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

29-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% 7.42c 13,479,143,785 10,000,000 53.23 165 490,049,800 480,049,800 49.0

CDX IG 21-Oct-26 Payer 95.00 10% 3.43c 29,165,046,031 10,000,000 53.23 165 816,779,739 806,779,739 81.7

CDX IG 21-Oct-26 Payer Spread 62.5/82.5 40%/15% 8.44c 11,847,595,682 10,000,000 53.23 165 99,866,906 89,866,906 10.0

CDX HY 21-Oct-26 Payer 103.00 20% 36.19c 2,763,184,945 10,000,000 107.51 75 774,909,422 764,909,422 77.5

CDX HY 21-Oct-26 Payer 99.50 10% 17.07c 5,858,214,878 10,000,000 107.51 75 1,437,844,153 1,427,844,153 143.8

CDX HY 21-Oct-26 Payer Spread 105.5/101.5 40%/15% 46.51c 2,149,917,436 10,000,000 107.51 75 85,996,697 75,996,697 8.6

SPX 16-Oct-26 Put 6950 20% 1.11% 1,210 9,994,600 7,428.78 3,555 410,848,227 400,853,627 41.1

SPX 16-Oct-26 Put 6500 10% 0.57% 2,341 9,996,070 7,428.78 3,555 689,527,479 679,531,409 69.0

SPX 21-Oct-26 Put Spread 7375/6775 40%/15% 1.41% 957 9,991,080 7,428.78 3,555 57,420,000 47,428,920 5.7

VIX 21-Oct-26 Call 40.0 20% 6.97% 78,740 9,999,980 18.21 81 321,967,860 311,967,880 32.2

VIX 21-Oct-26 Call 70.0 10% 3.02% 181,818 9,999,990 18.21 81 197,999,802 187,999,812 19.8

VIX 21-Oct-26 Call Spread 25/55 40%/15% 7.74% 70,921 9,999,861 18.21 80.89 212,763,000 202,763,139 21.3

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX