An investor observes the following current CDS market information:

Which of the following is the most appropriate credit portfolio positioning strategy to capitalize on an expected economic contraction?

A. Buy protection on the 5-year CDX HY index and sell protection on the 5-year CDX IG index in approximately equal notional amounts.

B. Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10- year contract.

C. Buy protection on the 10-year CDX HY index and sell protection on the 5-year CDX HY index using a contract with a notional amount equal to 1.85 times that of the 10- year contract.

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CDX Contract CDX IG Index CDX IG Index CDX HY Index CDX HY Index Tenor (years) 5 10 5 10 CDS Spread 85 bps 135 bps 175 bps 275 bps EffSpreadDurCDS 4.9 8.9 4.7 8.7