| SPX percentage change | SPX value | Cost of 2 SPX 5,710 puts | Value at expiration of 2 SPX 5,710 puts | Portfolio value (no hedge) | Portfolio value with SPX puts | Hedged portfolio percentage change | Unhedged portfolio percentage change |
|---|---|---|---|---|---|---|---|
| +5% | 6,300 | $20,000 | $0 | $1,050,000 | $1,030,00 | +3% | +5% |
| 0% | 6,000 | $20,000 | $0 | $1,000,000 | $980,000 | -2% | 0% |
| -5% | 5,700 | $20,000 | $2,000 | $950,000 | $932,000 | -6.8% | -5% |
| -10% | 5,400 | $20,000 | $62,000 | $900,000 | $942,000 | -5.8% | -10% |
| -15% | 5,100 | $20,000 | $122,000 | $850,000 | $952,000 | -4.8% | -15% |
| -20% | 4,800 | $20,000 | $182,000 | $800,000 | $962,000 | -3.8% | -20% |
Source: Schwab Center for Financial Research