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

17-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% 7.16c 13,962,394,834 10,000,000 51.48 160 471,932,527 461,932,527 47.2

CDX IG 21-Oct-26 Payer 95.00 10% 3.44c 29,034,379,391 10,000,000 51.48 160 738,395,203 728,395,203 73.8

CDX IG 21-Oct-26 Payer Spread 60/82.5 40%/15% 9.41c 10,624,566,918 10,000,000 51.48 160 101,062,428 91,062,428 10.1

CDX HY 21-Oct-26 Payer 103.00 20% 36.46c 2,742,552,659 10,000,000 107.92 75 761,393,364 751,393,364 76.1

CDX HY 21-Oct-26 Payer 99.50 10% 17.84c 5,606,181,494 10,000,000 107.92 75 1,360,183,804 1,350,183,804 136.0

CDX HY 21-Oct-26 Payer Spread 105.5/101.5 40%/15% 43.29c 2,310,235,267 10,000,000 107.92 75 92,409,411 82,409,411 9.2

SPX 16-Oct-26 Put 7025 20% 1.17% 1,135 9,999,350 7,533.77 3,605 388,193,126 378,193,776 38.8

SPX 16-Oct-26 Put 6550 10% 0.61% 2,164 9,997,680 7,533.77 3,605 637,342,091 627,344,411 63.7

SPX 21-Oct-26 Put Spread 7475/6825 40%/15% 1.49% 890 9,994,700 7,533.77 3,605 57,850,000 47,855,300 5.8

VIX 21-Oct-26 Call 40.0 20% 8.31% 71,942 9,999,938 16.73 79 283,523,422 273,523,484 28.4

VIX 21-Oct-26 Call 70.0 10% 2.93% 204,081 9,999,969 16.73 79 192,040,221 182,040,252 19.2

VIX 21-Oct-26 Call Spread 25/55 40%/15% 8.67% 68,965 9,999,925 16.73 79.41 206,895,000 196,895,075 20.7

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX