{"id":4057,"date":"2020-01-04T13:08:00","date_gmt":"2020-01-04T11:08:00","guid":{"rendered":"http:\/\/dobretrejdy.com\/?page_id=4057"},"modified":"2022-07-16T23:32:24","modified_gmt":"2022-07-16T21:32:24","slug":"derivaty-volatility","status":"publish","type":"page","link":"https:\/\/dobretrejdy.com\/?page_id=4057","title":{"rendered":"Deriv\u00e1ty Volatility"},"content":{"rendered":"

Deriv\u00e1ty Volatility<\/strong><\/span><\/h1>\n

\u00a0 \u00a0Tento odd\u00edl webov\u00e9 str\u00e1nky p\u0159edstavuje seskupen\u00ed \u010dl\u00e1nk\u016f zab\u00fdvaj\u00edc\u00ed se problematikou Volatility, jako z\u00e1kladn\u00ed hybn\u00e9 s\u00edle samotn\u00fdch trh\u016f a jednou z d\u016fle\u017eit\u00fdch slo\u017eek utv\u00e1\u0159ej\u00edc\u00ed cenu op\u010dn\u00edch kontrakt\u016f. Zachycen\u00ed Volatility obchodovan\u00e9ho titulu pomoc\u00ed ukazatele Beta je p\u0159edm\u011btem tohoto \u010dl\u00e1nku Beta \u2013 I.<\/a><\/span>, <\/strong>dozv\u00edte se, jak\u00e1 je jeho konstrukce, jak se vlastn\u011b vypo\u010d\u00edt\u00e1 a jak\u00e9 m\u016f\u017ee jeho v\u00fdpo\u010det p\u0159in\u00e1\u0161et \u00faskal\u00ed. Vyu\u017eit\u00ed Beta jako bojovn\u00edka s nep\u0159\u00edzniv\u00fdmi tr\u017en\u00edmi pohyby s teoretick\u00fdmi uk\u00e1zkami z\u00e1kladn\u00edho zaji\u0161t\u011bn\u00ed portfolia jsou pops\u00e1ny v tomto \u010dl\u00e1nku Beta \u2013 II.<\/strong><\/a><\/span> Nejb\u011b\u017en\u011bji b\u00fdv\u00e1 pojem Volatility trh\u016f spojov\u00e1n s obavami, kter\u00e9 reprezentuje „Index strachu“. Jeho v\u00fdpo\u010det a podstata je pops\u00e1na v \u010dl\u00e1nku VIX Index<\/strong><\/a><\/span>. Popsanou technologii v\u00fdpo\u010dtu VIX Indexu mohu aplikovat tak\u00e9 na nejr\u016fzn\u011bj\u0161\u00ed akciov\u00e9 tituly a vytv\u00e1\u0159et si tak „individu\u00e1ln\u00ed VIX“ na titul, kter\u00fd by mohl st\u00e1t za mou pozornost, jak to funguje je pops\u00e1no v \u010dl\u00e1nku VIX Technologie+Akcie<\/a><\/span>. <\/strong>Pokud technologie v\u00fdpo\u010dtu VIX Indexu funguje pro SPX a jednotliv\u00e9 akcie, mus\u00ed fungovat tak\u00e9 pro ostatn\u00ed akciov\u00e9 indexy, \u017ee tomu tak opravdu je, je pops\u00e1no v \u010dl\u00e1nku VIX Technologie+Akciov\u00e9 Indexy<\/span>.<\/a><\/strong> VIX Index se obchodovat ned\u00e1, daj\u00ed se ale obchodovat odvozeniny, kter\u00e9 z n\u011bj vych\u00e1zej\u00ed, jak to vlastn\u011b je se m\u016f\u017eete dozv\u011bd\u011bt v \u010dl\u00e1nku VIX Index se obchoduje?<\/a><\/strong><\/span> Futures kontrakty nav\u00e1zan\u00e9 na VIX Index – VX futures – jsou z\u00e1kladn\u00edmi kameny k prozkoum\u00e1n\u00ed, jak se d\u00e1 obchodovat volatilita, princip jejich konstrukce je pops\u00e1n v \u010dl\u00e1nku\u00a0VX Futures.<\/a><\/span><\/strong> \u010casov\u00e1 struktura (Term Structure) je kl\u00ed\u010dem k pochopen\u00ed n\u00e1lady na trz\u00edch a je o n\u00ed pojedn\u00e1v\u00e1no v \u010dl\u00e1nku s n\u00e1zvem VX Futures \u2013 \u010dasov\u00e1 struktura<\/a><\/span>. <\/strong>Op\u010dn\u00ed kontrakty spojen\u00e9 s VX futures a VIX Indexem jsou p\u0159edm\u011btem \u010dl\u00e1nku VIX opce<\/a><\/span>. <\/strong>Popisov\u00e1n\u00ed z\u00e1kladn\u00ed vlastnosti VX futures – p\u0159itahov\u00e1n\u00ed jeho ceny ke spotov\u00e9 cen\u011b, kterou je hodnota VIX Indexu, je pops\u00e1no tady VX futures \u2013 gravitace k VIX Indexu<\/a><\/span>. <\/strong>Princip spreadov\u00e9ho obchodu s VX futures kontraktu pomoc\u00ed automobilov\u00e9ho v\u00fdletu dvou kamar\u00e1d\u016f na Moravu je rozeps\u00e1n v \u010dl\u00e1nku VX Futures \u2013 Volatility Spread \u2013 I.<\/a><\/strong><\/span> Z\u00e1kladn\u00ed vlastnosti spreadov\u00fdch kombinac\u00ed s VX futures a uk\u00e1zka, jak to funguje v obchodn\u00ed platform\u011b TWS je pops\u00e1no v \u010dl\u00e1nku\u00a0<\/strong>VX Futures \u2013 Volatility Spread \u2013 II.<\/strong><\/a><\/span> I mal\u00e9 diskrepance na Term Structure VX Futures mohou v\u00e9st k zamy\u0161len\u00ed a nab\u00edzet dobr\u00e9 obchodn\u00ed p\u0159\u00edle\u017eitosti, a o tomto je tento \u010dl\u00e1nek VX Futures \u2013 Volatility Spread \u2013 III.<\/strong><\/a><\/span> Spreadov\u00e9 kombinace nemus\u00edm nutn\u011b omezit jenom na kombinace s VX futures mezi sebou, ale mohu sei pokusit „zakombinovat si“ i s jin\u00fdmi futures nav\u00e1zan\u00fdmi na jin\u00e9 Indexy Volatility, nap\u0159\u00edklad na RVX Index. P\u0159esto\u017ee se ji\u017e tyto futures na tento index neobchoduj\u00ed a \u010dl\u00e1nek tak pozb\u00fdv\u00e1 praktick\u00fd smysl, nemuselo by b\u00fdt na \u0161kodu si p\u0159ipomenout jeho z\u00e1kladn\u00ed logiku zde\u00a0VX Futures \u2013 Volatility Spread IV.<\/a><\/span><\/strong> Spreadov\u00e9 kombinace vyjad\u0159uj\u00edc\u00ed rozd\u00edly mezi volatilitou na americk\u00fdch a evropsk\u00fdch trz\u00edch by nem\u011bly st\u00e1t bokem obchodn\u00edho z\u00e1jmu, mal\u00fd ponor do t\u00e9to problematiky s praktickou uk\u00e1zkou je v tomto \u010dl\u00e1nku VX Futures \u2013 Volatility Spread V.<\/a><\/strong><\/span> Kombinovan\u00fd obchod mezi spreadem VX futures a op\u010dn\u00edmi kontrakty na SPX je pops\u00e1n v \u010dl\u00e1nku VX Futures \u2013 Volatility Spread VI.<\/a><\/strong><\/span> To, \u017ee Volatilita m\u00e1 tak\u00e9 svou vlastn\u00ed Volatilitu sice zn\u00ed podivn\u011b, nicm\u00e9n\u011b nen\u00ed to poznatek k zahozen\u00ed, m\u016f\u017eete se o n\u011bm v\u00edce dozv\u011bd\u011bt v tomto \u010dl\u00e1nku\u00a0<\/strong>VVIX \u2013 Volatilita Volatility<\/strong><\/a>.<\/span> VX futures jsou z\u00e1kladn\u00edm v\u00fdchoz\u00edm deriv\u00e1tem pro dal\u0161\u00ed odvozen\u00e9 investi\u010dn\u00ed produkty, v \u010dl\u00e1nku VXX \u2013 Volatility ETN – I.<\/a><\/strong><\/span> je pops\u00e1n prvn\u00ed a nejroz\u0161\u00ed\u0159en\u011bj\u0161\u00ed z nich, ETN s tickerem VXX. „Pomalej\u0161\u00ed bratr“ s tickerem VXZ je rovn\u011b\u017e Volatility ETN, kter\u00e9 ur\u010dit\u00fdm sofistikovan\u00fdm zp\u016fsobem replikuje investici do \u010dtvrt\u00e9ho a\u017e p\u00e1t\u00e9ho VX futures je p\u0159edm\u011btem \u010dl\u00e1nku VXZ – Volatility ETN – II.<\/a><\/strong><\/span>. P\u00e1kov\u00e9 ETF s p\u0159epo\u010d\u00edt\u00e1vac\u00edm pom\u011brem 1.5x k podkladov\u00e9mu Indexu SPVIXSTR je p\u0159edm\u011btem \u010dl\u00e1nku UVXY – Volatility ETF- III.<\/a><\/strong><\/span>. Vyu\u017eit\u00ed gravitace VX futures kontrakt\u016f a poznatk\u016f o jejich \u010dasov\u00e9 struktu\u0159e s prozkoum\u00e1n\u00edm mo\u017en\u00fdch obchod\u016f a malou anal\u00fdzou na historick\u00fdch datech je p\u0159edm\u011btem \u010dl\u00e1nku VX Futures – „The Big Short“<\/a><\/strong><\/span>.\u00a0\u00a0<\/span><\/p>\n

 <\/p>\n

zp\u011bt na hlavn\u00ed str\u00e1nku<\/strong><\/a><\/span><\/h4>\n","protected":false},"excerpt":{"rendered":"

Deriv\u00e1ty Volatility \u00a0 \u00a0Tento odd\u00edl webov\u00e9 str\u00e1nky p\u0159edstavuje seskupen\u00ed \u010dl\u00e1nk\u016f zab\u00fdvaj\u00edc\u00ed se problematikou Volatility, jako z\u00e1kladn\u00ed hybn\u00e9 s\u00edle samotn\u00fdch trh\u016f a jednou z d\u016fle\u017eit\u00fdch slo\u017eek utv\u00e1\u0159ej\u00edc\u00ed cenu op\u010dn\u00edch kontrakt\u016f. Zachycen\u00ed Volatility obchodovan\u00e9ho titulu pomoc\u00ed ukazatele Beta je p\u0159edm\u011btem tohoto \u010dl\u00e1nku Beta \u2013 I., dozv\u00edte se, jak\u00e1 je jeho konstrukce, jak Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"parent":1574,"menu_order":4,"comment_status":"closed","ping_status":"closed","template":"","meta":{"jetpack_post_was_ever_published":false,"footnotes":""},"class_list":["post-4057","page","type-page","status-publish","hentry"],"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/P8zd8A-13r","jetpack-related-posts":[{"id":1574,"url":"https:\/\/dobretrejdy.com\/?page_id=1574","url_meta":{"origin":4057,"position":0},"title":"Abeceda","author":"dobretrejdy :c)","date":"13.3.2018","format":false,"excerpt":"Abeceda\u00a0 \u00a0 \u00a0Z\u00e1lo\u017eka Abeceda je dal\u0161\u00edm rozcestn\u00edkem na tomto webu, kter\u00e1 by m\u011bla zobrazovat jednotliv\u00e9 p\u0159\u00edsp\u011bvky pospojovan\u00e9 jednoduch\u00fdmi vysv\u011btluj\u00edc\u00edmi texty do tvaru virtu\u00e1ln\u00ed p\u0159\u00edru\u010dky obchodn\u00edka, kter\u00fd se chce o fungov\u00e1n\u00ed trh\u016f a vlastn\u00edm obchodov\u00e1n\u00ed n\u011bco nov\u00e9ho dozv\u011bd\u011bt. Bude set\u0159\u00edd\u011bna do n\u011bkolika \u00farovn\u00ed podle jednotliv\u00fdch t\u00e9mat, ka\u017ed\u00e1 \u00farove\u0148 pak bude p\u0159edstavovat\u2026","rel":"","context":"Podobn\u00fd p\u0159\u00edsp\u011bvek","block_context":{"text":"Podobn\u00fd p\u0159\u00edsp\u011bvek","link":""},"img":{"alt_text":"","src":"","width":0,"height":0},"classes":[]},{"id":6428,"url":"https:\/\/dobretrejdy.com\/?page_id=6428","url_meta":{"origin":4057,"position":1},"title":"Dluhopisy","author":"dobretrejdy :c)","date":"27.5.2023","format":false,"excerpt":"Dluhopisy \u00a0 \u00a0Tuto podstr\u00e1nku \u201eDluhopisy\u201c jsem vytvo\u0159il proto, abych zde se\u0159adil \u010dl\u00e1nky t\u00fdkaj\u00edc\u00ed se problematiky cenn\u00fdch pap\u00edr\u016f s pevn\u00fdm v\u00fdnosem, zejm\u00e9na dluhopis\u016f a na n\u011b nav\u00e1zan\u00fdch investi\u010dn\u00edch n\u00e1stroj\u016f. Tato str\u00e1nka by tak m\u011bla b\u00fdt m\u00edstem, jak\u00fdmsi miniaturn\u00edm rozcestn\u00edkem t\u00e9to webov\u00e9 str\u00e1nky, kter\u00fd by pomohl v z\u00e1kladn\u00ed orientaci\u00a0 v t\u00e9to velmi\u2026","rel":"","context":"Podobn\u00fd p\u0159\u00edsp\u011bvek","block_context":{"text":"Podobn\u00fd p\u0159\u00edsp\u011bvek","link":""},"img":{"alt_text":"","src":"","width":0,"height":0},"classes":[]},{"id":1576,"url":"https:\/\/dobretrejdy.com\/?page_id=1576","url_meta":{"origin":4057,"position":2},"title":"Za\u010d\u00edn\u00e1m","author":"dobretrejdy :c)","date":"13.3.2018","format":false,"excerpt":"Za\u010d\u00edn\u00e1m \u00a0 \u00a0K obchodov\u00e1n\u00ed jsou zapot\u0159eb\u00ed \u010dty\u0159i v\u011bci - Nastaven\u00ed mysli, Obchodn\u00ed dovednosti, Technologie a Pen\u00edze. Prvn\u00ed \u010dl\u00e1nek Cesta do hlubin traderovy du\u0161e\u00a0obsahuje m\u016fj vlastn\u00ed pohled na Nastaven\u00ed mysli a popis osobnostn\u00edch vlastnost\u00ed obchodn\u00edka tak, jak jsem tyto vlastnosti vypozoroval v praktick\u00e9m \u017eivot\u011b obchodn\u00edka pozorov\u00e1n\u00edm sebe sama nebo m\u00fdch \u00fasp\u011b\u0161n\u00fdch\u2026","rel":"","context":"Podobn\u00fd p\u0159\u00edsp\u011bvek","block_context":{"text":"Podobn\u00fd p\u0159\u00edsp\u011bvek","link":""},"img":{"alt_text":"","src":"","width":0,"height":0},"classes":[]},{"id":3192,"url":"https:\/\/dobretrejdy.com\/?page_id=3192","url_meta":{"origin":4057,"position":3},"title":"Obchodov\u00e1n\u00ed ud\u00e1lost\u00ed","author":"dobretrejdy :c)","date":"27.4.2019","format":false,"excerpt":"Obchodov\u00e1n\u00ed ud\u00e1lost\u00ed \u00a0\u00a0 Str\u00e1nku \u201eObchodov\u00e1n\u00ed ud\u00e1lost\u00ed\u201c jsem vytvo\u0159il proto, abych ji doplnil o \u010dl\u00e1nky, kter\u00e9 se nevyskytuj\u00ed na str\u00e1nk\u00e1ch \u201eAbeceda\u201c tohoto webu, ale jsou k\u00a0nalezen\u00ed mezi ji\u017e publikovan\u00fdmi \u010dl\u00e1nky nebo se jedn\u00e1 o \u010dl\u00e1nky, kter\u00e9 svou t\u00e9matickou n\u00e1pln\u00ed souvisej\u00ed pr\u00e1v\u011b s\u00a0ud\u00e1lostmi, kter\u00e9 mohou ovlivnit m\u00e9 obchody. Za ud\u00e1losti ve smyslu\u2026","rel":"","context":"Podobn\u00fd p\u0159\u00edsp\u011bvek","block_context":{"text":"Podobn\u00fd p\u0159\u00edsp\u011bvek","link":""},"img":{"alt_text":"","src":"","width":0,"height":0},"classes":[]},{"id":2292,"url":"https:\/\/dobretrejdy.com\/?page_id=2292","url_meta":{"origin":4057,"position":4},"title":"Logika kombinac\u00ed","author":"dobretrejdy :c)","date":"14.8.2018","format":false,"excerpt":"Logika kombinac\u00ed \u00a0 \u00a0Tento \u010d\u00e1st p\u0159edstavuje sdru\u017een\u00ed \u010dl\u00e1nk\u016f s hlub\u0161\u00edm zamy\u0161len\u00edm nad problematikou op\u010dn\u00edho obchodov\u00e1n\u00ed a m\u011bl by navazovat na str\u00e1nku Za\u010d\u00edn\u00e1m. V \u00favodn\u00edm \u010dl\u00e1nku Syntetick\u00e9 pozice - I. bych cht\u011bl pouk\u00e1zat na z\u00e1kladn\u00ed souvislost mezi cenami op\u010dn\u00edch kontrakt\u016f na stejn\u00e9m strike s malou praktickou uk\u00e1zkou. Jednoduch\u00fd koncept vztahu Call\u2026","rel":"","context":"Podobn\u00fd p\u0159\u00edsp\u011bvek","block_context":{"text":"Podobn\u00fd p\u0159\u00edsp\u011bvek","link":""},"img":{"alt_text":"","src":"","width":0,"height":0},"classes":[]},{"id":10,"url":"https:\/\/dobretrejdy.com\/?page_id=10","url_meta":{"origin":4057,"position":5},"title":"Rubriky","author":"dobretrejdy :c)","date":"29.3.2017","format":false,"excerpt":"Opce \u2013 z\u00e1kladn\u00ed pojmy Z\u00e1kladn\u00ed op\u010dn\u00ed pojmy\u00a0\u2022 Vnit\u0159n\u00ed hodnota a Pr\u00e9mium\u00a0\u2022\u00a0Z\u00e1kladn\u00ed mechanika op\u010dn\u00edch obchod\u016f\u00a0\u2022\u00a0Exercise (uplatn\u011bn\u00ed) opc\u00ed\u00a0\u2022 Exercise (prakticky u IB)\u00a0\u2022 Assignment (p\u0159i\u0159azen\u00ed)\u00a0 opc\u00ed\u00a0\u2022\u00a0Long Call\u00a0\u2022 Long Put\u00a0\u2022\u00a0Short Call\u00a0\u2022 Short Put\u00a0\u2022\u00a0Vypisov\u00e1n\u00ed opc\u00ed \u2013 kdo je kr\u00e1l?\u00a0\u2022\u00a0Cena opce\u00a0\u2022\u00a0Je opce levn\u00e1 nebo drah\u00e1?\u00a0\u2022 Volatilita a cenov\u00fd pohyb -I.\u00a0\u2022 Volatilita a cenov\u00fd pohyb - II.\u2026","rel":"","context":"Podobn\u00fd p\u0159\u00edsp\u011bvek","block_context":{"text":"Podobn\u00fd p\u0159\u00edsp\u011bvek","link":""},"img":{"alt_text":"","src":"","width":0,"height":0},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/pages\/4057","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=4057"}],"version-history":[{"count":13,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/pages\/4057\/revisions"}],"predecessor-version":[{"id":4281,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/pages\/4057\/revisions\/4281"}],"up":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/pages\/1574"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=4057"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}