{"id":1055,"date":"2017-11-19T19:16:07","date_gmt":"2017-11-19T17:16:07","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=1055"},"modified":"2021-07-16T17:05:21","modified_gmt":"2021-07-16T15:05:21","slug":"vix-index-se-obchoduje","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=1055","title":{"rendered":"VIX Index se obchoduje?"},"content":{"rendered":"

\u00a0 \u00a0VIX Index se ned\u00e1 obchodovat<\/strong>. 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<\/a><\/strong><\/span> \u00a0jsem popsal, jak se jeho hodnota vypo\u010d\u00edt\u00e1, abych v\u00a0dal\u0161\u00edch dvou \u010dl\u00e1nc\u00edch uk\u00e1zal jeho modifikace, respektive pou\u017eit\u00ed jeho v\u00fdpo\u010dtu na jin\u00fdch podkladech, ne\u017e je \u201emate\u0159sk\u00fd\u201c akciov\u00fd index S&P 500 reprezentovan\u00fd op\u010dn\u00edmi kontrakty SPX. A\u0165 ji\u017e tedy pou\u017eiji k\u00a0v\u00fdpo\u010dtu o\u010dek\u00e1van\u00e9 t\u0159icetidenn\u00ed volatility op\u010dn\u00ed \u0159et\u011bzce SPX, technologick\u00e9ho NDX, small-cap indexu RUT nebo op\u010dn\u00ed \u0159et\u011bzce akcie Amazon, v\u017edycky je v\u00fdsledkem n\u011bjak\u00e9 \u010d\u00edslo<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 V\u00fdsledn\u00e9 vypo\u010d\u00edtan\u00e9 \u010d\u00edslo VIX Indexu samo o sob\u011b ned\u00e1v\u00e1 p\u0159\u00edli\u0161 smysl, pokud by jej nebylo mo\u017en\u00e9 d\u00e1t do historick\u00fdch souvislost\u00ed a odez\u00edrat, jestli je jeho hodnota vysok\u00e1 nebo n\u00edzk\u00e1 a takovou moment\u00e1ln\u00ed hodnotu pak p\u0159\u00edslu\u0161n\u00fdm zp\u016fsobem interpretovat nebo ji vyu\u017e\u00edt k\u00a0vlastn\u00edmu obchodn\u00edmu rozhodnut\u00ed. Vypo\u010d\u00edtan\u00e9 hodnoty VIX Indexu nebo jin\u00fdch index\u016f volatility podle p\u0159edchoz\u00edch \u010dl\u00e1nk\u016f je pak vhodn\u00e9 pom\u011b\u0159ovat s \u201ekritick\u00fdmi hodnotami\u201c, o kter\u00fdch je vhodn\u00e9 m\u00edt alespo\u0148 z\u00e1kladn\u00ed pov\u011bdom\u00ed. Na str\u00e1nk\u00e1ch CBOE<\/strong><\/a><\/span> \u00a0lze nal\u00e9zt \u201emapu\u201c s\u00a0vyzna\u010den\u00fdmi maxim\u00e1ln\u00edmi a minim\u00e1ln\u00edmi hodnotami r\u016fzn\u00fdch deriv\u00e1t\u016f volatility ve sv\u00fdch tot\u00e1ln\u00edch hodnot\u00e1ch za dobu jejich existence. Pro n\u011bkter\u00e9 ji\u017e d\u0159\u00edve popisovan\u00e9 odvozeniny bych mohl vid\u011bt n\u00ed\u017ee uveden\u00e9 hodnoty<\/span><\/p>\n

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\u00a0\u00a0 Za pozornost stoj\u00ed historick\u00e1 maxim\u00e1ln\u00ed<\/strong> a minim\u00e1ln\u00ed<\/strong> hodnota VIX Indexu<\/strong>, kter\u00e1 byla na sv\u00e9m maximu <\/strong>ve v\u00fd\u0161i 80.86<\/strong> a nejv\u00edce<\/strong> klesla<\/strong> na hodnotu 9.31<\/strong>. Tyto hodnoty, zobrazen\u00e9 na obr\u00e1zku nebo v ,map\u011b“ v odkazu v\u00fd\u0161e se t\u00fdkaj\u00ed Close cen vybran\u00fdch deriv\u00e1t\u016f.<\/span><\/p>\n

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Syntetick\u00e9 pozice<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Co ale vlastn\u011b vid\u00edm<\/strong> za \u00fadaj (pokud bych se vr\u00e1til k\u00a0hodnot\u011b VIX Indexu) ve sv\u00e9 platform\u011b p\u0159i zad\u00e1n\u00ed tickeru VIX<\/strong> a jak jej m\u016f\u017eu zobchodovat? Abych vlastn\u011b zjistil, na jakou hodnotu se v\u00a0obchodn\u00ed platform\u011b vlastn\u011b d\u00edv\u00e1m a co mi tato hodnota ukazuje, pom\u016f\u017eu si, jako op\u010dn\u00ed obchodn\u00edk, syntetickou pozic\u00ed<\/strong>. Co t\u00edm m\u00e1m na mysli? Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je vyobrazen op\u010dn\u00ed \u0159et\u011bzec podkladov\u00e9 akcie AAPL<\/strong> s\u00a0expirac\u00ed v\u00a0lednu 2018<\/strong>. Jedn\u00e1 se o op\u010dn\u00ed kontrakty expiruj\u00edc\u00ed za dva m\u011bs\u00edce.<\/span><\/p>\n

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\u00a0\u00a0 Pokud bych m\u011bl k\u00a0dispozici pouze \u00fadaje o opc\u00edch a nev\u011bd\u011bl, jak\u00e1 je cena podkladu, mohu ji dosti p\u0159esn\u011b zjistit<\/strong> z\u00a0op\u010dn\u00edch cen<\/strong> pozorovan\u00e9ho op\u010dn\u00edho \u0159et\u011bzce<\/strong>. Pro\u010d bych si to m\u011bl takto po\u010d\u00edtat vypad\u00e1 podivn\u011b, ale kupodivu toto lze vyu\u017e\u00edt nap\u0159\u00edklad u komoditn\u00edch opc\u00ed, kdy podklad – komoditn\u00ed futures, ud\u011blalo limitn\u00ed pohyb a jeho obchodov\u00e1n\u00ed je pozastaveno. S\u00a0podkladem se sice neobchoduje (a m\u016f\u017ee to trvat n\u011bkolik dn\u016f), ale op\u010dn\u00ed kontrakty se obchoduj\u00ed st\u00e1le, mohu pak z\u00a0pohybu jejich cen ur\u010dit o\u010dek\u00e1vanou cenu podkladu a prov\u00e9st nap\u0159\u00edklad obchodn\u00ed op\u010dn\u00ed operace, kter\u00e9 m\u011b mohou nap\u0159\u00edklad uchr\u00e1nit od ne\u010dekan\u00e9ho vlivu nep\u0159\u00edjemn\u00e9ho pohybu podkladu po uvoln\u011bn\u00ed obchodov\u00e1n\u00ed pozastaven\u00e9ho podkladov\u00e9ho futures. Zp\u011bt ale k v\u00fd\u0161e uveden\u00e9mu obr\u00e1zku s\u00a0akci\u00ed AAPL. Pokud je hodnota strike 165<\/strong> (hn\u011bd\u00fd obd\u00e9ln\u00edk) a zn\u00e1m ceny Call<\/strong> a Put<\/strong> na tomto strike (zelen\u00fd a \u010derven\u00fd krou\u017eek), tak mohu pomoc\u00ed t\u011bchto opc\u00ed vytvo\u0159it syntetickou akciovou pozici identickou, jako bych dr\u017eel samotn\u00fd podklad. Nakoupen\u00edm Long Call 165<\/strong> za -915 USD a prodejem Short Put 165<\/strong> za +340 USD vytvo\u0159\u00edm identickou pozici, jako bych dr\u017eel 100 x Long akci\u00ed AAPL. Po\u0159izovac\u00ed cena se d\u00e1 pak spo\u010d\u00edtat tak, \u017ee ji ur\u010duje Hodnota strike + Cena Call – Cena Put, v\u00a0m\u00e9m p\u0159\u00edpad\u011b 165+9.15-3.40 = 170.75 USD<\/strong>. P\u0159esto\u017ee nevid\u00edm Ask\/Bid spread na akcii, tak jej\u00ed cena je 171.10 USD <\/strong>(hn\u011bd\u00fd obd\u00e9ln\u00edk vpravo naho\u0159e), je tedy t\u00e9m\u011b\u0159 identick\u00e1<\/strong> jako m\u00e1 syntetick\u00e1 op\u010dn\u00ed pozice<\/strong>. M\u00edrn\u011b se li\u0161\u00ed, proto\u017ee jsem za ceny op\u010dn\u00ed syntetick\u00e9 pozice bral uk\u00e1zkov\u011b striktn\u011b Ask ceny u Long Call 165 a Bid ceny u Short Put 165, v\u00a0praxi bych dostal za v\u00fdpis Short Put 165 jist\u011b v\u00edce a Long Call 165 bych patrn\u011b koupil levn\u011bji, cena obou pozic, akciov\u00e9 i syntetick\u00e9, by pak byla t\u00e9m\u011b\u0159 stejn\u00e1. Takto mohu stanovit cenu podkladu pomoc\u00ed opc\u00ed na jak\u00e9mkoliv strike a mohu tak vypo\u010d\u00edtat cenu podkladu nap\u0159\u00edklad pro akcie Amazonu, prosincov\u00e9ho kontraktu kuku\u0159ice nebo \u00fanorov\u00e9 ropy, ani\u017e bych znal jej\u00ed aktu\u00e1ln\u00ed ceny a vyu\u017eil k jejich stanoven\u00ed pouze ceny op\u010dn\u00edch kontrakt\u016f.<\/span><\/p>\n

\u00a0\u00a0 Pokud se tedy pod\u00edv\u00e1m, v\u00a0intenc\u00edch p\u0159edchoz\u00edch tvrzen\u00ed a v\u00fdpo\u010dtu s opcemi akcie AAPL, na op\u010dn\u00ed \u0159et\u011bzec VIX Indexu<\/strong>, tak mohu vid\u011bt n\u00e1sleduj\u00edc\u00ed obr\u00e1zek. P\u0159i moment\u00e1ln\u00ed hodnot\u011b VIX Indexu<\/strong> ve v\u00fd\u0161i 11.76<\/strong> mohu pro opce s\u00a0expirac\u00ed v\u00a0lednu 2018<\/strong>, tedy za dva m\u011bs\u00edce, vid\u011bt n\u00e1sleduj\u00edc\u00ed ceny op\u010dn\u00edch kontrakt\u016f, nap\u0159\u00edklad na strike 11<\/strong>, jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0\u010derven\u00e9m obd\u00e9ln\u00edku v\u00a0lev\u00e9m horn\u00edm rohu kontroluji, \u017ee m\u00e1m vybr\u00e1n podklad VIX Index<\/strong> a expiraci v\u00a0lednu 2018<\/strong>. Opce\u00a0Long Call 11<\/strong> bych po\u0159\u00eddil za -330 USD<\/strong> a Short Put 11<\/strong> bych prodal za +35 USD<\/strong>. Pokud bych cht\u011bl stanovit hodnotu podkladu, kter\u00fd p\u0159edstavuj\u00ed op\u010dn\u00ed kontrakty, tak Hodnota strike<\/strong> (11) + Cena Call<\/strong> (3.30) –\u00a0Cena Put<\/strong> (0.35) p\u0159edstavuje hodnotu podkladu ve v\u00fd\u0161i 13.95!!!<\/strong>. To je ale dramaticky jin\u00e1 cena<\/strong>, ne\u017e moment\u00e1ln\u00ed cena VIX Indexu nach\u00e1zej\u00edc\u00edho se na moment\u00e1ln\u00ed hodnot\u011b 11.76!!!<\/strong> Kde je chyba? Kde se bere ten dramatick\u00fd rozd\u00edl mezi cenou VIX Indexu a cenou syntetick\u00e9 pozice? V\u017edy\u0165 je tam t\u00e9m\u011b\u0159 dvacetiprocentn\u00ed rozd\u00edl. Pokud bych si ve sv\u00e9 platform\u011b (Interactive Brokers) rozklikl specifikaci zobrazen\u00e9ho op\u010dn\u00edho kontraktu Long Call 11 JAN18 (v zelen\u00e9m krou\u017eku) , mohl bych vid\u011bt n\u00e1sleduj\u00edc\u00ed popis.<\/span><\/p>\n

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\u00a0\u00a0 Jako \u201eUnderlying<\/strong>\u201c je uveden VIX Index<\/strong> a dal\u0161\u00ed \u00fadaje tak\u00e9 ukazuj\u00ed, \u017ee je v\u0161e spr\u00e1vn\u011b. P\u0159izn\u00e1m se, \u017ee je to m\u00edrn\u011b zav\u00e1d\u011bj\u00edc\u00ed, zejm\u00e9na pro neznal\u00e9 op\u010dn\u00ed obchodn\u00edky. Podkladem je sice VIX Index, ale ceny tomu neodpov\u00eddaj\u00ed. Je to tedy \u0161patn\u011b? Ano i ne. Podkladem pro tento op\u010dn\u00ed \u0159et\u011bzec je toti\u017e futures kontrakt<\/strong>, odvozen\u00fd od hodnoty VIX Indexu, tzv. VX futures<\/strong> s\u00a0expirac\u00ed v\u00a0lednu 2018<\/strong>. Budu se t\u011bmito futures kontrakty zab\u00fdvat podrobn\u011b v\u00a0n\u00e1sleduj\u00edc\u00edm \u010dl\u00e1nku, ale jen pro demonstraci uk\u00e1\u017eu moment\u00e1ln\u00ed hodnoty t\u011bchto futures, abych dokreslil cenovou z\u00e1vislost op\u010dn\u00edch kontrakt\u016f pr\u00e1v\u011b na t\u011bchto deriv\u00e1tech a nikoliv na okam\u017eit\u00e9 hodnot\u011b VIX Indexu.<\/span><\/p>\n

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\u00a0\u00a0 \u010cerven\u00fdm obd\u00e9ln\u00edkem je vyzna\u010dena hodnota lednov\u00e9ho futures kontraktu<\/strong> (VX JAN18), kter\u00e1 je na moment\u00e1ln\u00ed hodnot\u011b 13.85<\/strong>. To t\u00e9m\u011b\u0159 zcela p\u0159esn\u011b odpov\u00edd\u00e1 hodnot\u011b vypo\u010dten\u00e9 syntetick\u00e9 pozice z\u00a0lednov\u00fdmi op\u010dn\u00edmi kontrakty. Cena se li\u0161\u00ed mikroskopicky d\u00edky Ask\/Bid opc\u00ed a samotn\u00e9ho futures. V\u00a0praxi bych dostal (d\u00edky lep\u0161\u00edm cen\u00e1m ne\u017e na Ask\/Bid) t\u00e9m\u011b\u0159 toto\u017enou cenu syntetick\u00e9 op\u010dn\u00ed pozice s cenou tohoto ozna\u010den\u00e9ho lednov\u00e9ho futures kontraktu<\/span><\/p>\n

\u00a0 Co pro za\u010d\u00e1tek alespo\u0148 obecn\u011b konstatovat k futures kontrakt\u016fm.\u00a0Z\u00e1kladn\u00ed vlastnost\u00ed<\/strong> jak\u00fdchkoliv futures kontrakt\u016f je jejich \u201eterm structure<\/strong>\u201c, tedy \u010dasov\u00e1 struktura. Cena VX futures kontrakt\u016f (\u2026a jak\u00fdchkoliv jin\u00fdch futures kontrakt\u016f) je pak odvozena od n\u011bjak\u00e9 z\u00e1kladn\u00ed \u201espotov\u00e9\u201c<\/strong> ceny, kterou je v\u00a0m\u00e9m p\u0159\u00edpad\u011b hodnota VIX Indexu<\/strong>. Co to znamen\u00e1? Pokud bych nap\u0159\u00edklad cht\u011bl v\u00a0USA koupit nejlevn\u011bj\u0161\u00ed naftu, tak bych si vzal kanystr a vyrazil bych do Cushing v\u00a0Oklahom\u011b. Cena nafty, kter\u00e1 vyt\u00e9k\u00e1 z\u00a0potrub\u00ed v jej\u00edm skladu v\u00a0tomto m\u011bst\u011b je br\u00e1na jako spotov\u00e1 cena suroviny \u201eCrude Oil\u201c ropy (CL), od kter\u00e9 se odvozuj\u00ed ceny futures kontrakt\u016f na tuto surovinu. Pokud bych zjistil, \u017ee ceny futures kontrakt\u016f CL jsou vy\u0161\u0161\u00ed, ne\u017e je spotov\u00e1 cena, tak by mi u\u017e sta\u010dilo se domluvit s\u00a0d\u011bdou na vr\u00e1tnici, aby mi do kanystru na\u010depoval n\u011bjak\u00fd ten galon a s\u00a0pocitem, \u017ee jsem koupil nejlevn\u011bj\u0161\u00ed naftu v\u00a0USA bych mohl odbur\u00e1cet dom\u016f.<\/span><\/p>\n

\u00a0\u00a0 Druhou z\u00e1sadn\u00ed vlastnost\u00ed<\/strong> futures konrakt\u016f je p\u0159itahov\u00e1n\u00ed ceny futures kontraktu ke spotov\u00e9 cen\u011b tak, jak se bl\u00ed\u017e\u00ed expirace t\u011bchto futures. Co to znamen\u00e1 pro m\u016fj VIX Index? P\u0159esto\u017ee vid\u00edm ve sv\u00e9 op\u010dn\u00ed platform\u011b, \u017ee podkladem pro opce je VIX Index<\/strong>, ve skute\u010dnosti cena opc\u00ed kop\u00edruje VX futures kontrakt<\/strong> souvisej\u00edc\u00ed s\u00a0p\u0159\u00edslu\u0161nou expirac\u00ed<\/strong>. Tento VX futures kontrakt je v\u0161ak p\u016fsoben\u00edm b\u011bhu \u010dasu p\u0159itahov\u00e1n spotovou cenou, tedy hodnotou VIX Indexu, tak\u017ee jeho cena se p\u0159ibli\u017euje cen\u011b VIX Indexu, aby s\u00a0n\u00ed p\u0159i expiraci t\u00e9m\u011b\u0159 splynula. Dalo by se tak s\u00a0nads\u00e1zkou \u0159\u00edct, \u017ee to, \u017ee je podkladem op\u010dn\u00edho kontraktu VIX Index je t\u00edm v\u011bt\u0161\u00ed pravda, \u010d\u00edm bl\u00ed\u017ee je datum expirace tohoto op\u010dn\u00edho kontraktu.<\/span><\/p>\n

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\u00a0 \u00a0P\u0159esnou specifikac\u00ed VX futures kontrakt\u016f, chov\u00e1n\u00edm a pozorov\u00e1n\u00edm jejich \u201eterm structure\u201c se budu podrobn\u011b zab\u00fdvat v\u00a0dal\u0161\u00edch \u010dl\u00e1nc\u00edch, co v\u0161ak mohu vypozorovat a konstatovat ji\u017e nyn\u00ed. Pokud chci nap\u0159\u00edklad nyn\u00ed po\u0159\u00eddit op\u010dn\u00ed kontrakt na VIX s\u00a0expirac\u00ed za dva m\u011bs\u00edce, mus\u00edm se p\u0159edev\u0161\u00edm pod\u00edvat, jak\u00e1 je hodnota futures kontraktu<\/strong> expiruj\u00edc\u00edho za dva m\u011bs\u00edce, tedy souvisej\u00edc\u00edho VX futures kontraktu s expirac\u00ed toto\u017enou s expirac\u00ed op\u010dn\u00edho kontraktu. Mus\u00edm vyhodnotit, jakou m\u00e1 toto VX futures moment\u00e1ln\u00ed cenu v\u016f\u010di<\/strong> spotov\u00e9 cen\u011b \u2013 VIX Indexu<\/strong> a mus\u00edm b\u00fdt obezn\u00e1men se\u00a0z\u00e1kladn\u00edm chov\u00e1n\u00edm term-structure<\/strong> t\u011bchto VX futures kontrakt\u016f v ur\u010dit\u00fdch tr\u017en\u00edch situac\u00edch, tedy v\u00a0obdob\u00ed klidu na trz\u00edch a hlavn\u011b v\u00a0obdob\u00edch tr\u017en\u00edch turbulenc\u00ed. Toto jsou zcela z\u00e1sadn\u00ed informace, kter\u00e9 budu pot\u0159ebovat k\u00a0rozhodnut\u00edm, aby nap\u0159\u00edklad m\u00e9 obchody s\u00a0VIX opcemi m\u011bly nad\u011bji na \u00fasp\u011bch. Pokus\u00edm se tyto z\u00e1kladn\u00ed informace rozv\u00e9st v\u00a0dal\u0161\u00edch \u010dl\u00e1nc\u00edch :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\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 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":1067,"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-1055","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-4.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-h1","jetpack-related-posts":[{"id":950,"url":"https:\/\/dobretrejdy.com\/?p=950","url_meta":{"origin":1055,"position":0},"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":1030,"url":"https:\/\/dobretrejdy.com\/?p=1030","url_meta":{"origin":1055,"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":2853,"url":"https:\/\/dobretrejdy.com\/?p=2853","url_meta":{"origin":1055,"position":2},"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":1119,"url":"https:\/\/dobretrejdy.com\/?p=1119","url_meta":{"origin":1055,"position":3},"title":"VX Futures","author":"dobretrejdy :c)","date":"28.11.2017","format":false,"excerpt":"\u00a0 \u00a0VX futures je kr\u00e1lem mezi deriv\u00e1ty volatility. Je nejv\u00fdznamn\u011bj\u0161\u00ed odvozeninou VIX Indexu a p\u0159edstavuje nejjednodu\u0161\u0161\u00ed formu, jak VIX Index v\u00a0praxi obchodovat. Tento deriv\u00e1t je mo\u017en\u00e9 obchodovat na CFE (Chicago Futures Exchange) pat\u0159\u00edc\u00ed pod k\u0159\u00eddla CBOE. Pokud tedy chcete m\u00edt k\u00a0dispozici aktu\u00e1ln\u00ed nezpo\u017ed\u011bn\u00e1 \u017eiv\u00e1 data t\u011bchto futures kontrakt\u016f, nezb\u00fdv\u00e1 ne\u017e\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-6.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1010,"url":"https:\/\/dobretrejdy.com\/?p=1010","url_meta":{"origin":1055,"position":4},"title":"VIX technologie + Akcie","author":"dobretrejdy :c)","date":"8.11.2017","format":false,"excerpt":"\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\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-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1215,"url":"https:\/\/dobretrejdy.com\/?p=1215","url_meta":{"origin":1055,"position":5},"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":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1055","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=1055"}],"version-history":[{"count":12,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1055\/revisions"}],"predecessor-version":[{"id":1076,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1055\/revisions\/1076"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/1067"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1055"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1055"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1055"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}