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

3-Aug-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% 6.58c 15,200,455,258 10,000,000 52.80 164 553,237,274 543,237,274 55.3

CDX IG 21-Oct-26 Payer 95.00 10% 3.03c 33,021,924,711 10,000,000 52.80 164 926,401,966 916,401,966 92.6

CDX IG 21-Oct-26 Payer Spread 60/80 40%/15% 9.08c 11,016,083,335 10,000,000 52.80 164 92,933,461 82,933,461 9.3

CDX HY 21-Oct-26 Payer 103.00 20% 33.39c 2,995,183,572 10,000,000 107.57 75 838,704,821 828,704,821 83.9

CDX HY 21-Oct-26 Payer 100.00 10% 17.35c 5,764,465,273 10,000,000 107.57 75 1,441,219,131 1,431,219,131 144.1

CDX HY 21-Oct-26 Payer Spread 105.5/101.5 40%/15% 43.22c 2,313,592,810 10,000,000 107.57 75 92,543,712 82,543,712 9.3

SPX 16-Oct-26 Put 7050 20% 1.09% 1,219 9,995,800 7,489.72 3,584 422,539,656 412,543,856 42.3

SPX 16-Oct-26 Put 6625 10% 0.57% 2,358 9,997,920 7,489.72 3,584 717,134,064 707,136,144 71.7

SPX 21-Oct-26 Put Spread 7425/6875 40%/15% 1.32% 1,009 9,999,190 7,489.72 3,584 55,495,000 45,495,810 5.5

VIX 21-Oct-26 Call 40.0 20% 7.32% 85,470 9,999,990 15.99 79 330,512,490 320,512,500 33.1

VIX 21-Oct-26 Call 70.0 10% 3.06% 204,081 9,999,969 15.99 79 176,938,227 166,938,258 17.7

VIX 21-Oct-26 Call Spread 25/55 40%/15% 8.44% 74,074 9,999,990 15.99 78.67 222,222,000 212,222,010 22.2

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX