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

16-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 72.50 20% 7.24c 13,802,638,949 10,000,000 50.85 158 494,800,518 484,800,518 49.5

CDX IG 21-Oct-26 Payer 95.00 10% 3.12c 32,009,661,955 10,000,000 50.85 158 845,770,219 835,770,219 84.6

CDX IG 21-Oct-26 Payer Spread 60/80 40%/15% 8.45c 11,833,111,344 10,000,000 50.85 158 112,099,720 102,099,720 11.2

CDX HY 21-Oct-26 Payer 103.50 20% 36.51c 2,738,931,956 10,000,000 108.08 75 771,067,136 761,067,136 77.1

CDX HY 21-Oct-26 Payer 100.00 10% 17.43c 5,736,878,429 10,000,000 108.08 75 1,414,261,578 1,404,261,578 141.4

CDX HY 21-Oct-26 Payer Spread 106/102 40%/15% 49.54c 2,018,643,638 10,000,000 108.08 75 90,838,964 80,838,964 9.1

SPX 16-Oct-26 Put 7075 20% 1.12% 1,182 9,999,720 7,572.40 3,623 407,993,289 397,993,569 40.8

SPX 16-Oct-26 Put 6625 10% 0.59% 2,222 9,999,000 7,572.40 3,623 666,982,156 656,983,156 66.7

SPX 21-Oct-26 Put Spread 7500/6850 40%/15% 1.53% 871 9,999,080 7,572.40 3,623 56,615,000 46,615,920 5.7

VIX 21-Oct-26 Call 40.0 20% 8.30% 76,923 9,999,990 15.67 78 294,999,705 284,999,715 29.5

VIX 21-Oct-26 Call 70.0 10% 3.83% 166,666 9,999,960 15.67 78 139,166,110 129,166,150 13.9

VIX 21-Oct-26 Call Spread 25/55 40%/15% 4.72% 123,456 9,999,936 15.67 78.35 370,368,000 360,368,064 37.0

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX