{"id":1119,"date":"2017-11-28T13:12:28","date_gmt":"2017-11-28T11:12:28","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=1119"},"modified":"2022-05-04T07:28:26","modified_gmt":"2022-05-04T05:28:26","slug":"vx-futures","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=1119","title":{"rendered":"VX Futures"},"content":{"rendered":"

\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 si po\u0159\u00eddit u sv\u00e9ho brokera subscription na tyto data (u IB stoj\u00ed 2.50 USD\/m\u011bs\u00edc) na t\u00e9to burze, pro jednodu\u0161\u0161\u00ed pot\u0159ebu se v\u0161ak d\u00e1 vych\u00e1zet ze zpo\u017ed\u011bn\u00fdch dat.<\/span><\/p>\n

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\u00a0\u00a0 V\u0161echny hodnoty zpo\u017ed\u011bn\u00fdch dat aktu\u00e1ln\u011b obchodovan\u00fdch VX futures kontrakt\u016f m\u00e1te mo\u017enost sledovat nap\u0159\u00edklad na \u201en\u00e1st\u011bnce\u201c s\u00a0daty na webov\u00fdch str\u00e1nk\u00e1ch CBOE<\/strong><\/a>.<\/span>\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Z pohledu na v\u00fd\u0161e uveden\u00fd obr\u00e1zek vypl\u00fdv\u00e1, \u017ee v\u00a0sou\u010dasn\u00e9 dob\u011b je listov\u00e1no k\u00a0obchodov\u00e1n\u00ed p\u011bt weeklys VX futures kontrakt\u016f<\/strong> a dev\u011bt m\u011bs\u00ed\u010dn\u00edch VX futures kontrakt\u016f<\/strong>. V\u00a0budoucnosti budu pro v\u0161echna tato toto futures pou\u017e\u00edvat v\u017edy ozna\u010den\u00ed \u201eVX<\/strong>\u201c, aby bylo v\u017edy jasn\u00e9, \u017ee se jedn\u00e1 o toto konkr\u00e9tn\u00ed futures, je\u017e je odvozeno od hodnoty VIX Indexu. Pokud se pod\u00edv\u00e1m bl\u00ed\u017ee na ozna\u010den\u00ed jednotliv\u00fdch kontrakt\u016f, tak dokonce na str\u00e1nk\u00e1ch mate\u0159sk\u00e9 CBOE je toto ozna\u010den\u00ed nesyst\u00e9mov\u00e9 a m\u00edrn\u011b neorganizovan\u00e9, proto\u017ee n\u011bkde jej ozna\u010duj\u00ed jako VIX futures a na jin\u00fdch m\u00edstech jako VX futures. Pokud se pod\u00edv\u00e1te na p\u0159edchoz\u00ed obr\u00e1zek, tak tickerm VX jsou ozna\u010dov\u00e1ny weeklys futures kontrakty, m\u011bs\u00ed\u010dn\u00ed kontrakty jsou ozna\u010dov\u00e1ny jako VIX, pokud si budete cht\u00edt st\u00e1hnout historick\u00e1 data ze str\u00e1nek CBOE, budete v\u017edy pracovat s\u00a0jejich ozna\u010den\u00edm VX :c)<\/span><\/p>\n

\u00a0\u00a0 Struktura ozna\u010dov\u00e1n\u00ed jednotliv\u00fdch futures kontrakt\u016f je pak takov\u00e1, \u017ee weeklys kontrakty<\/strong> jsou ozna\u010dov\u00e1ny \u010d\u00edslem t\u00fddne<\/strong>, ve kter\u00e9m expiruj\u00ed + tickerem \u201eVX\u201c<\/strong> + ozna\u010den\u00edm m\u011bs\u00edce roku<\/strong>, do kter\u00e9ho pat\u0159\u00ed expira\u010dn\u00ed t\u00fdden. 52VX\/Z7 je pak weeklys futures, kter\u00e9 expiruje v\u00a052. t\u00fddnu a tento 52. t\u00fdden pat\u0159\u00ed do m\u011bs\u00edce prosinec roku 2017. Posloupnost t\u00fddn\u016f je v\u017edy p\u0159eru\u0161ena o t\u00fdden, ve kter\u00e9m expiruje VX futures s\u00a0m\u011bs\u00ed\u010dn\u00ed expirac\u00ed (obvykle t\u0159et\u00ed st\u0159eda v\u00a0m\u011bs\u00edci). V\u00a0obr\u00e1zku v\u00fd\u0161e tak m\u016f\u017eete vid\u011bt, \u017ee po weeklys futures 50VX\/Z7 n\u00e1sleduje m\u011bs\u00ed\u010dn\u00ed VX\/Z7 a n\u00e1sledn\u011b je uvedeno op\u011bt 52VX\/Z7 weeklys futures.\u00a0 \u00a0<\/span><\/p>\n

\u00a0 Co vlastn\u011b toto VX futures kontrakt p\u0159edstavuje, jak\u00e1 je logika stanoven\u00ed jeho ceny, jak se prov\u00e1d\u00ed jeho vypo\u0159\u00e1d\u00e1n\u00ed a dal\u0161\u00ed souvisej\u00edc\u00ed nezbytnosti by m\u011blo b\u00fdt obsahem tohoto \u010dl\u00e1nku.\u00a0\u00a0<\/span>\u00a0<\/span><\/p>\n

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\u00a0\u00a0 Pokud je moment\u00e1ln\u00ed hodnota kuku\u0159i\u010dn\u00e9ho prosincov\u00e9ho futures kontraktu na hodnot\u011b 342 bod\u016f, tak to jednodu\u0161e znamen\u00e1, \u017ee tato cena odr\u00e1\u017e\u00ed o\u010dek\u00e1v\u00e1n\u00ed, \u017ee p\u0159\u00ed expiraci kuku\u0159i\u010dn\u00e9ho kontraktu by m\u011bla m\u00edt kuku\u0159ice pr\u00e1v\u011b tuto hodnotu.<\/span>\u00a0Nen\u00ed to tak jednoduch\u00e9 v\u00a0p\u0159\u00edpad\u011b VX futures a je nutn\u00e9, pro dal\u0161\u00ed pr\u00e1ci, spr\u00e1vnou interpretaci VX futures pochopit. Aktu\u00e1ln\u00ed hodnota VX futures<\/strong> toti\u017e odr\u00e1\u017e\u00ed, jak\u00e1 bude p\u0159i jeho expiraci o\u010dek\u00e1van\u00e1 t\u0159icetidenn\u00ed volatilita<\/strong> trh\u016f m\u011b\u0159en\u00e1 akciov\u00fdm indexem S&P 500. Co se takovou interpretac\u00ed vlastn\u011b skr\u00fdv\u00e1? VXJ8<\/strong> \u2013 dubnov\u00fd VX futures kontrakt s\u00a0expirac\u00ed 18.4.2018, n\u00e1m ve sv\u00e9 moment\u00e1ln\u00ed hodnot\u011b 15.115 sd\u011bluje, \u017ee v\u00a0t\u0159icetidenn\u00edm obdob\u00ed po expiraci<\/strong> tohoto VXJ8 futures, tedy v\u00a0obdob\u00ed 18.4.2018 \u2013 18.5.2018<\/strong> m\u016f\u017ee b\u00fdt hodnota o\u010dek\u00e1van\u00e9 volatility m\u011b\u0159en\u00e1 akciov\u00fdm indexem S&P 500 na hodnot\u011b 15.11. Je to tedy \u201eo\u010dek\u00e1v\u00e1n\u00ed, jak\u00e9 bude o\u010dek\u00e1v\u00e1n\u00ed<\/strong>\u201c, co\u017e je zaj\u00edmav\u00e1 jazykov\u00e1 z\u00e1pletka a tak\u00e9 p\u016fsobiv\u00e1 logick\u00e1 \u00favaha.<\/span><\/p>\n

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V\u00fdpo\u010det ceny VX Futures<\/span><\/strong><\/h1>\n

\u00a0 Nejlep\u0161\u00edm zp\u016fsobem, jak alespo\u0148 r\u00e1mcov\u011b pochopit, jak vlastn\u011b takov\u00fd VX futures kontrakt funguje, je alespo\u0148 r\u00e1mcov\u00e9 pochopen\u00ed konstrukce jeho v\u00fdpo\u010dtu. Jednoduch\u00e9 nast\u00edn\u011bn\u00ed krok\u016f v\u00fdpo\u010dtu by pak mohlo b\u00fdt dobr\u00fdm z\u00e1kladem pochopen\u00ed fungov\u00e1n\u00ed \u010dasov\u00e9 struktury (term-structure) jednotliv\u00fdch VX futures a obecn\u00e9mu chov\u00e1n\u00ed t\u011bchto kontrakt\u016f v\u016fbec.<\/span><\/p>\n

\u00a0\u00a0 Pokud bych se zab\u00fdval teori\u00ed v\u00fdpo\u010dtu hodnoty kuku\u0159i\u010dn\u00e9ho futures, tak bych zjistil, \u017ee jeho cena je tvo\u0159ena hodnotou spotov\u00e9 ceny, kter\u00e1 je \u201eobohacena\u201c o tzv. \u201ecost of carry\u201c, tedy n\u00e1klady spojen\u00e9 s\u00a0jeho fyzick\u00fdm dr\u017een\u00edm. Mus\u00edm vyhodnotit, \u017ee kdybych ji po sklizni prodal hned a ne a\u017e za \u010dty\u0159i m\u011bs\u00edce, mohl jsem se t\u011b\u0161it z\u00a0hotov\u00fdch pen\u011bz a zejm\u00e9na z\u00a0jejich ceny \u2013 \u00farok\u016f spojen\u00fdch z\u00a0jejich dr\u017een\u00edm. Kuku\u0159ici tak\u00e9 po jej\u00ed sklizni mus\u00edm nap\u0159\u00edklad p\u0159ev\u00e1\u017eet do skladu a tam n\u00e1sledn\u011b skladovat, pojistit, o\u0161et\u0159ovat (aby ji nap\u0159\u00edklad neznehodnotily my\u0161i nebo hmyz) a prov\u00e1d\u011bt dal\u0161\u00ed \u00fakony, kter\u00e9 stoj\u00ed ur\u010dit\u00e9 n\u00e1klady a kter\u00e9 bych m\u011bl do jej\u00ed pozd\u011bj\u0161\u00ed ceny zapracovat, jednodu\u0161e p\u0159ipo\u010d\u00edtat k\u00a0cen\u011b samotn\u00e9 kuku\u0159ice \u2013 spotov\u00e9 cen\u011b. VX futures kontrakty jsou odvozeniny VIX Indexu – spotov\u00e9 ceny o\u010dek\u00e1van\u00e9 t\u0159icetidenn\u00ed volatility. V\u00a0\u010dl\u00e1nku o obchodovatelnosti VIX Indexu<\/strong><\/a><\/span>\u00a0jsem uvedl, \u017ee VIX Index je pouh\u00e9 vypo\u010d\u00edtan\u00e9 \u010d\u00edslo<\/strong> a p\u0159edstavuje jak\u00e9si o\u010dek\u00e1v\u00e1n\u00ed. Toto o\u010dek\u00e1v\u00e1n\u00ed generuj\u00ed pomoc\u00ed sofistikovan\u00e9ho software burzovn\u00ed servery na z\u00e1klad\u011b matematick\u00fdch model\u016f a nen\u00ed \u017e\u00e1dn\u00fd probl\u00e9m si takov\u00e9 o\u010dek\u00e1v\u00e1n\u00ed namodelovat ve sv\u00e9m po\u010d\u00edta\u010di<\/span><\/strong><\/a>. Spotov\u00e1 cena VIX Indexu tak nele\u017e\u00ed n\u011bkde ve skladu nebo se nepovaluje v\u00a0chl\u00edvku, ale je to pouh\u00e9 vygenerovan\u00e9 \u010d\u00edslo, proto metoda v\u00fdpo\u010dtu ceny odvozen\u00e9ho futures kontraktu bude m\u00edt jinou filozofii.<\/span><\/p>\n

\u00a0 Vzorec v\u00fdpo\u010dtu ceny VX futures kontraktu vypad\u00e1 n\u00e1sledovn\u011b.<\/span><\/p>\n

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\u00a0\u00a0 Nevypad\u00e1 to p\u0159\u00edli\u0161 slo\u017eit\u011b, nicm\u00e9n\u011b dopo\u010d\u00edtat se podle n\u011bj n\u011bjak\u00e9 hodnoty nen\u00ed zase a\u017e tak jednoduch\u00e9. Vzorec je tvo\u0159en odmocninou n\u00e1sobku n\u011bjak\u00e9ho konstantn\u00edho \u010d\u00edsla (365\/30) a rozd\u00edlu hodnoty dvou prom\u011bnn\u00fdch – hodnoty Pt<\/sub><\/strong> , od kter\u00e9 je ode\u010d\u00edt\u00e1na jak\u00e1si hodnota\u00a0<\/span>vart<\/sub>(FT<\/sub>)<\/strong>, v\u00fdpo\u010dtem t\u011bchto prom\u011bnn\u00fdch se budu zab\u00fdvat. Nebudu zbyte\u010dn\u011b teoretizovat a pokus\u00edm se na praktick\u00e9m p\u0159\u00edkladu uk\u00e1zat, jak bych se mohl pomoc\u00ed takov\u00e9ho vzorce dobrat k\u00a0n\u011bjak\u00e9 konkr\u00e9tn\u00ed hodnot\u011b VX futures.<\/span><\/p>\n

\u00a0 Je 25.11.2017<\/strong> a j\u00e1 chci pomoc\u00ed v\u00fd\u0161e uveden\u00e9ho vzorce vypo\u010d\u00edtat hodnotu VXH8 futures<\/strong>, tedy VX futures kontraktu, kter\u00fd expiruje 21.3.2018<\/strong>. V\u00fdpo\u010det rozd\u011bl\u00edm na hled\u00e1n\u00ed hodnot dvou nezn\u00e1m\u00fdch\u00a0Pt<\/sub><\/strong>\u00a0 a\u00a0vart<\/sub>(FT<\/sub>).<\/strong><\/span><\/p>\n

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Pt<\/sub><\/strong><\/span><\/h1>\n

\u00a0 Proto\u017ee hodnota futures kontraktu vyjad\u0159uje, jakou by mohla m\u00edt o\u010dek\u00e1vanou t\u0159icetidenn\u00ed volatilitu \u010d\u00e1st trhu m\u011b\u0159ena akciov\u00fdm indexem S&P 500 v\u00a0obdob\u00ed po expiraci tohoto futures kontraktu, tak t\u00edmto obdob\u00edm bude \u010dasov\u00fd \u00fasek od 21.3.2018 \u2013 21.4.2018<\/strong>. Proto\u017ee hodnota spotov\u00e9 ceny VIX Indexu je odvozena od dvou s\u00e9ri\u00ed op\u010dn\u00edch kontrakt\u016f na podklad SPX, a to t\u011bch, kter\u00e9 jsou \u201emimo pen\u00edze\u201c, tak pro v\u00fdpo\u010det hodnoty VXH8 futures je tak\u00e9 vych\u00e1zeno z\u00a0odpov\u00eddaj\u00edc\u00edch s\u00e9ri\u00ed OTM op\u010dn\u00edch kontrakt\u016f na SPX. V\u00fdpo\u010det, kter\u00fd bude proveden na odpov\u00eddaj\u00edc\u00ed s\u00e9ri\u00edch op\u010dn\u00edch kontrakt\u016f podkladu SPX je t\u00e9m\u011b\u0159 identick\u00fd, jako je u stanoven\u00ed hodnoty VIX Indexu a bude ve v\u00fdsledku tvo\u0159it hodnotu v\u00fdrazu \u201ePt<\/sub><\/strong> \u201c z\u00a0v\u00fd\u0161e uveden\u00e9ho vzorce. Hodnota \u201ePt<\/sub>\u201c je pak popisov\u00e1na jako hodnota op\u010dn\u00edho portfolia opc\u00ed \u201emimo pen\u00edze\u201c vstupuj\u00edc\u00edho do v\u00fdpo\u010dtu.\u00a0<\/span><\/p>\n

\u00a0\u00a0 Proto\u017ee hledan\u00e1 hodnota VXH8 futures zobrazuje o\u010dek\u00e1v\u00e1n\u00ed hodnoty volatility v\u00a0\u010dasov\u00e9m intervalu 21.3.2018 \u2013 21.4.2018, k\u00a0v\u00fdpo\u010dtu v\u00fdrazu \u201ePt<\/sub>\u201c pou\u017eiji s\u00e9rie op\u010dn\u00edch kontrakt\u016f \u201emimo pen\u00edze\u201c nach\u00e1zej\u00edc\u00edch se nejbl\u00ed\u017ee k\u00a0hrani\u010dn\u00edm bod\u016fm tohoto intervalu<\/strong>. V\u00a0m\u00e9m konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b budu vych\u00e1zet z\u00a0hodnoty opc\u00ed \u201emimo pen\u00edze\u201c u opc\u00ed expiruj\u00edc\u00edch 16.3.2018 a opc\u00ed expiruj\u00edc\u00edch 30.4.2018. Jin\u00e9 vhodn\u011bj\u0161\u00ed op\u010dn\u00ed \u0159et\u011bzce nem\u00e1m nyn\u00ed k\u00a0dispozici. Jestli\u017ee VXH8 futures expiruje za 116 dn\u016f, tak opce s\u00a0bli\u017e\u0161\u00ed expirac\u00ed expiruj\u00ed za 111 dn\u016f a opce se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed expiruj\u00ed za 156 dn\u016f. Rozd\u00edl mezi t\u011bmito op\u010dn\u00edmi expiracemi je 45 dn\u016f. Stejn\u011b jako u v\u00fdpo\u010dtu hodnoty VIX Indexu, bude nutn\u00e9 uveden\u00e9 \u010dasy op\u010dn\u00edch kontrakt\u016f p\u0159ev\u00e9st na anualizovan\u00fd tvar, budu tedy celkov\u00e9 \u010dasy obou expirac\u00ed d\u011blit hodnotou 365 (po\u010det dn\u016f v\u00a0roce). Celkov\u00fd p\u0159ehled \u010das\u016f a jej\u00ed anualizaci pak mohu vid\u011bt n\u00ed\u017ee na obr\u00e1zku<\/span><\/p>\n

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\u00a0\u00a0 Hodnotu Pt<\/sub> z\u00a0v\u00fd\u0161e uveden\u00e9ho vzorce vypo\u010d\u00edt\u00e1m jako rozd\u00edl mezi cenami jednotliv\u00fdch op\u010dn\u00edch portfoli\u00ed<\/strong>, kter\u00e9 jsem si vybral do m\u00e9ho v\u00fdpo\u010dtu, ofici\u00e1ln\u011bji je pak tato transakce ozna\u010dov\u00e1na jako Pfar <\/sub>– Pnear<\/sub><\/strong>. Cenu jednotliv\u00e9ho portfolia<\/strong> vstupuj\u00edc\u00edho do v\u00fdpo\u010dtu pak ur\u010d\u00edm stejn\u011b, jako jsem v\u00a0\u010dl\u00e1nku o v\u00fdpo\u010dtu VIX Indexu vypo\u010d\u00edt\u00e1val sou\u010det jednotliv\u00fdch p\u0159\u00edsp\u011bvk\u016f cen<\/strong> na jednotliv\u00fdch strike vstupuj\u00edc\u00edch do hodnoty d\u00edl\u010d\u00edho v\u00fdpo\u010dtu VIX Indexu (tedy kroky sm\u011b\u0159uj\u00edc\u00ed k v\u00fdpo\u010dtu VIN a VIF). Nebudu ji\u017e nyn\u00ed podrobn\u011b rozepisovat, jak jednotliv\u00e9 hodnoty vypo\u010d\u00edtat, jak stanovit, kter\u00e9 opce jsou ty, kter\u00fdm \u0159\u00edk\u00e1me \u201emimo pen\u00edze\u201c, jak vypo\u010d\u00edt\u00e1me rozd\u00edly mezi jednotliv\u00fdmi strike a jak spo\u010d\u00edt\u00e1me p\u0159\u00edsp\u011bvek ka\u017ed\u00e9ho strike do celkov\u00e9ho sou\u010dtu v\u0161ech p\u0159\u00edsp\u011bvk\u016f. Toto jsem popisoval v\u00a0\u010dl\u00e1nku o VIX Indexu<\/span><\/a><\/strong>. D\u016fle\u017eit\u00e1 je schopnost vn\u00edmat, \u017ee k\u00a0v\u00fdpo\u010dtu celkov\u00e9ho Pt<\/sub> pot\u0159ebujeme pro ka\u017edou s\u00e9rii zn\u00e1t d\u00edl\u010d\u00ed sou\u010det v\u0161ech p\u0159\u00edsp\u011bvk\u016f pro ka\u017edou pozorovanou z obou op\u010dn\u00edch s\u00e9rii. \u201eOpr\u00e1\u0161\u00edm\u201c nyn\u00ed vzorec pro v\u00fdpo\u010det celkov\u00e9ho sou\u010dtu jednotliv\u00fdch p\u0159\u00edsp\u011bvk\u016f jednotliv\u00fdch strike do hodnoty VIX Indexu pro jeho dal\u0161\u00ed koment\u00e1\u0159.<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0t\u00e9to f\u00e1zi v\u00fdpo\u010dtu podle tohoto vzorce toti\u017e op\u011bt le\u017e\u00ed celkov\u00e1 logika pohybu a tvorby ceny VX futures. Proto\u017ee je cena d\u00edl\u010d\u00edch Pfar <\/sub>– Pnear<\/sub> (a samoz\u0159ejm\u011b tak\u00e9 celkov\u00e9ho Pt<\/sub>) p\u0159\u00edmo \u00fam\u011brn\u00e1 zejm\u00e9na cen\u011b op\u010dn\u00edho kontraktu (Q)<\/strong>, tak cenov\u00fd pohyb t\u011bchto op\u010dn\u00edch kontrakt\u016f bude zcela z\u00e1sadn\u011b do po\u010d\u00edtan\u00e9 hodnoty futures vstupovat. Ze vzorce sou\u010dtu v\u00fd\u0161e toto jednozna\u010dn\u011b vypl\u00fdv\u00e1. Jak si toto op\u011bt vysv\u011btlit prakticky? J\u00e1 ji\u017e m\u00e1m cenu VXH8 samoz\u0159ejm\u011b vypo\u010d\u00edtanou, pou\u017eil jsem k\u00a0n\u00ed v\u00fd\u0161e uveden\u00e9 op\u010dn\u00ed \u0159et\u011bzce, kter\u00e9 jsem si st\u00e1hl z\u00a0platformy thinkorswim do sv\u00e9ho Excelu (popisoval jsem v \u010dl\u00e1nku VIX Index). Hodnota VXH8 je nyn\u00ed na hodnot\u011b 14.50 a vych\u00e1z\u00ed z\u00a0t\u011bchto op\u010dn\u00edch cen. Mohu si pak dopady zm\u011bny cen na hodnotu po\u010d\u00edtan\u00e9ho VXH8 futures r\u016fzn\u011b modelovat. Nap\u0159\u00edklad, pokud si zv\u00fd\u0161\u00edm ceny op\u010dn\u00edch kontrakt\u016f \u201emimo pen\u00edze\u201c vstupuj\u00edc\u00edch do v\u00fdpo\u010dtu o pouh\u00fdch 20%, a to pouze t\u011bch, jejich\u017e strike jsou vzd\u00e1leny od sou\u010dasn\u00e9 ceny 2600, tedy \u201emimo pen\u00edze\u201c o v\u00edce ne\u017e 10% (d\u00e1le ne\u017e 260 bod\u016f od sou\u010dasn\u00e9 ceny), co\u017e je t\u00e9m\u011b\u0159 nepozorovateln\u00e9 zji\u0161t\u011bn\u00ed u takto vzd\u00e1len\u00fdch opc\u00ed, nato\u017e se strike \u201emimo pen\u00edze\u201c, tak hodnota VXH8 naroste (pokud v\u0161echny ostatn\u00ed hodnoty z\u016fstanou stejn\u00e9) na hodnotu 16.46. Op\u011bt tak mohu konstatovat, \u017ee nepatrn\u00e9 a nepozorovateln\u00e9 zv\u00fd\u0161en\u00ed cen op\u010dn\u00edch kontrakt\u016f le\u017e\u00edc\u00edch na velmi vzd\u00e1len\u00fdch strike zp\u016fsobuje velmi dramatick\u00e9 pohyby hodnoty sledovan\u00e9ho VX futures.<\/span><\/p>\n

\u00a0\u00a0 Ve smyslu logiky v\u00fdpo\u010dtu VIX Indexu do celkov\u00e9ho v\u00fdpo\u010dtu zapo\u010d\u00edt\u00e1m tak\u00e9 \u00faroky<\/strong> (pomoc\u00ed zn\u00e1m\u00e9 exponenci\u00e1ln\u00ed funkce z minul\u00fdch \u010dl\u00e1nk\u016f) a vypo\u010d\u00edtan\u00e9 hodnoty anualizovan\u00e9ho \u010dasu<\/strong>, hodnotu ide\u00e1ln\u00edho Forward strike<\/strong> a strike K0<\/sub><\/strong>\u00a0pro ob\u011b op\u010dn\u00ed s\u00e9rie, abych se pokusil finalizovat cel\u00fd v\u00fdpo\u010det.<\/span><\/p>\n

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\u00a0\u00a0 Na obr\u00e1zku jsou vid\u011bt vypo\u010d\u00edtan\u00e9 hodnoty pro v\u00fdpo\u010det \u010d\u00e1sti vzorce, kter\u00e9 jsem v\u00a0\u010dl\u00e1nku VIX Index<\/span><\/strong><\/a> nazval jako Chuchvalec 1<\/strong> a na n\u00e1sleduj\u00edc\u00edm obr\u00e1zku jsou pak vid\u011bt v\u00fdpo\u010dty, kter\u00e9 byly tamt\u00e9\u017e ozna\u010deny jako stanoven\u00ed hodnoty Chuchvalce 2<\/strong>.<\/span><\/p>\n

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vart<\/sub>(FT<\/sub>)<\/strong><\/span><\/h1>\n

\u00a0 Prvn\u00ed \u010d\u00e1st vzorce \u2013 hled\u00e1n\u00ed hodnoty Pt<\/sub><\/strong> op\u010dn\u00edho portfolia z\u00a0cen op\u010dn\u00edch \u0159et\u011bzc\u016f v\u00a0obdob\u00ed t\u0159icet dn\u016f po expiraci po\u010d\u00edtan\u00e9ho VX futures bych mohl pova\u017eovat za objasn\u011bnou a zji\u0161t\u011bnou. Hodnota druh\u00e9 prom\u011bnn\u00e9 vart<\/sub>(FT<\/sub>)<\/strong> vstupuj\u00edc\u00ed do v\u00fdpo\u010dtu ceny VX futures je \u010d\u00edslem, kter\u00e9 se sna\u017e\u00ed zachytit mo\u017en\u00fd\u00a0rozptyl hodnot <\/strong>po\u010d\u00edtan\u00e9ho futures od dne\u0161n\u00edho dne<\/strong>, kdy se pokou\u0161\u00edm stanovit jeho hodnotu do dne jeho expirace<\/strong>. Toto \u010d\u00edslo redukuje zji\u0161t\u011bnou hodnotu op\u010dn\u00edho portfolia Pt<\/sub><\/strong> pr\u00e1v\u011b o mo\u017en\u00e9 pohyby do jeho expirace VX futures a jeho smyslem je vylou\u010dit ze vzorce volatilitu za toto obdob\u00ed, kter\u00e9 je v\u00a0m\u00e9m p\u0159\u00edpad\u011b necel\u00e9 \u010dty\u0159i m\u011bs\u00edce. Tv\u016frci konstrukce v\u00fdpo\u010dtu hodnoty VX futures se s vysv\u011btlen\u00edm v\u00fdpo\u010dtu t\u00e9to hodnoty neobt\u011b\u017eovali pod\u011blit s\u00a0ve\u0159ejnost\u00ed a rovnou sd\u011bluj\u00ed, \u017ee tento v\u00fdpo\u010det je chr\u00e1n\u011bn patentem CBOE. Toto v\u00fdznamn\u011b zt\u011b\u017euje nal\u00e9zt jeho spr\u00e1vnou hodnotu a takov\u00fd v\u00fdpo\u010det si s\u00e1m sestavit.<\/span><\/p>\n

\u00a0\u00a0 Pokud se pod\u00edv\u00e1m, co vlastn\u011b zji\u0161\u0165uji, tak je to rozptyl hodnot, kter\u00fd m\u016f\u017ee nastat v\u00a0budoucnosti pro m\u00e9 po\u010d\u00edtan\u00e9 futures, tak\u017ee je to hodnota<\/strong>, kterou nemohu<\/strong> nyn\u00ed v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b exaktn\u011b zn\u00e1t<\/strong>. Pro jej\u00ed zji\u0161t\u011bn\u00ed ale mohu vyu\u017e\u00edt historick\u00e9 pohyby VX futures a mohu tak nal\u00e9zt tuto hodnotu empiricky zkoum\u00e1n\u00edm minul\u00fdch pohyb\u016f VX futures za mnou sledovan\u00e9 obdob\u00ed 116 dn\u016f do expirace VX futures a z\u00a0t\u011bchto hodnot extrapolovat tuto hodnotu. V\u00a0m\u00e9m p\u0159\u00edpad\u011b jsem to takto tak\u00e9 provedl a takto stanovenou hodnotu z\u00a0anal\u00fdzy historick\u00fdch dat jsem do vzorce zakomponoval. Hled\u00e1n\u00edm spr\u00e1vn\u00e9 hodnoty t\u00e9to prom\u011bnn\u00e9 se zab\u00fdv\u00e1 mnoho v\u011bdeck\u00fdch prac\u00ed, proto\u017ee tato prom\u011bnn\u00e1 m\u00e1 na po\u010d\u00edtanou hodnotu ceny VX futures velmi velk\u00fd vliv, je p\u0159edm\u011btem modelov\u00e1n\u00ed a hled\u00e1n\u00ed uji\u0161t\u011bn\u00ed, jestli je zobrazovan\u00e1 hodnota VX futures vlastn\u011b spr\u00e1vn\u00e1 a jestli jej\u00ed f\u00e9rov\u00e1 cena nakonec nele\u017e\u00ed n\u011bkde jinde. Za n\u011bkolik takov\u00fdch prac\u00ed sna\u017e\u00edc\u00edch se takovou hodnotu zjistit mohu nap\u0159\u00edklad uv\u00e9st jednu z\u00a0nich<\/a><\/span><\/strong>…..no, zlat\u00fd Excel s\u00a0historick\u00fdmi daty. \u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0 Pokud m\u00e1m stanovenu hodnotu i druh\u00e9 \u010d\u00e1sti vzorce, zb\u00fdv\u00e1 nyn\u00ed pouze vzorec v\u00fdpo\u010dtu ceny VX futures kontraktu dokon\u010dit, co\u017e sebou p\u0159in\u00e1\u0161\u00ed jist\u00e9 \u00fapravy, v\u0161echny jsou vyobrazeny v\u00a0n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

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\u00a0 \u00a0(1) V\u00fdpo\u010det hodnoty Pt<\/sub><\/strong> kter\u00e9 je rozd\u00edlem ceny op\u010dn\u00edch portfoli\u00ed, vzd\u00e1len\u011bj\u0161\u00edho a bli\u017e\u0161\u00edho<\/span><\/p>\n

\u00a0 \u00a0(2) Proto\u017ee rozd\u00edl mezi expiracemi je 45 dn\u016f, mus\u00edme vypo\u010dtenou hodnotu p\u0159ev\u00e9st na t\u0159icetidenn\u00ed b\u00e1zi<\/strong>, toto p\u0159edstavuje koeficient 30\/45 (0.666\u2026)<\/span><\/p>\n

\u00a0 \u00a0(3) Vyn\u00e1soben\u00ed Pt\u00a0<\/sub>hodnotou z\u00a0\u0159\u00e1dku (2), v\u00fdsledn\u00e9 VX futures toti\u017e p\u0159edstavuje t\u0159icetidenn\u00ed o\u010dek\u00e1v\u00e1n\u00ed<\/strong><\/span><\/p>\n

\u00a0 \u00a0(4) Koeficient upravuj\u00edc\u00ed obdob\u00ed roku na jednotn\u00e9 30-ti denn\u00ed obdob\u00ed<\/span><\/p>\n

\u00a0 \u00a0(5) Hodnota p\u0159edstavuj\u00edc\u00ed rozptyl cen futures od dne\u0161n\u00edho dne do jeho expirace (vart<\/sub>(FT<\/sub>)<\/strong><\/span><\/p>\n

\u00a0 Dosazen\u00edm v\u00fd\u0161e uveden\u00fdch hodnot do vzorce v\u00fdpo\u010dtu VXH8 futures<\/strong> m\u00e1m mo\u017enost zjistit, \u017ee jeho cena je 14,47<\/strong>. Mohl bych tuto cenu porovnal s\u00a0cenou, kter\u00e1 se objevuje jako aktu\u00e1ln\u00ed na str\u00e1nk\u00e1ch CBOE.<\/span><\/p>\n

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\u00a0\u00a0 Je patrn\u00e9, \u017ee cena 14.515<\/strong> je velmi podobn\u00e1 vypo\u010dten\u00e9 cen\u011b 14.472<\/strong>. N\u00e1maha, kterou jsem ale jej\u00edmu zji\u0161t\u011bn\u00ed v\u011bnoval je zcela neadekv\u00e1tn\u00ed kliknut\u00ed do obchodn\u00ed platformy nebo proveden\u00ed bleskov\u00e9ho n\u00e1hledu na web CBOE, kde se mohu okam\u017eit\u011b p\u0159esv\u011bd\u010dit o aktu\u00e1ln\u00ed hodnot\u011b. Nem\u011blo by tud\u00ed\u017e b\u00fdt mou ambic\u00ed, si takto pracn\u011b hodnoty po\u010d\u00edtat, kdy\u017e toto n\u011bkdo po\u010d\u00edt\u00e1 za m\u011b.<\/span><\/p>\n

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Interpretace v\u00fdpo\u010dtu VX Futures<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Nen\u00ed v\u016fbec nutn\u00e9 pochopit p\u0159esn\u00fd matematick\u00fd v\u00fdpo\u010det hodnoty VX futures kontraktu, je ale dobr\u00e9 v\u011bd\u011bt, co tato hodnota vlastn\u011b znamen\u00e1 a co m\u00e1 na ni nejv\u011bt\u0161\u00ed vliv. Ob\u011b v\u011bci spolu toti\u017e velmi \u00fazce souvis\u00ed. V\u00a0p\u0159\u00edpad\u011b, \u017ee jsem pochopil, \u017ee cena VX futures odr\u00e1\u017e\u00ed o\u010dek\u00e1v\u00e1n\u00ed<\/strong>, jak\u00e1 bude volatilita na trz\u00edch m\u011b\u0159en\u00fdch akciov\u00fdm indexem S&P 500 ve t\u0159icetidenn\u00edm obdob\u00ed n\u00e1sleduj\u00edc\u00edm po expiraci konkr\u00e9tn\u00edho VX futures<\/strong>, tak se tak\u00e9 m\u016f\u017ee st\u00e1t, \u017ee cena bude vy\u0161\u0161\u00ed<\/strong> ne\u017e sou\u010dasn\u00e1 spotov\u00e1 cena VIX Indexu<\/strong> (od kter\u00e9ho je VX futures odvozeno) a tak\u00e9 ale m\u016f\u017ee b\u00fdt ni\u017e\u0161\u00ed<\/strong> ne\u017e sou\u010dasn\u00e1 spotov\u00e1 cena VIX Indexu<\/strong>. Proto\u017ee v\u00edm, co vstupuje do v\u00fdpo\u010dtu hodnoty VX futures \u2013 op\u010dn\u00ed kontrakty se strike \u201emimo pen\u00edze\u201c zachycuj\u00edc\u00ed toto n\u00e1sledn\u00e9 t\u0159icetidenn\u00ed obdob\u00ed, tak si mohu jednodu\u0161e vysv\u011btlit, co bude na trhu t\u011bchto VX futures norm\u00e1ln\u00ed a co nikoliv. V\u00a0obdob\u00ed norm\u00e1ln\u00edho stavu<\/strong> na trz\u00edch jsou op\u010dn\u00ed kontrakty na stejn\u00fdch strike ve vzd\u00e1len\u011bj\u0161\u00edch obdob\u00edch v\u017edy dra\u017e\u0161\u00ed ne\u017e ceny op\u010dn\u00edch kontrakt\u016f na stejn\u00fdch strike s\u00a0expirac\u00ed v\u00a0bli\u017e\u0161\u00edch obdob\u00edch. Je to pochopiteln\u00e9, plat\u00edm za opci v\u017edy v\u011bt\u0161\u00ed pr\u00e9mium, kter\u00e9 p\u0159edstavuje zejm\u00e9na hodnotu \u010dasu vt\u011blen\u00e9ho do ceny opce. \u010c\u00edm del\u0161\u00ed obdob\u00ed, t\u00edm vy\u0161\u0161\u00ed cena, pokud jsou v\u0161echny cenotvorn\u00e9 prvky stejn\u00e9, to m\u00e1 logiku. M\u016f\u017eeme tak vid\u011bt, \u017ee jednotliv\u00e1 VX futures jsou t\u00edm dra\u017e\u0161\u00ed<\/strong>, \u010d\u00edm jsou se vzd\u00e1len\u011bj\u0161\u00ed expirac\u00ed<\/strong>, jednodu\u0161e to odr\u00e1\u017e\u00ed cenovou strukturu op\u010dn\u00edch kontrakt\u016f, kter\u00e9 tvo\u0159\u00ed jejich v\u00fdpo\u010dty. Tato \u010dasov\u00e1 striktura<\/strong> (contango) je pozorovateln\u00e1 v\u00a0nejv\u011bt\u0161\u00ed \u010d\u00e1sti \u010dasu<\/strong>.<\/span><\/p>\n

\u00a0 Pokud ov\u0161em na trz\u00edch zavl\u00e1dne nejistota<\/strong>, bude to nepochybn\u011b znamenat vy\u0161\u0161\u00ed popt\u00e1vku po SPX opc\u00edch, kter\u00e9 slou\u017e\u00ed jako zaji\u0161t\u011bn\u00ed zejm\u00e9na pro akciov\u00e1 portfolia. Tlakem popt\u00e1vky, zejm\u00e9na po Long Put opc\u00edch, a to t\u011bch na strikes \u201emimo pen\u00edze\u201c, za\u010dnou vznikat cenov\u00e9 disproporce v\u00a0jednotliv\u00fdch op\u010dn\u00edch \u0159et\u011bzc\u00edch. Nejv\u011bt\u0161\u00ed n\u00e1por pak bude na nejbli\u017e\u0161\u00ed, a tedy moment\u00e1ln\u011b nejlevn\u011bj\u0161\u00ed Long Put op\u010dn\u00ed kontrakty nam\u00edsto opc\u00ed se vzd\u00e1len\u011bj\u0161\u00edch expirac\u00edch. Nejbli\u017e\u0161\u00ed opce prudce zdra\u017euj\u00ed, vzd\u00e1len\u011bj\u0161\u00ed opce v\u0161ak takov\u00e9 tempo nedr\u017e\u00ed. Jsou jednak pro zaji\u0161t\u011bn\u00ed drah\u00e9<\/strong> a tak\u00e9 na n\u011b p\u016fsob\u00ed obecn\u00e9 p\u0159esv\u011bd\u010den\u00ed, \u017ee korekce nebude dlouhodob\u00e1<\/strong> a trhy se po turbulenc\u00edch vr\u00e1t\u00ed k\u00a0norm\u00e1lu<\/strong>. Pokud jsem ukazoval vliv nepatrn\u00e9ho zdra\u017een\u00ed op\u010dn\u00edch kontrakt\u016f na strikes zna\u010dn\u011b \u201emimo pen\u00edze\u201c na p\u0159\u00edkladu v\u00fd\u0161e uveden\u00e9ho v\u00fdpo\u010dtu, tak to bude znamenat, \u017ee nejbli\u017e\u0161\u00ed VX futures skokov\u011b posiluj\u00ed na \u00fakor vzd\u00e1len\u011bj\u0161\u00edch<\/strong> a \u010dasov\u00e1 struktura na trz\u00edch VX futures se naru\u0161\u00ed. VIX Index siln\u011b posiluje a s n\u00edm n\u00e1vazn\u011b posiluji nejbli\u017e\u0161\u00ed VX futures, nejv\u00edce prvn\u00ed v\u00a0po\u0159ad\u00ed n\u00e1sledov\u00e1n dal\u0161\u00edmi v\u00a0po\u0159ad\u00ed. \u010casov\u00e1 struktura se zm\u011bn\u00ed, kdy\u017e vzd\u00e1len\u011bj\u0161\u00ed kontrakty<\/strong> jsou levn\u011bj\u0161\u00ed ne\u017e bli\u017e\u0161\u00ed kontrakty<\/strong>, tyto vzd\u00e1len\u011bj\u0161\u00ed pak se svou cenou za bli\u017e\u0161\u00edmi zaost\u00e1vaj\u00ed (angl. \u201ebackward\u201c), proto se takov\u00e9mu stavu na trz\u00edch futures \u0159\u00edk\u00e1 backwardation.<\/span><\/p>\n

\n

Settlement<\/strong><\/span><\/h1>\n

\u00a0\u00a0 Hodnota bodu<\/strong> VX futures kontraktu je 1.000 USD<\/strong>, pohyb Long VX z\u00a0hodnoty 12.10 na hodnotu 13.10 znamen\u00e1 pos\u00edlen\u00ed pr\u00e1v\u011b o tis\u00edc dolar\u016f. Nen\u00ed probl\u00e9m takov\u00fd VX futures koupit nebo jej prodat, trhy VX maj\u00ed velmi dobrou likviditu, zejm\u00e9na na nejbli\u017e\u0161\u00edch kontraktech, tak\u00e9 je zde p\u0159ijateln\u00fd Ask\/Bid Spread.<\/span><\/p>\n

\u00a0 Ka\u017ed\u00fd futures kontrakt m\u00e1 sv\u016fj expira\u010dn\u00ed den<\/strong>, kdy doch\u00e1z\u00ed k\u00a0jeho z\u00e1niku<\/strong> a vypo\u0159\u00e1d\u00e1n\u00ed<\/strong>. Weeklys VX futures kontrakty v\u00a0drtiv\u00e9 v\u011bt\u0161in\u011b p\u0159\u00edpad\u016f expiruj\u00ed ka\u017edou\u00a0st\u0159edu<\/strong>, v\u0161echny\u00a0m\u011bs\u00ed\u010dn\u00ed kontrakty<\/strong> expiruj\u00ed nej\u010dast\u011bji v t\u0159et\u00ed st\u0159edu v\u00a0m\u011bs\u00edci<\/strong>. VX futures kontrakt m\u016f\u017eete dr\u017eet a\u017e do jeho expirace a m\u016f\u017eete tak vy\u010dkat na jeho vypo\u0159\u00e1d\u00e1n\u00ed<\/strong>, kter\u00e9 je v\u00a0pen\u011bz\u00edch<\/strong>. Jak to prob\u00edh\u00e1 konkr\u00e9tn\u011b.<\/span><\/p>\n

\u00a0\u00a0 Konec obchodov\u00e1n\u00ed s\u00a0VX futures kontrakty je v\u00a0expira\u010dn\u00ed st\u0159edu v\u00a08:00 Chicagsk\u00e9ho \u010dasu, v\u00a0\u010desk\u00e9m prost\u0159ed\u00ed to znamen\u00e1 do 15:00 hodin, tedy jistou kr\u00e1tkou chv\u00edli\u00a0p\u0159ed Open trh\u016f<\/strong>. Posledn\u00ed chv\u00edle, kdy m\u00e1te mo\u017enost kontrakt prodat nebo koupit je nejpozd\u011bji do 7:59:59 (14:59:59 u n\u00e1s), tedy nejpozd\u011bji jednu vte\u0159inu p\u0159ed t\u00edmto koncem obchodov\u00e1n\u00ed. Nemus\u00edm podot\u00fdkat, \u017ee se t\u011bsn\u011b p\u0159ed t\u00edmto zastaven\u00edm obchodov\u00e1n\u00ed rozev\u00edraj\u00ed Ask\/Bid spready, tak\u017ee je v\u011bt\u0161inou lep\u0161\u00ed po\u010dkat na samotn\u00e9 vypo\u0159\u00e1d\u00e1n\u00ed dr\u017een\u00e9ho VX futures.<\/span><\/p>\n

\u00a0 Dr\u017een\u00edm VX futures kontraktu do expirace a do konce mo\u017en\u00e9ho obchodov\u00e1n\u00ed m\u00e1 za d\u016fsledek, \u017ee dojde k\u00a0jeho vypo\u0159\u00e1d\u00e1n\u00ed. Aby bylo mo\u017en\u00e9 VX futures kontrakt vypo\u0159\u00e1dat, mus\u00ed b\u00fdt stanovena jeho vypo\u0159\u00e1dac\u00ed hodnota<\/strong>\u00a0(Settlement Value). K\u00a0ur\u010den\u00ed t\u00e9to vypo\u0159\u00e1dac\u00ed hodnoty se vyu\u017e\u00edv\u00e1 tzv. SOQ procedura<\/strong> (Special Opening Quotation). Podstatou t\u00e9to procedury je zachytit zobchodovan\u00e9 otev\u00edrac\u00ed ceny op\u010dn\u00edch kontrakt\u016f SPX \u201emimo pen\u00edze\u201c, kter\u00e9 maj\u00ed expiraci za 30 dn\u016f<\/strong> ode dne, kdy je prov\u00e1d\u011bno vypo\u0159\u00e1d\u00e1n\u00ed p\u0159\u00edslu\u0161n\u00e9 VX futures<\/strong>. Pokud se n\u011bkter\u00e1 z\u00a0op\u010dn\u00edch cen SPX po Open nezobchoduje, je do SOQ zapo\u010d\u00edt\u00e1n rozd\u00edl mezi Ask\/Bid ceny na nezobchodovan\u00e9m strike. Tento proces zji\u0161\u0165ov\u00e1n\u00ed vypo\u0159\u00e1dac\u00ed hodnoty je obdobn\u00fd v\u00fdpo\u010dtu VIX Indexu a jeho v\u00fdsledkem je settlement value, kter\u00e1 je ozna\u010dov\u00e1na tickerem VRO<\/strong>. Pokud bych se cht\u011bl detailn\u011b pono\u0159it do takov\u00e9ho v\u00fdpo\u010dtu, mohu si zjistit, kter\u00e1 op\u010dn\u00ed s\u00e9rie s\u00a0t\u0159icetidenn\u00ed expirac\u00ed slou\u017eila k\u00a0v\u00fdpo\u010dtu podle SOQ, mohu tyto s\u00e9rie dosa\u017een\u00e9 ceny i celkov\u00fdmi dal\u0161\u00edmi kalkulacemi pozorovat zde<\/span><\/strong><\/a>. Co z\u00a0metody v\u00fdpo\u010dtu vypo\u0159\u00e1dac\u00ed hodnoty vypl\u00fdv\u00e1? Mnou dr\u017een\u00fd VX kontrakt v\u00a0expira\u010dn\u00ed st\u0159edu dr\u017e\u00edm a\u017e do konce obchodov\u00e1n\u00ed a chci jej nechat vypo\u0159\u00e1dat. V\u00a0platform\u011b pozoruji, \u017ee p\u0159ed Open trh\u016f ve st\u0159edu je ji\u017e obchodov\u00e1n\u00ed zastaveno a cena se samoz\u0159ejm\u011b nem\u011bn\u00ed. \u010cek\u00e1m tedy na Open trh\u016f a zejm\u00e9na \u010dek\u00e1m, jak\u00fd bude v\u00fdsledek SOQ, kter\u00fd bude vt\u011blen do tickeru VRO, kter\u00fd mohu na str\u00e1nk\u00e1ch CBOE pozorovat zde<\/span><\/strong><\/a>. Tato informace je zve\u0159ejn\u011bna n\u011bkolik hodin po Open trh\u016f a jej\u00ed v\u00fdsledek je pak na t\u011bchto str\u00e1nk\u00e1ch vid\u011bt tak, jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Minulou st\u0159edu, 22.11.2017<\/strong>, byla vypo\u0159\u00e1dac\u00ed hodnota\u00a0VRO<\/strong> stanovena procedurou SOQ na hodnotu 9.74<\/strong>. Nenechte se m\u00fdlit, \u017ee tato vypo\u0159\u00e1dac\u00ed hodnota (VRO) je stejn\u00e1, jako je hodnota VIX Indexu pro Open trh\u016f v\u00a0tento den. Je j\u00ed samoz\u0159ejm\u011b velmi bl\u00edzk\u00e1, ale nen\u00ed toto\u017en\u00e1. Hodnota VIX Indexu se vypo\u010d\u00edt\u00e1v\u00e1 ze dvou op\u010dn\u00edch s\u00e9ri\u00ed v p\u0159ibli\u017en\u011b t\u0159icetidenn\u00ed budoucnosti a z\u00a0jejich pr\u016fm\u011brn\u00e9 ceny, hodnota VRO je stanovena z\u00a0op\u010dn\u00ed s\u00e9rie podle napsan\u00e9ho v\u00fd\u0161e a z\u00a0jejich zobchodovan\u00fdch cen, proto se cena VIX Open a VRO li\u0161\u00ed a nen\u00ed v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b toto\u017en\u00e1, je j\u00ed ale velmi bl\u00edzk\u00e1. Pro prvotn\u00ed orientaci, jak\u00e1 bude Settlement Cena (VRO) m\u016f\u017ee ale dob\u0159e poslou\u017eit.<\/span><\/p>\n

\u00a0 Podle hodnoty VRO je pak ur\u010deno, kolik za sv\u016fj dr\u017een\u00fd VX futures kontrakt obdr\u017e\u00edm pen\u011bz. Pokud by tato cena VRO<\/strong> byla 14.50<\/strong> a tak pokud jsem po\u0159\u00eddil Long VX futures <\/strong>za 13.20<\/strong>, p\u0159ip\u00ed\u0161u si na sv\u016fj \u00fa\u010det 14.50 \u2013 13.20 = 1.3 bodu x 1.000 USD = +1.300 USD<\/strong>. Pokud jsem po\u0159\u00eddil Short VX futures<\/strong> kontrakt za 13.50<\/strong>, bude moje ztr\u00e1ta 13.50 \u2013 14.50 = -1.00 x 1.000 USD = -1.000 USD<\/strong>.<\/span><\/p>\n

\n

\u00a0 Zevrubn\u00fd n\u00e1hled na konstrukci a fungov\u00e1n\u00ed VX futures kontrakt\u016f by bylo dobr\u00e9 alespo\u0148 obecn\u011b pochopit, proto\u017ee od t\u011bchto VX Futures jsou odvozeny dal\u0161\u00ed deriv\u00e1ty volatility a mnoho dal\u0161\u00edch obchodovan\u00fdch investi\u010dn\u00edch n\u00e1stroj\u016f. Tyto investi\u010dn\u00ed n\u00e1stroje jsou pak tradery velmi v\u00fdznamn\u011b obchodov\u00e1ny a umo\u017e\u0148uj\u00ed jim tak r\u016fzn\u00e9 zauj\u00edmat postoje k\u00a0o\u010dek\u00e1van\u00fdm v\u00fdvoj\u016fm volatility na trz\u00edch jin\u00fdmi zp\u016fsoby ne\u017e nap\u0159\u00edklad dr\u017een\u00edm p\u0159\u00edm\u00fdch VX futures.\u2026:c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\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 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":1133,"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":[39,40],"class_list":["post-1119","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita-a-jeji-derivaty","tag-vix-index","tag-vx-futures"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-6.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-i3","jetpack-related-posts":[{"id":1215,"url":"https:\/\/dobretrejdy.com\/?p=1215","url_meta":{"origin":1119,"position":0},"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":1173,"url":"https:\/\/dobretrejdy.com\/?p=1173","url_meta":{"origin":1119,"position":1},"title":"VIX Opce","author":"dobretrejdy :c)","date":"9.12.2017","format":false,"excerpt":"\u00a0\u00a0 Kde jsou futures, tam jsou tak\u00e9 opce. Velmi zjednodu\u0161en\u00e1 p\u0159edstava o existenci listovan\u00fdch op\u010dn\u00edch kontrakt\u016f na podkladov\u00e1 aktiva jin\u00e1 ne\u017e nap\u0159\u00edklad akcie. Nejinak je tomu u deriv\u00e1t\u016f volatility. Vedle\u00a0obchodov\u00e1n\u00ed VX futures je mo\u017en\u00e9 obchodovat s\u00a0VIX opcemi. P\u0159ibl\u00ed\u017een\u00ed alespo\u0148 z\u00e1kladn\u00edch vlastnost\u00ed t\u011bchto op\u010dn\u00edch kontrakt\u016f bude obsahem tohoto \u010dl\u00e1nku. \u00a0\u00a0 P\u0159esto\u017ee\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-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-1.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":1119,"position":2},"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":4232,"url":"https:\/\/dobretrejdy.com\/?p=4232","url_meta":{"origin":1119,"position":3},"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":[]},{"id":4022,"url":"https:\/\/dobretrejdy.com\/?p=4022","url_meta":{"origin":1119,"position":4},"title":"VXX – Volatility ETN – I.","author":"dobretrejdy :c)","date":"4.1.2020","format":false,"excerpt":"\u00a0 \u00a0Volatilitu mohu obchodovat mnoha zp\u016fsoby. Mohu se zam\u011b\u0159it na Implied Volatilitu jednotliv\u00fdch akciov\u00fdch titul\u016f nebo akciov\u00fdch index\u016f a zkou\u0161et vyu\u017e\u00edt jej\u00ed \u00farovn\u011b k zachycen\u00ed profit\u016f, kter\u00e9 by mohly vypl\u00fdvat pr\u00e1v\u011b z pohybu Implied Volatility. Nemus\u00edm ale nutn\u011b z\u016fst\u00e1vat jenom u t\u011bchto obchodn\u00edch p\u0159\u00edstup\u016f a mohu se pokusit obchodovat volatilitu\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\/01\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1435,"url":"https:\/\/dobretrejdy.com\/?p=1435","url_meta":{"origin":1119,"position":5},"title":"VX Futures – Volatility Spread \u2013 IV.","author":"dobretrejdy :c)","date":"5.2.2018","format":false,"excerpt":"\u00a0 \u00a0V\u00a0minul\u00fdch \u010dl\u00e1nc\u00edch o obchodn\u00edch p\u0159\u00edle\u017eitostech a spreadov\u00fdch mo\u017enostech na b\u00e1zi VX futures, tedy s\u00a0deriv\u00e1ty volatility odvozen\u00fdmi od VIX Indexu, jsem na z\u00e1klad\u011b sledov\u00e1n\u00ed \u010dasov\u00e9 struktury t\u011bchto jednotliv\u00fdch VX futures kontrakt\u016f popsal ur\u010dit\u00e9 \u201evzorce chov\u00e1n\u00ed\u201c t\u011bchto kontrakt\u016f, abych vypozorovan\u00e9 n\u00e1sledn\u011b mohl vyhodnotit jako p\u0159\u00edpadn\u00e9 obchodn\u00ed p\u0159\u00edle\u017eitosti. Existence listovan\u00fdch dev\u00edti m\u011bs\u00ed\u010dn\u00edch\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\/2018\/02\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1119","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=1119"}],"version-history":[{"count":15,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1119\/revisions"}],"predecessor-version":[{"id":5784,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1119\/revisions\/5784"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/1133"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1119"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1119"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1119"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}