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

22-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% 6.64c 15,053,252,526 10,000,000 51.73 160 531,729,329 521,729,329 53.2

CDX IG 21-Oct-26 Payer 95.00 10% 3.14c 31,801,778,292 10,000,000 51.73 160 857,815,446 847,815,446 85.8

CDX IG 21-Oct-26 Payer Spread 60/80 40%/15% 8.66c 11,544,251,219 10,000,000 51.73 160 97,476,785 87,476,785 9.7

CDX HY 21-Oct-26 Payer 103.00 20% 34.44c 2,903,400,088 10,000,000 107.85 75 807,441,172 797,441,172 80.7

CDX HY 21-Oct-26 Payer 100.00 10% 18.48c 5,412,044,435 10,000,000 107.85 75 1,342,738,678 1,332,738,678 134.3

CDX HY 21-Oct-26 Payer Spread 105.5/102 40%/15% 38.85c 2,574,264,141 10,000,000 107.85 75 90,099,245 80,099,245 9.0

SPX 16-Oct-26 Put 7000 20% 1.12% 1,189 9,999,490 7,509.20 3,593 405,087,559 395,088,069 40.5

SPX 16-Oct-26 Put 6550 10% 0.60% 2,232 9,999,360 7,509.20 3,593 659,993,500 649,994,140 66.0

SPX 21-Oct-26 Put Spread 7450/6825 40%/15% 1.45% 920 9,991,200 7,509.20 3,593 57,500,000 47,508,800 5.8

VIX 21-Oct-26 Call 40.0 20% 8.50% 68,965 9,999,925 17.05 80 273,997,945 263,998,020 27.4

VIX 21-Oct-26 Call 70.0 10% 3.70% 158,730 9,999,990 17.05 80 154,444,290 144,444,300 15.4

VIX 21-Oct-26 Call Spread 25/55 40%/15% 7.68% 76,335 9,999,885 17.05 79.73 229,005,000 219,005,115 22.9

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX