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

27-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% 7.36c 13,584,000,733 10,000,000 53.52 166 488,129,718 478,129,718 48.8

CDX IG 21-Oct-26 Payer 95.00 10% 3.88c 25,799,063,610 10,000,000 53.52 166 738,999,150 728,999,150 73.9

CDX IG 21-Oct-26 Payer Spread 62.5/85 40%/15% 9.46c 10,570,279,524 10,000,000 53.52 166 100,002,391 90,002,391 10.0

CDX HY 21-Oct-26 Payer 102.50 20% 36.20c 2,762,199,105 10,000,000 107.43 75 762,374,679 752,374,679 76.2

CDX HY 21-Oct-26 Payer 99.00 10% 17.82c 5,612,289,713 10,000,000 107.43 75 1,352,577,518 1,342,577,518 135.3

CDX HY 21-Oct-26 Payer Spread 105.5/101 40%/15% 53.30c 1,876,291,251 10,000,000 107.43 75 84,433,106 74,433,106 8.4

SPX 16-Oct-26 Put 6900 20% 1.18% 1,138 9,991,640 7,411.98 3,547 381,625,847 371,634,207 38.2

SPX 16-Oct-26 Put 6425 10% 0.61% 2,197 9,996,350 7,411.98 3,547 632,401,714 622,405,364 63.3

SPX 21-Oct-26 Put Spread 7350/6700 40%/15% 1.51% 893 9,992,670 7,411.98 3,547 58,045,000 48,052,330 5.8

VIX 21-Oct-26 Call 40.0 20% 5.92% 90,909 9,999,990 18.58 81 375,090,534 365,090,544 37.5

VIX 21-Oct-26 Call 70.0 10% 2.64% 204,081 9,999,969 18.58 81 229,795,206 219,795,237 23.0

VIX 21-Oct-26 Call Spread 25/55 40%/15% 9.58% 56,179 9,999,862 18.58 81.26 168,537,000 158,537,138 16.9

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX