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

24-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 77.50 20% 7.57c 13,201,535,185 10,000,000 53.56 166 448,611,028 438,611,028 44.9

CDX IG 21-Oct-26 Payer 95.00 10% 4.03c 24,822,767,041 10,000,000 53.56 166 662,682,987 652,682,987 66.3

CDX IG 21-Oct-26 Payer Spread 62.5/85 40%/15% 9.47c 10,561,010,086 10,000,000 53.56 166 99,851,457 89,851,457 10.0

CDX HY 21-Oct-26 Payer 102.50 20% 37.93c 2,636,773,687 10,000,000 107.43 75 727,774,796 717,774,796 72.8

CDX HY 21-Oct-26 Payer 99.00 10% 18.94c 5,280,384,122 10,000,000 107.43 75 1,272,623,156 1,262,623,156 127.3

CDX HY 21-Oct-26 Payer Spread 105/101 40%/15% 42.75c 2,339,024,649 10,000,000 107.43 75 93,560,986 83,560,986 9.4

SPX 16-Oct-26 Put 6900 20% 1.19% 1,132 9,995,560 7,408.30 3,545 379,813,085 369,817,525 38.0

SPX 16-Oct-26 Put 6425 10% 0.62% 2,178 9,997,020 7,408.30 3,545 627,316,113 617,319,093 62.8

SPX 21-Oct-26 Put Spread 7350/6700 40%/15% 1.50% 901 9,992,090 7,408.30 3,545 58,565,000 48,572,910 5.9

VIX 21-Oct-26 Call 40.0 20% 7.54% 70,921 9,999,861 18.70 81 293,471,098 283,471,237 29.3

VIX 21-Oct-26 Call 70.0 10% 3.37% 158,730 9,999,990 18.70 81 180,634,740 170,634,750 18.1

VIX 21-Oct-26 Call Spread 25/55 40%/15% 7.06% 75,757 9,999,924 18.70 81.38 227,271,000 217,271,076 22.7

Payout Ratios, Financial Crisis

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