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

30-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 80.00 20% 7.21c 13,873,835,803 10,000,000 54.69 170 478,994,259 468,994,259 47.9

CDX IG 21-Oct-26 Payer 95.00 10% 4.15c 24,076,150,662 10,000,000 54.69 170 680,748,648 670,748,648 68.1

CDX IG 21-Oct-26 Payer Spread 62.5/87.5 40%/15% 11.00c 9,092,067,003 10,000,000 54.69 170 95,603,651 85,603,651 9.6

CDX HY 21-Oct-26 Payer 102.50 20% 38.76c 2,579,737,358 10,000,000 107.14 75 717,235,596 707,235,596 71.7

CDX HY 21-Oct-26 Payer 99.00 10% 18.73c 5,338,406,991 10,000,000 107.14 75 1,297,374,878 1,287,374,878 129.7

CDX HY 21-Oct-26 Payer Spread 105/101 40%/15% 46.53c 2,149,197,274 10,000,000 107.14 75 85,967,891 75,967,891 8.6

SPX 16-Oct-26 Put 6800 20% 1.26% 1,088 9,998,720 7,316.15 3,501 358,967,285 348,968,565 35.9

SPX 16-Oct-26 Put 6325 10% 0.65% 2,109 9,996,660 7,316.15 3,501 595,651,548 585,654,888 59.6

SPX 21-Oct-26 Put Spread 7250/6600 40%/15% 1.60% 856 9,998,080 7,316.15 3,501 55,640,000 45,641,920 5.6

VIX 21-Oct-26 Call 40.0 20% 6.87% 70,422 9,999,924 20.66 83 305,208,948 295,209,024 30.5

VIX 21-Oct-26 Call 70.0 10% 2.57% 188,679 9,999,987 20.66 83 251,697,786 241,697,799 25.2

VIX 21-Oct-26 Call Spread 25/55 40%/15% 8.03% 60,240 9,999,840 20.66 83.34 180,720,000 170,720,160 18.1

Payout Ratios, Financial Crisis

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