123 9,994,700 7,543.59 3,609 386,368,715 376,374,015 38.7

SPX 16-Oct-26 Put 6575 10% 0.61% 2,159 9,996,170 7,543.59 3,609 640,252,535 630,256,365 64.0

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% 16.24% 37,313 9,999,884 16.50 79 146,192,334 136,192,450 14.6

VIX 21-Oct-26 Call 70.0 10% 10.73% 56,497 9,999,969 16.50 79 51,864,246 41,864,277 5.2

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

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX