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

21-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% 7.14c 14,003,214,542 10,000,000 52.16 162 497,463,422 487,463,422 49.7

CDX IG 21-Oct-26 Payer 95.00 10% 3.36c 29,789,781,980 10,000,000 52.16 162 809,237,077 799,237,077 80.9

CDX IG 21-Oct-26 Payer Spread 60/82.5 40%/15% 9.79c 10,213,647,934 10,000,000 52.16 162 97,054,945 87,054,945 9.7

CDX HY 21-Oct-26 Payer 103.00 20% 36.76c 2,720,259,902 10,000,000 107.78 75 757,841,421 747,841,421 75.8

CDX HY 21-Oct-26 Payer 99.50 10% 17.89c 5,588,944,403 10,000,000 107.78 75 1,361,419,628 1,351,419,628 136.1

CDX HY 21-Oct-26 Payer Spread 105.5/101.5 40%/15% 43.97c 2,274,213,024 10,000,000 107.78 75 90,968,521 80,968,521 9.1

SPX 16-Oct-26 Put 6925 20% 1.20% 1,119 9,992,670 7,443.28 3,561 376,375,858 366,383,188 37.7

SPX 16-Oct-26 Put 6450 10% 0.63% 2,127 9,996,900 7,443.28 3,561 614,384,346 604,387,446 61.5

SPX 21-Oct-26 Put Spread 7375/6750 40%/15% 1.46% 921 9,992,850 7,443.28 3,561 57,562,500 47,569,650 5.8

VIX 21-Oct-26 Call 40.0 20% 7.83% 68,493 9,999,978 18.65 81 283,081,569 273,081,591 28.3

VIX 21-Oct-26 Call 70.0 10% 3.49% 153,846 9,999,990 18.65 81 174,307,518 164,307,528 17.4

VIX 21-Oct-26 Call Spread 25/55 40%/15% 8.31% 64,516 9,999,980 18.65 81.33 193,548,000 183,548,020 19.4

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX