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

28-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% 7.28c 13,744,455,437 10,000,000 53.00 164 507,853,347 497,853,347 50.8

CDX IG 21-Oct-26 Payer 95.00 10% 3.37c 29,688,783,664 10,000,000 53.00 164 849,325,403 839,325,403 84.9

CDX IG 21-Oct-26 Payer Spread 62.5/82.5 40%/15% 8.25c 12,125,173,308 10,000,000 53.00 164 102,100,455 92,100,455 10.2

CDX HY 21-Oct-26 Payer 103.00 20% 35.45c 2,820,515,261 10,000,000 107.55 75 790,227,743 780,227,743 79.0

CDX HY 21-Oct-26 Payer 100.00 10% 18.38c 5,440,623,848 10,000,000 107.55 75 1,361,088,549 1,351,088,549 136.1

CDX HY 21-Oct-26 Payer Spread 105.5/101.5 40%/15% 45.76c 2,185,354,861 10,000,000 107.55 75 87,414,194 77,414,194 8.7

SPX 16-Oct-26 Put 6925 20% 1.13% 1,191 9,992,490 7,413.18 3,547 402,308,397 392,315,907 40.3

SPX 16-Oct-26 Put 6475 10% 0.59% 2,267 9,997,470 7,413.18 3,547 663,755,896 653,758,426 66.4

SPX 21-Oct-26 Put Spread 7350/6725 40%/15% 1.42% 948 9,991,920 7,413.18 3,547 59,250,000 49,258,080 5.9

VIX 21-Oct-26 Call 40.0 20% 6.37% 84,033 9,999,927 18.67 81 347,476,455 337,476,528 34.7

VIX 21-Oct-26 Call 70.0 10% 2.89% 185,185 9,999,990 18.67 81 210,184,975 200,184,985 21.0

VIX 21-Oct-26 Call Spread 25/55 40%/15% 8.03% 66,666 9,999,900 18.67 81.35 199,998,000 189,998,100 20.0

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX