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

20-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% 7.65c 13,077,368,732 10,000,000 52.29 162 464,991,493 454,991,493 46.5

CDX IG 21-Oct-26 Payer 95.00 10% 3.70c 27,041,293,622 10,000,000 52.29 162 735,234,279 725,234,279 73.5

CDX IG 21-Oct-26 Payer Spread 62.5/82.5 40%/15% 8.05c 12,415,761,631 10,000,000 52.29 162 104,868,982 94,868,982 10.5

CDX HY 21-Oct-26 Payer 102.50 20% 34.79c 2,874,197,873 10,000,000 107.74 75 787,068,495 777,068,495 78.7

CDX HY 21-Oct-26 Payer 99.50 10% 19.23c 5,200,884,737 10,000,000 107.74 75 1,268,180,385 1,258,180,385 126.8

CDX HY 21-Oct-26 Payer Spread 105.5/101.5 40%/15% 45.89c 2,179,095,212 10,000,000 107.74 75 87,163,808 77,163,808 8.7

SPX 16-Oct-26 Put 6925 20% 1.22% 1,102 9,995,140 7,457.69 3,568 369,898,079 359,902,939 37.0

SPX 16-Oct-26 Put 6425 10% 0.63% 2,127 9,996,900 7,457.69 3,568 607,600,286 597,603,386 60.8

SPX 21-Oct-26 Put Spread 7375/6725 40%/15% 1.47% 911 9,993,670 7,457.69 3,568 59,215,000 49,221,330 5.9

VIX 21-Oct-26 Call 40.0 20% 6.13% 86,956 9,999,940 18.77 81 360,432,620 350,432,680 36.0

VIX 21-Oct-26 Call 70.0 10% 3.46% 153,846 9,999,990 18.77 81 176,153,670 166,153,680 17.6

VIX 21-Oct-26 Call Spread 25/55 40%/15% 8.36% 63,694 9,999,958 18.77 81.45 191,082,000 181,082,042 19.1

Payout Ratios, Financial Crisis

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