{"id":1010,"date":"2017-11-08T10:12:02","date_gmt":"2017-11-08T08:12:02","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=1010"},"modified":"2021-08-23T09:08:09","modified_gmt":"2021-08-23T07:08:09","slug":"vix-technologie-akcie","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=1010","title":{"rendered":"VIX technologie + Akcie"},"content":{"rendered":"

\u00a0\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku VIX Index<\/strong><\/span><\/a>\u00a0jsem otev\u0159el z\u00e1kladn\u00ed t\u00e9ma t\u00fdkaj\u00edc\u00ed se deriv\u00e1t\u016f volatility t\u00edm, \u017ee jsem se sna\u017eil popsat konstrukci samotn\u00e9ho v\u00fdpo\u010dtu VIX Indexu<\/strong>, ze kter\u00e9 vyplynuly z\u00e1kladn\u00ed principy jeho fungov\u00e1n\u00ed a vlivy, kter\u00e9 zp\u016fsobuj\u00ed jeho pohyb. Z\u00a0\u010dl\u00e1nku vyplynulo, \u017ee podstatou je \u201em\u011b\u0159en\u00ed nap\u011bt\u00ed\u201c na OTM opc\u00edch podkladov\u00e9ho aktiva SPX s\u00a0horizontem 30 dn\u016f. Zm\u011bna cen takov\u00fdch opc\u00ed, vyvolan\u00e1 zv\u00fd\u0161enou nebo sn\u00ed\u017eenou popt\u00e1vkou, pak ur\u010duje zm\u011bny hodnoty t\u00e9to pozorovan\u00e9 entity \u2013 VIX Indexu. Nic dal\u0161\u00edho n\u00e1m prozat\u00edm jeho hodnota nesd\u011bluje.<\/span><\/p>\n

\u00a0\u00a0 Vyn\u00e1lezci vzorce, podle kter\u00e9ho se vypo\u010d\u00edt\u00e1v\u00e1 hodnota VIX Indexu, tento vzorec sestrojili tak, aby m\u011bl z\u00e1kladn\u00ed kvalitu \u2013 zm\u011b\u0159it nap\u011bt\u00ed na cen\u00e1ch OTM op\u010dn\u00edch kontrakt\u016f bez ohledu na cenu podkladov\u00e9ho aktiva<\/strong>. Proto\u017ee je v\u00fdpo\u010det navr\u017een tak, aby se cena podkladu (SPX) \u201eodhmotnila\u201c od ceny VIX Indexu, tak zm\u011bna hodnoty SPX nem\u00e1 na cenu VIX Indexu \u017e\u00e1dn\u00fd vliv. Je tedy jedno, jestli je hodnota SPX 1500 bod\u016f nebo 2600 bod\u016f, \u00farove\u0148 hodnoty VIX Indexu odr\u00e1\u017e\u00ed moment\u00e1ln\u00ed n\u00e1ladu a apetit po\u0159izovat nebo nepo\u0159izovat OTM opce na tento podklad (SPX), a\u0165 jsou motivy t\u011bchto n\u00e1lad a apetit\u016f jak\u00e9koliv. To je t\u0159eba si neust\u00e1le uv\u011bdomovat.<\/span><\/p>\n

\u00a0\u00a0 K v\u00fdpo\u010dtu VIX Indexu podle p\u0159edchoz\u00edho \u010dl\u00e1nku jsem pou\u017eil jednoduch\u00fd Excel a z\u00e1rove\u0148 p\u0159ipomn\u011bl, \u017ee by nem\u011blo b\u00fdt ambic\u00ed si takov\u00fd v\u00fdpo\u010det s\u00e1m prov\u00e1d\u011bt, kdy\u017e jeho hodnoty nab\u00edz\u00ed v\u0161echny obchodn\u00ed platformy. Pokud bych se dr\u017eel nazna\u010den\u00fdch princip\u016f vzorce pro v\u00fdpo\u010det VIX Indexu, tak bych mohl tuto \u201eVIX Technologii\u201c<\/strong> \u2013 tedy zadan\u00e9 parametry v\u00fdpo\u010dtu jeho hodnoty, pou\u017e\u00edt i pro jin\u00e1 podkladov\u00e1 aktiva, ne\u017e je SPX. Jeho v\u00fdsledkem by pak mohly b\u00fdt odrazy n\u00e1lad investor\u016f investovat do OTM op\u010dn\u00edch kontrakt\u016f t\u011bchto jin\u00fdch podklad\u016f a z\u00a0tohoto n\u00e1sledn\u011b usuzovat pro n\u011bjak\u00e9 vlastn\u00ed obchodn\u00ed rozhodnut\u00ed. Bylo by to patrn\u011b pracn\u00e9, nikoliv v\u0161ak softwarov\u011b ne\u0159e\u0161iteln\u00e9, pokud bychom m\u011bli k\u00a0dispozici historick\u00e9 ceny opc\u00ed na po\u017eadovan\u00fdch strike a mohli si tak vytvo\u0159it datab\u00e1zi pro v\u00fdpo\u010det historick\u00fdch a sou\u010dasn\u00e9 hodnoty VIXu pro ka\u017ed\u00e9 jednotliv\u00e9, mnou sledovan\u00e9 podkladov\u00e9 aktivum. Jednodu\u0161e \u0159e\u010deno bych implementoval v\u00fdpo\u010det VIX Indexu na op\u010dn\u00ed kontrakty jin\u00fdch podklad\u016f, ne\u017e je SPX, nap\u0159\u00edklad akcie HD (Home Depot Inc.), PFE (Pfizer Inc.) \u010di \u010dehokoliv jin\u00e9ho.<\/span><\/p>\n

\u00a0 Pro prvotn\u00ed zji\u0161t\u011bn\u00ed, jestli by bylo takov\u00e9 m\u00e9 po\u010d\u00edn\u00e1n\u00ed k\u00a0n\u011bjak\u00e9mu u\u017eitku (po\u010d\u00edt\u00e1n\u00ed jak\u00e9hosi VIX na libovoln\u00fd podklad), by mohlo b\u00fdt u\u017eite\u010dn\u00e9 se zab\u00fdvat podobn\u00fdmi v\u00fdpo\u010dty, kter\u00e9 za m\u011b ji\u017e ud\u011blal n\u011bkdo jin\u00fd<\/strong>. Tyto kalkulace prov\u00e1d\u00ed nap\u0159\u00edklad jeden z\u00a0nejv\u00fdznamn\u011bj\u0161\u00edch organiz\u00e1tor\u016f op\u010dn\u00edho trhu \u2013 burza CBOE. Tato instituce toti\u017e pomoc\u00ed VIX Technologie sleduje n\u011bkolik takov\u00fdch hodnot, tedy v\u00fdsledk\u016f v\u00fdpo\u010dtu nam\u011b\u0159en\u00e9ho \u201enap\u011bt\u00ed na OTM opc\u00edch\u201c u jin\u00fdch podklad\u016f, ne\u017e je SPX, a to (mimo jin\u00e9) u n\u011bkolika nejlikvidn\u011bj\u0161\u00edch obchodovan\u00fdch akciov\u00fdch titul\u016f.<\/span><\/p>\n

\u00a0\u00a0 Hodnoty t\u011bchto \u201eVIX akciov\u00fdch\u201c index\u016f jsou voln\u011b ke sta\u017een\u00ed ze str\u00e1nek CBOE a je zaj\u00edmav\u00e9 si tato data alespo\u0148 prohl\u00e9dnout a zjistit, jestli by mohla b\u00fdt k\u00a0n\u011bjak\u00e9mu u\u017eitku.<\/span><\/p>\n

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AAPL vers. VXAPL<\/span><\/strong><\/h1>\n

\u00a0 \u00a0V\u00fdpo\u010det VIX (pou\u017eit\u00ed metody jeho v\u00fdpo\u010dtu) pro podkladovou akcii AAPL<\/strong> (Apple Inc.) je ozna\u010den tickerem VXAPL<\/strong>. Vynesen\u00ed dvoulet\u00fdch zji\u0161t\u011bn\u00fdch hodnot VXAPL vypo\u010dten\u00e9ho stejn\u00fdm zp\u016fsobem jako VIX Index, ov\u0161em za pou\u017eit\u00ed OTM opc\u00ed akcie AAPL, nab\u00edz\u00ed zaj\u00edmav\u00fd obr\u00e1zek.<\/span><\/p>\n

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\u00a0\u00a0 Zna\u010dn\u011b rozt\u0159esenou k\u0159ivku \u201enam\u011b\u0159en\u00e9ho nap\u011bt\u00ed\u201c na OTM opc\u00edch formuj\u00ed samotn\u00e9 pohyby akcie AAPL utv\u00e1\u0159en\u00e9 nejr\u016fzn\u011bj\u0161\u00edmi tr\u017en\u00edmi vlivy a fundament\u00e1ln\u00edmi ud\u00e1lostmi, t\u00fdkaj\u00edc\u00ed se bu\u010f samotn\u00e9ho titulu nebo t\u0159eba technologick\u00e9ho sektoru a tak\u00e9 mo\u017en\u00e1 cel\u00e9ho trhu. Na grafu jsem vyzna\u010dil \u010derven\u00fdmi \u0161ipkami p\u0159esn\u011b dny, kdy prob\u00edhalo vyhla\u0161ov\u00e1n\u00ed Earnings<\/strong>, jako ud\u00e1lost, kter\u00e1 zvy\u0161uje o\u010dek\u00e1v\u00e1n\u00ed pohybu na podkladu s\u00a0jistotou. Pokud bych se na graf zad\u00edval pozorn\u011b, nen\u00ed mo\u017en\u00e9 si nev\u0161imnout, jak se hodnota VXAPL dramaticky zvy\u0161uje p\u0159ed Earnings a v\u00a0mnoha p\u0159\u00edpadech vrchol\u00ed v\u00a0kr\u00e1tk\u00e9m obdob\u00ed t\u011bsn\u011b p\u0159ed nimi. Proto\u017ee v\u00fdpo\u010det VIX vyu\u017e\u00edv\u00e1 op\u010dn\u00ed kontrakty s\u00a0\u017eivotnost\u00ed t\u0159icet dn\u016f, mohu pak op\u011bt upozornit, \u017ee zab\u00fdvat se v\u00fdvojem Implied Volatility v\u00a0obdob\u00ed p\u0159ed Earnings m\u00e1 sv\u016fj smysl a nemus\u00edm se nutn\u011b zab\u00fdvat pouze op\u010dn\u00edmi kontrakty s\u00a0expirac\u00ed bezprost\u0159edn\u011b po vyhl\u00e1\u0161en\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f. Mimo vrcholy vytvo\u0159en\u00fdch Earnings je mnoho d\u00edl\u010d\u00edch vrchol\u016f<\/strong>, kter\u00e9 jsou zp\u016fsobeny jin\u00fdmi d\u016fvody<\/strong> (\u010derven\u00e9 krou\u017eky). Pokud bych si tyto vrcholy na VXAPL prom\u00edtl do cenov\u00e9 k\u0159ivky samotn\u00e9ho AAPL, zjistil bych s\u00a0jistotou, \u017ee d\u00edl\u010d\u00ed vrcholy na VXAPL, mimo vyhla\u0161ov\u00e1n\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f, koresponduj\u00ed s d\u00edl\u010d\u00edmi dny na akcii AAPL vytvo\u0159en\u00fdmi mimo tyto Earnings. Jednoduch\u00e9 potvrzen\u00ed, \u017ee poklesy na akcii jsou doprov\u00e1zeny n\u00e1r\u016fsty tohoto VXAPL indik\u00e1toru. Pro investora do akci\u00ed AAPL by toto mo\u017en\u00e1 mohla b\u00fdt dal\u0161\u00ed dobr\u00e1 informace do mozaiky d\u016fvod\u016f, pro\u010d nap\u0159\u00edklad vstupovat\/nevstupovat do pozice pr\u00e1v\u011b na t\u011bchto „neobvykl\u00fdch“ vrcholech nebo v\u00a0okam\u017eic\u00edch obratu trendu na tomto nam\u011b\u0159en\u00e9m nap\u011bt\u00ed pomoc\u00ed t\u00e9to veli\u010diny. Nen\u00ed si toti\u017e mo\u017en\u00e9 nev\u0161imnout, \u017ee \u201ev\u00fdst\u0159ely\u201c VXAPL jsou velmi ostr\u00e9 a p\u0159i vzedmut\u00ed jejich hodnoty do n\u011bjak\u00e9 neobvykl\u00e9 lok\u00e1ln\u00ed v\u00fd\u0161e je doprov\u00e1zeno prudk\u00fdm n\u00e1vratem do jejich \u201enorm\u00e1ln\u00edch hodnot\u201c. Toto chov\u00e1n\u00ed je koneckonc\u016f vlastn\u00ed t\u00e9m\u011b\u0159 v\u0161em deriv\u00e1t\u016fm volatility, jak vyplyne z\u00a0n\u00e1sledn\u00fdch \u010dl\u00e1nk\u016f.\u00a0\u00a0 \u00a0<\/span><\/p>\n

AMZN vers. VXAZN\u00a0 \u00a0\u00a0\u00a0<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Stejn\u00e1 demonstrace pomoc\u00ed dvoulet\u00e9ho grafu zji\u0161t\u011bn\u00fdch hodnot o\u010dek\u00e1van\u00e9 t\u0159icetidenn\u00ed volatility na podkladu AMZN<\/strong> (Amazon.Com Inc), kter\u00e9 je ozna\u010deno tickerem VXAZN, <\/strong>vypo\u010dten\u00e1 VIX Technologi\u00ed.<\/span><\/p>\n

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\u00a0\u00a0 Na obr\u00e1zku jsou op\u011bt vyzna\u010deny obdob\u00ed vyhl\u00e1\u0161en\u00ed Earnings<\/strong>. Mimo v\u00fdznamn\u011bj\u0161\u00edch vrchol\u016f na hodnot\u011b VXAZN v\u00a0lev\u00e9 \u010d\u00e1sti grafu a uprost\u0159ed grafu (\u010derven\u00e9 krou\u017eky) byly jeho hodnoty t\u00e9m\u011b\u0159 zcela utv\u00e1\u0159eny vyhla\u0161ov\u00e1n\u00edm hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f. Tyto d\u00edl\u010d\u00ed vrcholy pak tak\u00e9 op\u011bt odr\u00e1\u017eej\u00ed cenov\u00e1 dna podkladov\u00e9 akcie a samoz\u0159ejm\u011b potvrzuj\u00ed souvislost n\u00e1r\u016fstu volatility souvisej\u00edc\u00ed s\u00a0poklesem ceny podkladov\u00e9ho titulu. Lze si tak\u00e9 pov\u0161imnout, \u017ee okam\u017eik zve\u0159ejn\u011bn\u00ed Earnings nen\u00ed v\u017edy t\u00edm okam\u017eikem, kdy o\u010dek\u00e1van\u00e1 volatilita kulminuje ve sv\u00e9m maximu.<\/span><\/p>\n

GOOG vers. VXGOG<\/span><\/strong><\/h1>\n

\u00a0\u00a0\u00a0 Dvoulet\u00fd graf ceny akcie GOOG<\/strong> (Alphabet Inc.) v\u00a0porovn\u00e1n\u00ed s\u00a0vypo\u010dten\u00fdmi hodnotami \u201eG\u016fglovsk\u00e9ho VIXu\u201c, ozna\u010den\u00e9ho tickerem VXGOG<\/strong>.<\/span><\/p>\n

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\u00a0\u00a0\u00a0 T\u00e9m\u011b\u0159 stejn\u00fd vizu\u00e1ln\u00ed z\u00e1\u017eitek, jako u p\u0159edch\u00e1zej\u00edc\u00edho titulu AMZN. V\u00fdznamnou hybnou silou utv\u00e1\u0159ej\u00edc\u00ed cenu tohoto n\u00e1stroje volatity je zcela jist\u011b vyhl\u00e1\u0161en\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f<\/strong>. Mimo tyto v\u00fdznamn\u00e9 podnikov\u00e9 fundament\u00e1ln\u00ed ud\u00e1losti pak VXGOG vytvo\u0159il n\u011bkolik v\u00fdznamn\u011bj\u0161\u00edch vrchol\u016f, kter\u00e9 op\u011bt odpov\u00eddaj\u00ed zaznamenan\u00e9 a v\u00fd\u0161e uv\u00e1d\u011bn\u00e9 souvislosti s propadem ceny t\u00e9to podkladov\u00e9 akcie.<\/span><\/p>\n

IBM vers. VXIBM<\/span><\/strong><\/h1>\n

\u00a0\u00a0\u00a0 Tak\u00e9 na titul IBM<\/strong> (International Business Machine Com) mohu ze str\u00e1nek CBOE \u010derpat data zpracovan\u00e1 VIX technologi\u00ed, tedy o\u010dek\u00e1vanou t\u0159icetidenn\u00ed volatilitu na tuto podkladovou akcii. Tento vypo\u010dten\u00fd VIX je ozna\u010den tickerem VXIBM.<\/strong><\/span><\/p>\n

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\u00a0\u00a0<\/span>\u00a0\u00a0 Op\u011bt je patrn\u00e9, \u017ee hlavn\u00edm str\u016fjcem vydatn\u00fdch pohyb\u016f na VXIBM je fundament\u00e1ln\u00ed ud\u00e1lost \u2013 vyhla\u0161ov\u00e1n\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f<\/strong>. Jedin\u00fd podstatn\u00fd pohyb na tomto n\u00e1stroji (mimo Earnings) je pozorovateln\u00fd v\u00a0lev\u00e9 \u010d\u00e1sti grafu (\u010derven\u00fd krou\u017eek) a byl jasn\u00fdm indik\u00e1torem propadu sledovan\u00e9ho titulu. Velmi patrn\u00e9 jsou dramatick\u00e9 poklesy o\u010dek\u00e1van\u00e9 volatility bezprost\u0159edn\u011b po vyhl\u00e1\u0161en\u00ed v\u00fdsledk\u016f. Stejn\u011b jako u samotn\u00e9ho VIX Indexu je v\u00a0z\u00a0tohoto i p\u0159edch\u00e1zej\u00edc\u00edch obr\u00e1zk\u016f patrn\u00fd support na \u00farovni 10 bod\u016f, pod kter\u00fd takto spo\u010d\u00edtan\u00e1 o\u010dek\u00e1van\u00e1 volatilita nekles\u00e1.<\/span><\/p>\n

GS vers. VXGS<\/span><\/strong><\/h1>\n

\u00a0\u00a0\u00a0 Dvoulet\u00e9 zobrazen\u00ed o\u010dek\u00e1van\u00e9 t\u0159icetidenn\u00ed volatility na bankovn\u00ed titul GS<\/strong> (Goldman Sachs Inc.) nep\u0159in\u00e1\u0161\u00ed nic pozoruhodn\u00e9ho, co by nebylo k\u00a0vid\u011bn\u00ed na p\u0159edch\u00e1zej\u00edc\u00edch obr\u00e1zc\u00edch. Takov\u00e9 vypo\u010dten\u00e9 hodnoty na tento podklad jsou pak ozna\u010deny jako VXGS.<\/strong>\u00a0<\/span><\/p>\n

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\u00a0\u00a0\u00a0 Mimo zna\u010dn\u00e9 pohyby zp\u016fsoben\u00e9 vyhla\u0161ov\u00e1n\u00edm hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f jsou k\u00a0vid\u011bn\u00ed dal\u0161\u00ed vrcholy mezi t\u011bmito ud\u00e1lostmi, v\u011bt\u0161inou op\u011bt siln\u011b prov\u00e1zan\u00e9 na pokles ceny akci\u00ed tohoto titulu (\u010derven\u00e9 krou\u017eky). \u00dastup z\u00a0t\u011bchto lok\u00e1ln\u00edch maxim na tomto n\u00e1stroji pak prov\u00e1z\u00ed n\u00e1sledn\u00fd uptrend na podkladu, tak\u017ee by mohl b\u00fdt tak\u00e9 dobr\u00fdm dopl\u0148kov\u00fdm indik\u00e1torem p\u0159\u00edchodu n\u011bjak\u00e9ho trendu. Nen\u00ed zde ji\u017e tak patrn\u00e1 t\u00e9m\u011b\u0159 pravideln\u00e1 „pilovit\u00e1 k\u0159ivka“, jej\u00ed\u017e ostr\u00e9 zuby jsou utv\u00e1\u0159eny t\u00e9m\u011b\u0159 v\u00fdhradn\u011b Earnings.<\/span><\/p>\n

\u00a0\u00a0 Ve shrnut\u00ed by se pak dalo konstatovat, \u017ee pozorov\u00e1n\u00ed tohoto n\u00e1stroje o\u010dek\u00e1van\u00e9 volatility na vybran\u00fdch akci\u00edch vypo\u010dten\u00e9 \u201eVIX Technologi\u00ed\u201c potvrzuje pravidlo o zvy\u0161ov\u00e1n\u00ed \u00farovn\u011b volatility<\/strong> (pota\u017emo ceny op\u010dn\u00edch kontrakt\u016f) p\u0159ed p\u0159\u00edchodem v\u00fdznamn\u00e9 fundament\u00e1ln\u00ed zpr\u00e1vy<\/strong> (Earnings…) a n\u00e1sledn\u00fd prudk\u00fd pokles bezprost\u0159edn\u011b po odezn\u011bn\u00ed takov\u00e9ho fundamentu. M\u016f\u017ee tak\u00e9 signalizovat jinou aktivitu na t\u011bchto titulech a pokud bych mohl zaznamen\u00e1vat jeho \u201eneobvykl\u00e9\u201c \u00farovn\u011b, tak bych mohl takov\u00e9 \u00farovn\u011b vyu\u017e\u00edt k\u00a0identifikaci mo\u017en\u00e9ho trendu nebo jeho obratu. Nam\u00e1tkou by vypisov\u00e1n\u00ed Put op\u010dn\u00edch kontrakt\u016f nebo Put Bull Spread\u016f pod aktu\u00e1ln\u00ed cenou ve chv\u00edl\u00edch lok\u00e1ln\u00edch maxim t\u011bchto n\u00e1stroj\u016f nemuselo znamenat \u00fapln\u011b \u0161patnou volbu.\u00a0<\/span><\/p>\n

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USO vers. OVX<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Ze str\u00e1nek CBOE lze z\u00edskat tak\u00e9 data o o\u010dek\u00e1van\u00e9 t\u0159icetidenn\u00ed volatilit\u011b nejen v\u00fd\u0161e uveden\u00fdch akciov\u00fdch titul\u016f, ale tak\u00e9 obl\u00edben\u00fdch ETF. Mezi nejobl\u00edben\u011bj\u0161\u00ed komoditn\u00ed ETF bezesporu pat\u0159\u00ed USO<\/strong>, ropn\u00e9 ETF odr\u00e1\u017eej\u00edc\u00ed pohyby futures kontrakt\u016f na Crude Oil<\/strong> (CL), kter\u00e9 se obchoduj\u00ed na NYMEX. Takto vypo\u010dten\u00e9 o\u010dek\u00e1v\u00e1n\u00ed je ozna\u010deno tickerem OVX.<\/strong><\/span><\/p>\n

\"\"<\/p>\n

\u00a0 Proto\u017ee se tohoto ETF net\u00fdkaj\u00ed \u017e\u00e1dn\u00e9<\/strong> vyhla\u0161ov\u00e1n\u00ed hospod\u00e1\u0159sk\u00fdch v\u00fdsledk\u016f<\/strong>, vyzna\u010dil jsem na grafu body, kdy do\u0161lo na tomto podkladov\u00e9m ETF k\u00a0obratu jeho trendu. P\u0159esto\u017ee je vyzna\u010den\u00fd prvn\u00ed cenov\u00fd obrat vlevo a uprost\u0159ed grafu (krou\u017eek 1. a krou\u017eek 2.) doprov\u00e1zen zna\u010dn\u00fdm pohybem na OVX \u2013 vypo\u010dten\u00e9m n\u00e1stroji o\u010dek\u00e1van\u00e9 t\u0159icetidenn\u00ed volatility, tak v\u00a0jin\u00fdch p\u0159\u00edpadech ji\u017e nejsou takov\u00e9 cenov\u00e9 obraty na podkladu USO tak patrn\u00e9 a sledovateln\u00e9 na OVX. Pravd\u011bpodobn\u011b bych v\u00a0danou chv\u00edli nemohl v\u016fbec ur\u010dit, s\u00a0ohledem na minul\u00fd v\u00fdvoj, zda se jedn\u00e1 o dosti vysok\u00fd n\u00e1r\u016fst OVX k\u00a0tomu, aby mohl potvrdit n\u011bjak\u00e9 obchodn\u00ed rozhodnut\u00ed. Pouze obrovsk\u00fd a nep\u0159ehl\u00e9dnuteln\u00fd uptrend na sledovan\u00e9m n\u00e1stroji OVX by mohl navodit dojem n\u011bjak\u00e9 bl\u00ed\u017e\u00edc\u00ed se zm\u011bny.<\/span><\/p>\n

\u00a0 Na str\u00e1nk\u00e1ch CBOE je mo\u017en\u00e9 pozorovat i jin\u00e1 velmi likvidn\u00ed ETF a jejich o\u010dek\u00e1vanou t\u0159icetidenn\u00ed volatilitu vypo\u010d\u00edtanou pomoc\u00ed VIX Technologie, nap\u0159\u00edklad ETF s\u00a0tickery GLD<\/strong> sleduj\u00edc\u00ed cenu zlata, EEM<\/strong> \u2013 trhy Emerging Markets, FXE<\/strong> \u2013 ETF odr\u00e1\u017eej\u00edc\u00ed hodnotu EUR k\u00a0USD nebo XLE<\/strong> \u2013 ETF odr\u00e1\u017eej\u00edc\u00ed hodnotu energetick\u00fdch titul\u016f obsa\u017een\u00fdch v\u00a0indexu S&P 500. Mysl\u00edm si, \u017ee sta\u017een\u00ed t\u011bchto dat a jejich porovn\u00e1n\u00ed s\u00a0daty podklad\u016f v\u00a0jednoduch\u00e9m Excelu zvl\u00e1dne ka\u017ed\u00fd b\u011b\u017en\u00fd u\u017eivatel, nebudu se tedy o t\u011bchto titulech d\u00e1le rozepisovat<\/span><\/p>\n

\n

\u00a0\u00a0 Nab\u00edz\u00ed se ot\u00e1zka, jestli to v\u016fbec k\u00a0n\u011b\u010demu je a jestli se to d\u00e1 v\u00a0praxi n\u011bjak smyslupln\u011b vyu\u017e\u00edt. Nev\u00edm, osobn\u011b tyto \u00fadaje nevyu\u017e\u00edv\u00e1m, proto\u017ee nejsem prim\u00e1rn\u011b akciov\u00fd obchodn\u00edk. Smyslem \u010dl\u00e1nku ale bylo uk\u00e1zat, \u017ee popsan\u00e1 v\u00fdpo\u010detn\u00ed technika, kterou je stanovov\u00e1na hodnota VIX Indexu, se d\u00e1 pou\u017e\u00edt i na jinou skupinu obchodovateln\u00fdch n\u00e1stroj\u016f \u2013 akci\u00ed a tak\u00e9 ETF. Toto pozn\u00e1n\u00ed, \u017ee n\u011bco takov\u00e9ho je ji\u017e vypo\u010dteno a funguje tak\u00e9 na t\u011bchto obchodovan\u00fdch titulech, by mohlo b\u00fdt velmi vhodn\u00fdm dopl\u0148kem k\u00a0obchodn\u00edm rozhodnut\u00edm v\u00a0p\u0159\u00edm\u00e9 souvislosti s\u00a0t\u011bmito konkr\u00e9tn\u00edmi podkladov\u00fdmi aktivy. V t\u00e9to souvislosti pak stoj\u00ed tak\u00e9 za p\u0159ipomenut\u00ed, s odkazem na \u00favod \u010dl\u00e1nku, \u017ee m\u011b\u0159en\u00ed o\u010dek\u00e1van\u00e9 volatility pomoci takov\u00e9ho v\u00fdpo\u010dtu zcela odeb\u00edr\u00e1 t\u011bmto hodnot\u00e1m souvislost s cenou podkladov\u00fdch akci\u00ed. Proto\u017ee se ceny akciov\u00fdch titul\u016f m\u011bn\u00ed p\u0159ekotn\u011bji a dramati\u010dt\u011bji ne\u017e je hodnota nap\u0159\u00edklad indexu SPX, nebylo by mo\u017en\u00e9 takov\u00e9 o\u010dek\u00e1v\u00e1n\u00ed volatility, prom\u00edtnut\u00e9 do cen OTM op\u010dn\u00edch kontrakt\u016f na v\u00fd\u0161e uveden\u00e9 vybran\u00e9 akcie, v\u016fbec pozorovat a nato\u017e srovn\u00e1vat.\u00a0 Pokud akcie AAPL pos\u00edl\u00ed ze dne na den o 2%, pak se zm\u011bn\u00ed ceny OTM op\u010dn\u00edch kontrakt\u016f tak\u00e9, proto\u017ee do v\u00fdpo\u010dtu jejich ceny (nap\u0159\u00edklad podle Black-Scholesova modelu) vstupuje cena podkladu jako v\u00fdznamn\u00fd cenotvorn\u00fd prvek. Zjistit ale, jestli je zv\u00fd\u0161en\u00ed ceny t\u011bchto opc\u00ed proporcion\u00e1ln\u00ed k n\u00e1r\u016fstu ceny akcie pouh\u00fdm okem zjistiteln\u00e9 nen\u00ed. Pohledem na hodnotu VXAPL ale mohu zjistit, jestli se jeho hodnota nenach\u00e1z\u00ed na n\u011bjak\u00e9 neobvykl\u00e9 v\u00fd\u0161i (nap\u0159\u00edklad bl\u00edzko hodnoty 30) a z tohoto usoudit, jestli se nap\u0159\u00edklad d\u00edky jeho vysok\u00e9 hodnot\u011b nenach\u00e1z\u00ed ceny t\u011bchto opc\u00ed na n\u011bjak\u00e9 p\u0159ijateln\u00e9 v\u00fd\u0161i vhodn\u00e9 nap\u0159\u00edklad pro jejich v\u00fdpis.<\/span>\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Uchopiteln\u011bj\u0161\u00edm, podstatn\u011bj\u0161\u00edm a patrn\u011b obchodn\u011b vyu\u017eiteln\u011bj\u0161\u00edm pak bude pozorov\u00e1n\u00ed nasazen\u00ed t\u00e9to \u201eVIX Technologie\u201c nikoliv na jednotliv\u00e9 akciov\u00e9 tituly, ale na cel\u00e9 akciov\u00e9 indexy, a to jin\u00e9, ne\u017e je S&P 500, o tom ale a\u017e v\u00a0dal\u0161\u00edm \u010dl\u00e1nku.<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u00a0\u00a0 V\u00a0minul\u00e9m \u010dl\u00e1nku VIX Index\u00a0jsem otev\u0159el z\u00e1kladn\u00ed t\u00e9ma t\u00fdkaj\u00edc\u00ed se deriv\u00e1t\u016f volatility t\u00edm, \u017ee jsem se sna\u017eil popsat konstrukci samotn\u00e9ho v\u00fdpo\u010dtu VIX Indexu, ze kter\u00e9 vyplynuly z\u00e1kladn\u00ed principy jeho fungov\u00e1n\u00ed a vlivy, kter\u00e9 zp\u016fsobuj\u00ed jeho pohyb. Z\u00a0\u010dl\u00e1nku vyplynulo, \u017ee podstatou je \u201em\u011b\u0159en\u00ed nap\u011bt\u00ed\u201c na OTM opc\u00edch podkladov\u00e9ho aktiva SPX s\u00a0horizontem Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":1019,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"jetpack_post_was_ever_published":false,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[37],"tags":[39],"class_list":["post-1010","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita-a-jeji-derivaty","tag-vix-index"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-gi","jetpack-related-posts":[{"id":2853,"url":"https:\/\/dobretrejdy.com\/?p=2853","url_meta":{"origin":1010,"position":0},"title":"VVIX – Volatilita Volatility","author":"dobretrejdy :c)","date":"26.1.2019","format":false,"excerpt":"\u00a0 \u00a0\u00a0Gepard ub\u011bhne sto metr\u016f za \u010dty\u0159i vte\u0159iny, z\u00a0Olomouce do Brna pojedu ve sv\u00e9m aut\u011b hodinu a \u017eralok pr\u00fd plave stejn\u011b rychle, jako si to uh\u00e1n\u00ed Usain Bolt. Ka\u017ed\u00fd tvor nebo ka\u017ed\u00e1 v\u011bc, v\u0161e, co m\u00e1 schopnost pohybu, m\u00e1 svou vlastn\u00ed rychlost. M\u016f\u017eu ji nejr\u016fzn\u011bji m\u011b\u0159it, stopkami, tachometrem nebo prost\u00fdm\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2019\/01\/main-3.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1030,"url":"https:\/\/dobretrejdy.com\/?p=1030","url_meta":{"origin":1010,"position":1},"title":"VIX technologie + Akciov\u00e9 indexy","author":"dobretrejdy :c)","date":"14.11.2017","format":false,"excerpt":"\u00a0\u00a0 V\u00a0\u010dl\u00e1nku o VIX Indexu \u00a0jsem popsal metodu jeho v\u00fdpo\u010dtu, abych se v\u00a0n\u00e1sleduj\u00edc\u00edm \u010dl\u00e1nku sna\u017eil uk\u00e1zat, jak vyu\u017e\u00edt tento v\u00fdpo\u010det pro stanoven\u00ed \u201ejin\u00fdch VIX\u016f\u201c pro jin\u00e9 podklady, nap\u0159\u00edklad velmi likvidn\u00ed akcie. \u00dadaje o takov\u00fdch vypo\u010dten\u00fdch hodnot\u00e1ch lze nal\u00e9zt na str\u00e1nk\u00e1ch CBOE s\u00a0jej\u00ed ka\u017edodenn\u00ed aktualizac\u00ed, tak\u017ee pro obchodn\u00edka t\u011bchto podkladov\u00fdch aktiv\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":950,"url":"https:\/\/dobretrejdy.com\/?p=950","url_meta":{"origin":1010,"position":2},"title":"VIX Index","author":"dobretrejdy :c)","date":"30.10.2017","format":false,"excerpt":"\u00a0\u00a0 \u201eKdo se boj\u00ed, mus\u00ed do lesa\u201c. Parafr\u00e1ze na legend\u00e1rn\u00ed r\u010den\u00ed o osobn\u00ed odvaze je mottem dne\u0161n\u00edho \u010dl\u00e1nku. Ka\u017ed\u00fd trader musel o n\u011bm p\u0159inejmen\u0161\u00edm sly\u0161et a ka\u017ed\u00fd op\u010dn\u00ed mentor jeho n\u00e1zev musel p\u0159inejmen\u0161\u00edm n\u011bkolikr\u00e1t \u201evypustit z\u00a0\u00fast\u201c. VIX Index. \u201eVIX Index je navr\u017een tak, aby odr\u00e1\u017eel n\u00e1hled investor\u016f na budouc\u00ed 30-ti\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/front.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/front.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/front.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":1010,"position":3},"title":"VIX Index se obchoduje?","author":"dobretrejdy :c)","date":"19.11.2017","format":false,"excerpt":"\u00a0 \u00a0VIX Index se ned\u00e1 obchodovat. Tato jednoduch\u00e1 v\u011bta je p\u0159\u00ed\u010dinou \u00fadivu mnoha op\u010dn\u00edch (i jin\u00fdch) obchodn\u00edk\u016f a v\u011bt\u0161inou bezpe\u010dn\u011b vyvol\u00e1 obs\u00e1hlou polemiku. V\u00a0t\u00e9to jednoduch\u00e9 v\u011bt\u011b se tak\u00e9 skr\u00fdv\u00e1 mnoho obchodn\u00edch ne\u00fasp\u011bch\u016f pramen\u00edc\u00edch z\u00a0neznalosti fungov\u00e1n\u00ed tohoto n\u00e1stroje. V\u00a0\u010dl\u00e1nku VIX Index \u00a0jsem popsal, jak se jeho hodnota vypo\u010d\u00edt\u00e1, abych v\u00a0dal\u0161\u00edch dvou\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1215,"url":"https:\/\/dobretrejdy.com\/?p=1215","url_meta":{"origin":1010,"position":4},"title":"VX Futures – gravitace k VIX Indexu","author":"dobretrejdy :c)","date":"26.12.2017","format":false,"excerpt":"\u00a0\u00a0 Isaac Newton by m\u011bl radost. Nejenom\u017ee jeho dv\u011b koule hozen\u00e9 z\u00a0\u0161ikm\u00e9 v\u011b\u017ee v\u00a0Pise skon\u010dily v\u017edy bezpardonu v\u00a0italsk\u00e9m pa\u017eitu pod v\u011b\u017e\u00ed a potvrdily tak j\u00edm popsan\u00e9 gravita\u010dn\u00ed z\u00e1kony (a\u0165 s\u00a0nimi h\u00e1zel jakkoliv a m\u011bly r\u016fznou hmotnost), tak tak\u00e9 ka\u017ed\u00fd futures kontrakt (a\u0165 na n\u011bj p\u016fsob\u00ed cokoliv a m\u00e1 jakoukoliv moment\u00e1ln\u00ed\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4232,"url":"https:\/\/dobretrejdy.com\/?p=4232","url_meta":{"origin":1010,"position":5},"title":"VX Futures \u2013 \u201eThe Big Short\u201c","author":"dobretrejdy :c)","date":"20.3.2020","format":false,"excerpt":"\u00a0\u00a0 \u201ePro\u010d \u010dlov\u011bk nem\u00e1 chobot?\u201c byla jednoduch\u00e1 ot\u00e1zka, kterou polo\u017eil \u010desk\u00e9mu komikovi jeden z r\u00e1dobyvtipn\u00fdch \u010dten\u00e1\u0159\u016f v jist\u00e9m obl\u00edben\u00e9m \u010dasopise. Na tuto jeden z velik\u00e1n\u016f \u010desk\u00e9ho humoru su\u0161e odpov\u011bd\u011bl \u201e\u2026a vid\u011bl jste je v\u0161echny?\u201c a potvrdil mi mou vlastn\u00ed teorii o t\u00e9m\u011b\u0159 nekone\u010dn\u00e9 r\u016fznorodosti lidsk\u00fdch bytost\u00ed a jejich povah. Pro\u010d\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/03\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1010","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"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=1010"}],"version-history":[{"count":4,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1010\/revisions"}],"predecessor-version":[{"id":1027,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1010\/revisions\/1027"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/1019"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1010"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1010"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1010"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}