{"id":1173,"date":"2017-12-09T18:24:15","date_gmt":"2017-12-09T16:24:15","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=1173"},"modified":"2022-04-06T13:53:15","modified_gmt":"2022-04-06T11:53:15","slug":"vix-opce","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=1173","title":{"rendered":"VIX Opce"},"content":{"rendered":"

\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.<\/span><\/p>\n

\u00a0\u00a0 P\u0159esto\u017ee jsem ji\u017e tuto skute\u010dnost popisoval v\u00a0\u010dl\u00e1nku VX futures<\/strong><\/span><\/a>, z\u00e1kladn\u00edm obchodn\u00edm nedorozum\u011bn\u00edm je skute\u010dnost, \u017ee op\u010dn\u00ed obchodn\u00edk vstupuj\u00edc\u00ed do VIX op\u010dn\u00ed pozice p\u0159edpokl\u00e1d\u00e1, \u017ee v\u00a0danou chv\u00edli je cena op\u010dn\u00edho kontraktu odvozena od hodnoty VIX Indexu \u2013 spotov\u00e9 ceny volatility. Nikoliv, v\u00a0danou chv\u00edli je nav\u00e1z\u00e1na na p\u0159\u00edslu\u0161n\u00e9 VX futures<\/strong>, kter\u00e9 m\u00e1 shodnou expiraci, jako je expirace op\u010dn\u00edho kontraktu. Proto\u017ee z\u00e1kladn\u00ed vlastnost\u00ed jak\u00e9hokoliv futures kontraktu je jeho cenov\u00e9 p\u0159ibli\u017eov\u00e1n\u00ed se ke spotov\u00e9 cen\u011b tak, jak se bl\u00ed\u017e\u00ed \u010das do expirace a aby s\u00a0n\u00ed p\u0159i expiraci nakonec cenov\u011b t\u00e9m\u011b\u0159 splynul, zobrazuje cena op\u010dn\u00edho kontraktu hodnotu spotov\u00e9 ceny natolik, nakolik je op\u010dn\u00ed kontrakt bl\u00edzko sv\u00e9 expiraci. Je to zp\u016fsobeno skute\u010dnost\u00ed, \u017ee tak\u00e9 ceny VX futures se bl\u00ed\u017e\u00ed svou cenou ke spotov\u00e9 cen\u011b VIX Indexu tak, jak se p\u0159ibli\u017euje expirace t\u011bchto VX futures. P\u0159ece jen je\u0161t\u011b jednou uvedu praktickou demonstraci, podobnou jako v\u00a0\u010dl\u00e1nku o VX futures.<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee jsem si ve sv\u00e9 platform\u011b zobrazil opce na \u201eVIX Index\u201c a jeho moment\u00e1ln\u00ed hodnota je 9.58 (horn\u00ed \u010derven\u00e9 obd\u00e9ln\u00edky). Pokud bych cht\u011bl vytvo\u0159it op\u010dn\u00ed syntetickou Short pozici<\/strong> identickou Short podkladov\u00e9mu aktivu, tak by jeho cena nap\u0159\u00edklad na strike 10 pro opce s\u00a0expirac\u00ed za 10 dn\u016f byla hodnota strike (10) plus cena Short Call 10 (+1.05) plus cena Long Put 10 (-0.30), tedy 10.75. Toto ale v\u00a0\u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b nen\u00ed hodnota VIX Indexu<\/strong> (9.58), ale cena\u00a0VX futures<\/strong> s\u00a0expirac\u00ed 20.12.2017<\/strong>, tedy ve stejnou dobu, jako je expirace zobrazovan\u00e9ho op\u010dn\u00edho kontraktu, tento je na cen\u011b 10.85<\/strong>, tedy m\u00e1 p\u0159ibli\u017en\u011b stejnou cenu, jako je vytvo\u0159en\u00e1 syntetick\u00e1 pozice (spodn\u00ed \u010derven\u00fd obd\u00e9ln\u00edk).<\/span><\/p>\n

\u00a0\u00a0 Proto\u017ee ceny VIX op\u010dn\u00edch kontrakt\u016f takto kop\u00edruj\u00ed p\u0159\u00edslu\u0161n\u00e1 VX futures, kop\u00edruj\u00ed logicky tak\u00e9 jejich op\u010dn\u00ed \u0159et\u011bzce expiraci t\u011bchto VX futures.<\/span><\/p>\n

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

\u00a0 \u00a0\u010cl\u00e1nek p\u00ed\u0161i v \u201edivn\u00e9 dob\u011b\u201c pro obchodn\u00edka s\u00a0deriv\u00e1ty volatility. Nach\u00e1z\u00edme se v\u00a0obdob\u00ed ultran\u00edzk\u00e9 volatility na trz\u00edch, hodnoty VIX Indexu l\u00e1mou jeden rekord za druh\u00fdm co se t\u00fd\u010de rekordn\u011b n\u00edzk\u00fdch hodnot a doby trv\u00e1n\u00ed t\u011bchto hodnot v\u00a0\u010dase. Toto bohu\u017eel nenech\u00e1v\u00e1 chladn\u00fdm brokersk\u00e9 firmy, kter\u00e9 si takov\u00e9 obdob\u00ed vysv\u011btluj\u00ed po sv\u00e9m a tato vysv\u011btlen\u00ed pak prom\u00edtaj\u00ed do marginov\u00fdch po\u017eadavk\u016f p\u0159i obchodov\u00e1n\u00ed t\u011bchto n\u00e1stroj\u016f. Jejich interpretace sou\u010dasn\u00e9 n\u00edzk\u00e9 volatility na trz\u00edch je takov\u00e1, \u017ee o\u010dek\u00e1vaj\u00ed siln\u00e9 tr\u017en\u00ed ot\u0159esy, kter\u00e9 zp\u016fsob\u00ed v\u00fdst\u0159ely hodnot deriv\u00e1t\u016f volatility do zna\u010dn\u00fdch hodnot, proto se proti takov\u00fdm pohyb\u016fm zaji\u0161\u0165uj\u00ed zv\u00fd\u0161en\u00fdm po\u017eadavkem na margin. Pokud bych cht\u011bl toto demonstrovat na p\u0159\u00edkladu, tak minim\u00e1ln\u00ed po\u017eadavek na margin CFE (Chicago Futures Exchange – zde se obchoduj\u00ed VX futures kontrakty), je patrn\u00fd z\u00a0n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku<\/span><\/p>\n

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\u00a0\u00a0 P\u0159i obchodov\u00e1n\u00ed front (prvn\u00edho) VX kontraktu<\/strong> je po\u017eadavek na margin 5.650 USD<\/strong>, u VX futures vzd\u00e1len\u011bj\u0161\u00edch je po\u017eadavek ni\u017e\u0161\u00ed (od 3.650 USD do 2.300 USD) u weeklys VX futures je po\u017eadavek stejn\u00fd jako u front VX futures. Pokud bych cht\u011bl ale takov\u00e9 futures po\u0159\u00eddit nyn\u00ed u m\u00e9ho brokera (Interactive Brokers), tak nap\u0159\u00edklad za Short VX JAN18 bych nam\u00edsto po\u017eadovan\u00fdch 3.650 USD musel na sv\u00e9m \u00fa\u010dtu m\u00edt blokov\u00e1no -23.055 USD<\/strong>.<\/span><\/p>\n

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\u00a0\u00a0 To jsou neuv\u011b\u0159iteln\u00e9 pen\u00edze a je do nich vt\u011blena obava brokera z\u00a0mo\u017en\u00e9ho dramatick\u00e9ho n\u00e1r\u016fstu jeho ceny v podob\u011b tzv. House Margin, tedy zv\u00fd\u0161en\u00e9ho po\u017eadavku, kter\u00fd si stanovuje ka\u017ed\u00fd brokersk\u00fd d\u016fm podle sv\u00e9ho uv\u00e1\u017een\u00ed. Zp\u016fsobuje to tak velmi omezen\u00e9 mo\u017enosti takov\u00e9 VX futures obchodovat v\u00a0tuto dobu. Tyto obavy pak sd\u00edl\u00ed t\u00e9m\u011b\u0159 v\u0161ichni broke\u0159i, tak\u017ee to nen\u00ed jenom n\u011bjak\u00e1 obava m\u00e9ho brokera a marginov\u00e9 po\u017eadavky jsou vysok\u00e9 t\u00e9m\u011b\u0159 v\u0161ude. V\u0161ichni v\u0161ak svorn\u011b uji\u0161\u0165uj\u00ed, \u017ee cena marginu klesnou po n\u00e1vratu volatility k\u00a0norm\u00e1lu. Uvid\u00edme, co n\u00e1m tedy nejbli\u017e\u0161\u00ed budoucnost p\u0159inese.<\/span><\/p>\n

\u00a0\u00a0 Stejn\u011b zv\u00fd\u0161en\u00e9 po\u017eadavky jsou pak samoz\u0159ejm\u011b tak\u00e9 u op\u010dn\u00edch kontrakt\u016f. Pokud bylo v\u00a0minulosti blokov\u00e1no nap\u0159\u00edklad na Short Call opci cca -200 USD na jeden op\u010dn\u00ed kontrakt, tak nyn\u00ed je tato \u010d\u00e1stka mnohon\u00e1sobn\u011b vy\u0161\u0161\u00ed. Nap\u0159\u00edklad pro v\u00fdpis Short Call na strike 10 pro opci s\u00a0expirac\u00ed v\u00a0JAN18 by bylo nutn\u00e9 m\u00edt nyn\u00ed blokov\u00e1no -3.638 USD<\/strong>.<\/span><\/p>\n

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\u00a0\u00a0 To je ov\u0161em kuri\u00f3zn\u00ed situace. Pokud bych se na oba marginov\u00e9 po\u017eadavky pod\u00edval rovnic\u00ed vztahu 1x VX futures = 10x VIX opce (popisovanou n\u00ed\u017ee), tak by m\u011bl marginov\u00fd po\u017eadavek u opc\u00ed b\u00fdt desetinov\u00fd oproti po\u017eadavku u futures. Pokud bude volatilita r\u016fst, tak 10x Short Call 10 opc\u00ed bude prod\u011bl\u00e1vat stejn\u011b jako Short VX podkladov\u00e9 futures, co\u017e vyplyne d\u00e1le v objasn\u011bn\u00ed Settlement procedury u VIX op\u010dn\u00edch kontrakt\u016f. Pokud bych nyn\u00ed zavolal sv\u00e9mu brokerovi a polo\u017eil bych mu ot\u00e1zku \u201eCo je t\u011b\u017e\u0161\u00ed, kilo pe\u0159\u00ed nebo kilo \u017eeleza?\u201c, patrn\u011b by mi odpov\u011bd\u011bl \u201e\u2026jasn\u011b, kilo pe\u0159\u00ed, \u017ee se v\u016fbec pt\u00e1\u0161, voe\u2026\u201c :c).<\/span><\/p>\n

\u00a0 \u00a0Dne\u0161n\u00ed situace tak nen\u00ed pro zv\u00fd\u0161en\u00e9mu po\u017eadavku na margin pro tradery moc p\u0159\u00edzniv\u00e1 a douf\u00e1m, \u017ee se velmi brzy zm\u011bn\u00ed a bude mo\u017en\u00e9 op\u011bt norm\u00e1ln\u011b obchodovat. V\u00a0dob\u00e1ch \u201enorm\u00e1ln\u00edho stavu\u201c volatility v\u0161ak stoj\u00ed za upozorn\u011bn\u00ed dal\u0161\u00ed fakt<\/strong>, t\u00fdkaj\u00edc\u00ed se po\u017eadavku na margin<\/strong>. Dr\u017een\u00ed VX futures kontraktu do jeho expirace a vypo\u0159\u00e1d\u00e1n\u00ed je spojeno se zvy\u0161ov\u00e1n\u00edm po\u017eadavku na margin v\u00a0posledn\u00edch chv\u00edl\u00edch \u017eivota t\u011bchto VX futures. M\u016f\u017eu pak pozorovat na sv\u00e9m \u00fa\u010dtu, \u017ee se nap\u0159\u00edklad v\u00a0\u00fater\u00fd p\u0159ed st\u0159ede\u010dn\u00ed Settlement procedurou margin zvy\u0161uje, nap\u0159\u00edklad a\u017e na \u010d\u00e1stku 12.000 USD\/VX futures kontrakt. S\u00a0t\u00edm je tak\u00e9 nutno po\u010d\u00edtat. Tento dodate\u010dn\u00fd \u201epo\u017eadavek na posledn\u00ed chv\u00edli\u201c se v\u0161ak net\u00fdk\u00e1<\/strong> marginu u op\u010dn\u00edch kontrakt\u016f.\u00a0\u00a0<\/span><\/p>\n

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

\u00a0 \u00a0Vypo\u0159\u00e1d\u00e1n\u00ed op\u010dn\u00edho kontraktu je v\u00a0pen\u011bz\u00edch<\/strong>. Je tedy stejn\u011b<\/strong> vypo\u0159\u00e1d\u00e1n jako VX futures<\/strong>. Pro dal\u0161\u00ed pr\u00e1ci s\u00a0VIX opcemi je nutn\u00e9 v\u011bd\u011bt, jak k\u00a0vypo\u0159\u00e1d\u00e1n\u00ed doch\u00e1z\u00ed. Ji\u017e jsem p\u0159edeslal, \u017ee VIX opce jsou v\u00e1z\u00e1ny na podkladov\u00e9 VX futures s\u00a0toto\u017enou expirac\u00ed. VX futures kontrakty expiruj\u00ed v\u017edy ve st\u0159edu a jejich obchodov\u00e1n\u00ed je pozastaveno v\u00a0tuto st\u0159edu chv\u00edli p\u0159ed jejich expirac\u00ed, toto jsem popisoval v\u00a0\u010dl\u00e1nku VX futures<\/strong><\/span><\/a>. Speci\u00e1ln\u00ed v\u00fdpo\u010detn\u00ed operac\u00ed (SOQ) je po expiraci stanovena vypo\u0159\u00e1dac\u00ed hodnota, kter\u00e1 je pak zve\u0159ejn\u011bna na str\u00e1nk\u00e1ch CBOE<\/span><\/strong><\/a> pod tickerem VRO<\/strong>. Z\u00a0t\u00e9to hodnoty jsou pak odvozeny vypo\u0159\u00e1dac\u00ed transakce na m\u00e9m \u00fa\u010dtu. S\u00a0VIX opcemi<\/strong> se obchoduje<\/strong> do \u00fater\u00fd p\u0159edch\u00e1zej\u00edc\u00edho expira\u010dn\u00ed st\u0159ed\u011b<\/strong> p\u0159\u00edslu\u0161n\u00e9ho VX futures kontraktu, obchodov\u00e1n\u00ed kon\u010d\u00ed ve 22:15 <\/strong>(na\u0161eho \u010dasu), tedy 15 minut po ukon\u010den\u00ed obchodov\u00e1n\u00ed s\u00a0opcemi nap\u0159\u00edklad na americk\u00e9 akcie. Po t\u00e9to hodin\u011b ji\u017e s\u00a0dr\u017een\u00fdmi op\u010dn\u00edmi kontrakty nem\u016f\u017eu nic d\u011blat, na rozd\u00edl od p\u0159\u00edslu\u0161n\u00e9ho VX futures, kter\u00e9 se obchoduje a\u017e t\u00e9m\u011b\u0159 do st\u0159ede\u010dn\u00edho Open. To ale v\u016fbec nevad\u00ed, proto\u017ee vypo\u0159\u00e1d\u00e1vac\u00ed procedura je pro oba n\u00e1stroje stejn\u00e1<\/strong>, tak\u00e9 VIX opce jsou toti\u017e vypo\u0159\u00e1d\u00e1v\u00e1ny podle \u201eSettlement Value\u201c reprezentovan\u00e9 tickerem VRO. Pokud tedy budu vlastnit Long Call na strike 13<\/strong> a hodnota VRO<\/strong> bude 13.50<\/strong>, obdr\u017e\u00edm na sv\u016fj \u00fa\u010det rozd\u00edl hodnoty VRO a hodnoty strike n\u00e1soben\u00fd 100, v\u00a0m\u00e9m p\u0159\u00edpad\u011b 13.50 – 13.00 = 0.50 x 100 = +50 USD, z\u00e1le\u017e\u00ed pak, za kolik jsem opci koupil pro profitabilitu op\u010dn\u00edho obchodu. Naopak nap\u0159\u00edklad Long Call na strike 15 by tak vypr\u0161ela jako bezcenn\u00e1 a j\u00e1 p\u0159ich\u00e1z\u00edm pouze o n\u00e1klady na jej\u00ed po\u0159\u00edzen\u00ed. Long Put na strike 15 bude p\u0159i VRO 13.50 tak\u00e9 \u201ev pen\u011bz\u00edch\u201c a p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed obdr\u017e\u00edm 15.00 \u2013 13.50 = +1.5, tedy +150 USD a obdobn\u011b Long Put na strike 11 vypr\u0161\u00ed jako bezcenn\u00e1.<\/span><\/p>\n

\u00a0 \u00a0Pro dr\u017eitele op\u010dn\u00edch kontrakt\u016f je tedy d\u016fle\u017eit\u00e9 v\u011bd\u011bt, \u017ee p\u0159esto\u017ee se s\u00a0opc\u00ed p\u0159estalo obchodovat v\u00a0\u00fater\u00fd ve 22:15, tak to, jestli bude obchod \u00fasp\u011b\u0161n\u00fd se pozn\u00e1 a\u017e po Open ve st\u0159edu, tedy n\u00e1sleduj\u00edc\u00edho dne, kdy bude zve\u0159ejn\u011bna vypo\u010dten\u00e1 hodnota VRO. B\u011bhem t\u00e9to doby v\u0161ak m\u016f\u017ee nastat mnoho ud\u00e1lost\u00ed, tak\u017ee stav v \u00fater\u00fd po Close m\u016f\u017ee b\u00fdt v\u00fdrazn\u011b jin\u00fd, ne\u017e p\u0159i st\u0159ede\u010dn\u00edm Open.<\/span><\/p>\n

\u00a0\u00a0 U m\u00e9ho brokera (Interactive Brokers) pak dr\u017een\u00ed op\u010dn\u00edho kontraktu vypad\u00e1 z\u00a0\u010dasov\u00e9ho hlediska n\u00e1sledovn\u011b. Svou dr\u017eenou opci (nap\u0159\u00edklad Short Call) vid\u00edm ve sv\u00e9 platform\u011b do \u00fater\u00fd do 22:15 jako kontrakt, se kter\u00fdm mohu libovoln\u011b nakl\u00e1dat. Po t\u00e9to hodin\u011b op\u010dn\u00ed kontrakt nezmiz\u00ed, ale ji\u017e s n\u00edm nemohu jakkoliv pracovat. Margin je mi st\u00e1le blokov\u00e1n. N\u00e1sleduj\u00edc\u00ed den, po st\u0159ede\u010dn\u00edm Open, nal\u00e9z\u00e1m (v \u0159\u00e1du jednotek hodin) na str\u00e1nce CBOE hodnotu vypo\u0159\u00e1dac\u00ed hodnoty VRO. Bezprost\u0159edn\u011b po tomto zve\u0159ejn\u011bn\u00ed zji\u0161\u0165uji, \u017ee m\u00e9 opce Short Call nap\u0159\u00edklad vypr\u0161ely jako bezcenn\u00e9 (hodnota VRO je ni\u017e\u0161\u00ed ne\u017e strike m\u00fdch Short Call opc\u00ed) a v\u00fdsledkem tohoto zji\u0161t\u011bn\u00ed je skute\u010dnost, \u017ee mi byl odblokov\u00e1n ve\u0161ker\u00fd margin, op\u010dn\u00ed kontrakty ale st\u00e1le vid\u00edm na sv\u00e9m \u00fa\u010dtu. Teprve ve \u010dtvrtek p\u0159ed Open pozoruji, \u017ee m\u00e9 bezcenn\u00e9 opce zmizely z\u00a0m\u00e9ho \u00fa\u010dtu s\u00a0t\u00edm, \u017ee nedo\u0161lo k\u00a0\u017e\u00e1dn\u00e9mu vypo\u0159\u00e1d\u00e1n\u00ed (bezcennost dr\u017een\u00fdch opc\u00ed) a stav m\u00e9ho \u00fa\u010dtu se proto nezm\u011bnil. \u00a0\u00a0<\/span><\/p>\n

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Vlastnosti op\u010dn\u00edho kontraktu<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Hodnota jednoho bodu pohybu<\/strong> VIX opce je 100 USD<\/strong>. Pohyb z\u00a0hodnoty 13.25 na hodnotu 14.25 znamen\u00e1 pro VIX op\u010dn\u00ed kontrakt pohyb o +100 USD. Pokud bych m\u011bl p\u0159i tomto cenov\u00e9m pohybu nakoupenou opci ITM Long Call na strike 10, tak tato opce nepochybn\u011b na sv\u00e9 hodnot\u011b p\u0159id\u00e1 +100 USD. Obdobn\u00fd pohyb na podkladov\u00e9m VX futures je 1.000 USD, pohyb ze 13.25 na 14.25 bude u Long VX futures znamenat cenov\u00fd pohyb +1.000 USD. Toto je d\u016fle\u017eit\u00e1 souvislost, kter\u00e1 by se dala velmi obecn\u011b vyj\u00e1d\u0159it jako 1x VX Futures = 10x VIX opce<\/strong>. Tuto souvislost m\u016f\u017eu vyu\u017e\u00edt zejm\u00e9na dvoj\u00edm zp\u016fsobem, k\u00a0zaji\u0161t\u011bn\u00ed <\/strong>dr\u017een\u00e9ho VX futures kontraktu nebo k jeho\u00a0simulaci<\/strong>.<\/span><\/p>\n

\u00a0 \u00a0Zaji\u0161t\u011bn\u00ed VX futures opcemi<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Proto\u017ee op\u010dn\u00ed kontrakty svou cenou kop\u00edruj\u00ed p\u0159\u00edslu\u0161n\u00e9 podkladov\u00e9 VX futures, tak mohu tak\u00e9 t\u011bmito opcemi dr\u017een\u00e9 VX futures zajistit proti neo\u010dek\u00e1van\u00e9mu pohybu. P\u0159esto\u017ee (a mus\u00edm to op\u011bt p\u0159ipomenout) je nyn\u00ed doba velmi klidn\u00e1 a VX futures se pohybuj\u00ed velmi nev\u00fdznamn\u011b, v\u00a0dob\u00e1ch p\u0159im\u011b\u0159en\u00e9 volatility je tomu naopak a proto\u017ee pohyb o jeden bod na VX futures p\u0159edstavuje cenov\u00fd pohyb +\/-1.000 USD, m\u016f\u017ee b\u00fdt v\u011bt\u0161\u00ed pohyb proti m\u00e9 pozici pro m\u016fj obchodn\u00ed \u00fa\u010det devastuj\u00edc\u00ed.<\/span><\/p>\n

\u00a0\u00a0\u00a0 Na praktick\u00e9m p\u0159\u00edkladu bych mohl takov\u00e9 zaji\u0161t\u011bn\u00ed vid\u011bt na obr\u00e1zku n\u00ed\u017ee. M\u00e1m n\u011bjakou modelovou p\u0159edstavu, \u017ee volatilita opravdu poroste a stane se tak nikoliv nyn\u00ed p\u0159ed v\u00e1nocemi (kdy p\u00ed\u0161u tento \u010dl\u00e1nek), ale \u017ee se tak stane po nov\u00e9m roce.<\/span><\/p>\n

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\u00a0\u00a0 Po\u0159izuji tedy 1x Long VX futures JAN18<\/strong> za moment\u00e1ln\u00ed cenu 12.30 bod\u016f<\/strong> (\u010derven\u00fd obd\u00e9ln\u00edk ve spodn\u00edm obr\u00e1zku) a na tuto transakci vynakl\u00e1d\u00e1m -12.300 USD<\/strong>. K\u00a0zaji\u0161t\u011bn\u00ed kupuji 10x Long Put<\/strong>\u00a0 opc\u00ed na strike 12.50<\/strong> za 150 USD\/kus, celkem tak vynakl\u00e1d\u00e1m na po\u0159\u00edzen\u00ed ochrany -1.500 USD<\/strong>, tato opce je m\u00edrn\u011b \u201ev pen\u011bz\u00edch\u201c a poskytuje 100% ochranu p\u0159i p\u0159\u00edpadn\u00e9m poklesu dr\u017een\u00e9ho futures. Proto\u017ee chci po\u0159\u00edzen\u00ed ochrany kompenzovat, vypisuji 10x Short Call<\/strong> opci na strike 14<\/strong> za 90 USD\/kus a p\u0159ij\u00edm\u00e1m +900 USD<\/strong> pr\u00e9mia. V\u00fdpisem t\u00e9to opce jsem omezil p\u0159\u00edpadn\u00fd r\u016fst profitu p\u0159i pohybu VX futures nad strike vypsan\u00e9 opce, tedy 14 bod\u016f. N\u00e1klady na mou pozici celkov\u011b jsou za VX futures -12.300 USD plus n\u00e1klady na Put opci -1.500 USD a tr\u017eba v\u00fdpis Call opce +900 USD = -12.900 USD<\/strong>. Cena VX JAN18 futures na hodnot\u011b 12.90 USD je Break-Even m\u00e9 pozice. Jak takov\u00e1 pozice bude prakticky fungovat.<\/span><\/p>\n

\u00a0 \u00a01\/<\/strong> VX futures JAN18 m\u016f\u017ee klesat jak chce<\/strong>, proto\u017ee d\u00edky strike Long Put 12.50 budu proti poklesu zcela zaji\u0161t\u011bn. Pokles tak m\u016f\u017ee b\u00fdt nap\u0159\u00edklad takov\u00fd, \u017ee p\u0159i expiraci bude vypo\u0159\u00e1dac\u00ed hodnota VRO na hodnot\u011b p\u0159esn\u011b 11.00. Bude to znamenat, \u017ee za sv\u016fj VX JAN 18 futures kontrakt obdr\u017e\u00edm +11.000 USD<\/strong>. Za Long Put opci na strike 12.50 obdr\u017e\u00edm p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed rozd\u00edl mezi strike opce a VRO, tedy 12.50 \u2013 11.00, co\u017e \u010din\u00ed 150 USD\/kontrakt, p\u0159i deseti Long Put obdr\u017e\u00edm +1.500 USD<\/strong>. Short Call na strike 14 vypr\u0161\u00ed jako bezcenn\u00e1. Zaji\u0161t\u011bn\u00ed 10x Long Put 112.50 opc\u00ed znamen\u00e1, \u017ee v\u017edy dostanu p\u0159i poklesu pod tento strike +12.500 USD zp\u00e1tky p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed t\u00e9to opce a podkladov\u00e9ho VX futures a j\u00e1 utrp\u00edm maxim\u00e1ln\u00ed ztr\u00e1tu vypo\u010dtenou jako rozd\u00edl n\u00e1klad\u016f a vypo\u0159\u00e1d\u00e1n\u00ed, co\u017e \u010din\u00ed -12.900 USD n\u00e1klady + 12.500 USD tr\u017eba p\u0159i vypo\u0159\u00e1d\u00e1n\u00ed = -400 USD<\/strong>. Toto je m\u00e1 maxim\u00e1ln\u00ed mo\u017en\u00e1 ztr\u00e1ta<\/strong>.<\/span><\/p>\n

\u00a0 \u00a02\/ VX JAN18 z\u016fstane na cen\u011b 12.90<\/strong>, bude tedy m\u00edrn\u011b r\u016fst\u00a0 a z\u016fstane p\u0159esn\u011b na Break-Even bodu m\u00e9 pozice (Settlement Value – VRO bude \u010dinit p\u0159esn\u011b 12.90). Celkov\u00e9 n\u00e1klady se budou rovnat hodnot\u011b vypo\u0159\u00e1d\u00e1n\u00ed m\u00e9ho VX futures kontraktu, proto\u017ee ob\u011b opce Call i Put vypr\u0161\u00ed jako bezcenn\u00e9. na \u00fa\u010det mi tak bude dod\u00e1no +12.900 USD<\/strong> a proto\u017ee m\u00e9 n\u00e1klady \u010dinily -12.900, v\u00fdsledkem bude nulov\u00e1<\/strong> ztr\u00e1ta i profit.<\/span><\/p>\n

\u00a0 \u00a03\/ VX JAN18 potvrd\u00ed uptrend<\/strong> a p\u0159i sv\u00e9 expiraci bude hodnota VRO vypo\u010dtena nap\u0159\u00edklad na 15.60<\/strong>. Long Put na strike 12.50 vypr\u0161\u00ed jako bezcenn\u00e9. Za m\u00e9 VX JAN18 futures obdr\u017e\u00edm +15.600 USD. Vypsan\u00e9 Short Call 14 v\u0161ak budou \u201ev pen\u011bz\u00edch\u201c a j\u00e1 budu muset odevzdat hodnotu, kter\u00e1 je rozd\u00edlem VRO a strike t\u011bchto Short Call 14, tedy 14.00 -15.60 = -160 USD na ka\u017edou Short Call 14 opci, p\u0159i deseti Short Call 14 op\u010dn\u00edch kontraktech pak -1.600 USD. P\u0159i celkov\u00fdch n\u00e1kladech -12.900 USD, pak bude celkov\u00fd v\u00fdsledek -12.900 (n\u00e1klady) + 15.600 (vypo\u0159\u00e1d\u00e1n\u00ed VX futures) a -1.600 USD (vypo\u0159\u00e1d\u00e1n\u00ed Short Call) = +1.100 USD<\/strong> profit, tento je maxim\u00e1ln\u011b mo\u017en\u00fd, v\u00edce d\u00edky vypsan\u00e9 Short Call na strike 14 nemohu z\u00edskat.<\/span><\/p>\n

\u00a0 Ve shrnut\u00ed pak mohu konstatovat, \u017ee p\u0159i maxim\u00e1ln\u00ed mo\u017en\u00e9 ztr\u00e1t\u011b -400 USD<\/strong> mohu z\u00edskat<\/strong> +1.100 USD<\/strong>, a to p\u0159edstavuje pom\u011br risku a ztr\u00e1ty 1:2.75<\/strong>, a to v\u016fbec nen\u00ed \u0161patn\u00e9. Pro vylep\u0161en\u00ed t\u00e9to jednoduch\u00e9 strategie na n\u00e1r\u016fst volatility jsem pak zakrou\u017ekoval (b\u00edl\u00fd krou\u017eek na obr\u00e1zku) mo\u017enost v\u00fdpisu 10x Short Put opc\u00ed nap\u0159\u00edklad na strike 10.5, kter\u00e9 by mohly p\u0159in\u00e9st dal\u0161\u00ed pr\u00e9mium a posunout tak n\u00ed\u017ee celkov\u00fd Break-Even bod, ov\u0161em na \u00fakor p\u00e1du ceny pod tento strike\u2026<\/span><\/p>\n

\u00a0Simulace VX futures<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Po\u0159izov\u00e1n\u00edm syntetick\u00fdch pozic\u00ed<\/strong> pomoc\u00ed opc\u00ed mohu napodobovat dr\u017een\u00ed podkladov\u00e9ho VX futures<\/strong>, toto jsem demonstroval na obr\u00e1zku v\u00a0\u00favodu \u010dl\u00e1nku. Short Call opce a Long Put opce po\u0159\u00edzen\u00e9 na stejn\u00e9m strike se chov\u00e1 identicky jako podkladov\u00e9 VX futures po\u0159\u00edzen\u00e9 Short. Long Call opce a Short Put opce po\u0159\u00edzen\u00e9 na stejn\u00e9m strike se chov\u00e1 identicky jako podkladov\u00e9 VX futures po\u0159\u00edzen\u00e9 Long. Pro\u010d bych to takto nahrazoval? Zejm\u00e9na proto, \u017ee pokud bude margin \u201ezase v\u00a0po\u0159\u00e1dku\u201c, tak m\u011b VX futures kontrakt po\u0159\u00edzen\u00fd jako 10x syntetick\u00e1 op\u010dn\u00ed pozice vyjde daleko levn\u011bji<\/strong>, ne\u017e p\u0159\u00edm\u00fd vstup do VX futures. To je prvn\u00ed d\u016fle\u017eit\u00fd d\u016fvod, kter\u00fd ale nyn\u00ed (p\u0159i hr\u016fzn\u00fdch marginov\u00fdch po\u017eadavc\u00edch) prozat\u00edm nem\u00e1 logiku. Druh\u00fdm velmi v\u00fdznamn\u00fdm d\u016fvodem je skute\u010dnost, \u017ee takov\u00fd VX futures kontrakt<\/strong> m\u016f\u017eeme pomoc\u00ed syntetick\u00fdch op\u010dn\u00edch pozic d\u011blit na desetiny<\/strong>. Nemus\u00edm pak nutn\u011b po\u0159izovat nap\u0159\u00edklad \u201ecel\u00e9\u201c Short VX futures, ale p\u0159i 4x Short Call a 4x Long Put na stejn\u00fdch strike mohu na sv\u00e9m obchodn\u00edm \u00fa\u010dtu vytvo\u0159it \u201e\u010dty\u0159desetinov\u00fd\u201c Short VX futures. Op\u011bt pak mohu \u0161et\u0159it na marginov\u00e9m po\u017eadavku nebo takov\u00e9 d\u011blen\u00ed vyu\u017e\u00edt p\u0159i ur\u010dit\u00fdch arbitr\u00e1\u017e\u00edch, kter\u00e9 budu popisovat v\u00a0n\u011bkter\u00e9m z\u00a0budouc\u00edch \u010dl\u00e1nk\u016f.<\/span><\/p>\n

\u00a0\u00a0 Celou modelovou pozici a \u00favahu o n\u00e1r\u016fstu volatility do expirace lednov\u00e9ho VX futures kontraktu (popisovanou v\u00fd\u0161e) bych mohl tak\u00e9 simulovat pomoc\u00ed syntetick\u00e9 pozice<\/strong> a tedy v\u00a0men\u0161\u00edm objemu, ne\u017e za pou\u017eit\u00ed VX futures kontraktu. Mohl bych nap\u0159\u00edklad zaujmout \u201ejednodesetinovou<\/strong>\u201c pozici, kter\u00e1 by se mohla chovat obdobn\u011b jako v\u00fd\u0161e uveden\u00e1 strategie se zaji\u0161t\u011bn\u00edm, m\u011bla by ale men\u0161\u00ed n\u00e1klady a tak\u00e9 samoz\u0159ejm\u011b p\u0159im\u011b\u0159en\u011b ni\u017e\u0161\u00ed v\u00fdkonnost.<\/span><\/p>\n

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\u00a0\u00a0 P\u0159i cen\u011b VX Futures JAN18 12.30, bych na strike 12<\/strong> po\u0159\u00eddil 1x Long Call<\/strong> za -150 USD<\/strong>\u00a0a na stejn\u00e9m strike vypsal 1x Short Put<\/strong> za +105 USD<\/strong>. Po\u0159izovac\u00ed cena syntetick\u00e9ho podkladu VX futures (jeho desetiny) by pak byla Strike (12) + Long Call (+1.50) – Short Put (-1.05) = 12.45<\/strong>. Po\u0159\u00eddil bych tak jednu syntetickou pozici<\/strong> za -12.45 bodu<\/strong>, tedy velmi m\u00edrn\u011b dr\u00e1\u017e ne\u017e samotn\u00e9 VX futures kter\u00e9 mohu po\u0159\u00eddit za 12.30 (toto v\u0161ak nelze d\u011blit takto na desetiny). Celou pozici bych zajistil proti poklesu<\/strong> n\u00e1kupem Long Put<\/strong> na strike 12.50<\/strong> za -150 USD<\/strong> a tyto n\u00e1klady si vylep\u0161il<\/strong> v\u00fdpisem Short Call<\/strong> na strike 14<\/strong> za +90 USD<\/strong>. Celou takovou pozici jsem po\u0159\u00eddil za -150 USD (Long Call ze syntetiky) + 105 (Short Put ze syntetiky) -150 USD (zaji\u0161\u0165ovac\u00ed Long Put) + 90 USD (vylep\u0161ovac\u00ed Short Call) = -105 USD<\/strong>. P\u0159i pozorn\u00e9m pohledu na obr\u00e1zek bych mohl sp\u00ed\u0161e \u0159\u00edci, \u017ee m\u00e1m po\u0159\u00edzen\u00e9 dva debetn\u00ed spready, Call Bull Spread +12\/-14 a Put Bear Spread +12.50\/-12. J\u00e1 v\u0161ak nyn\u00ed tvrd\u00edm, \u017ee jsem Synteticky Long 1\/10 VX futures, kterou m\u00e1m zaji\u0161t\u011bnou op\u010dn\u00ed pozic\u00ed Collar, ob\u011b interpretace jsou ale spr\u00e1vn\u00e9. Co se pak m\u016f\u017ee st\u00e1t?<\/span><\/p>\n

\u00a0 \u00a01\/ VX futures JAN18 m\u016f\u017ee klesat op\u011bt jak chce<\/strong>, proto\u017ee d\u00edky strike Long Put 12.50 budu proti poklesu zcela zaji\u0161t\u011bn. Pokud bude pokles takov\u00fd, \u017ee VRO \u2013 Settlement Value bude na hodnot\u011b p\u0159esn\u011b 11.00, pak ob\u011b Call opce vypr\u0161\u00ed jako bezcenn\u00e9. Long Put 12.50 bude \u201ev pen\u011bz\u00edch\u201c a bude m\u00edt vypo\u0159\u00e1dac\u00ed cenu ur\u010denou hodnotou strike m\u00ednus VRO, tedy 12.50 -11.00 = +150 USD. Short Put 12 bude samoz\u0159ejm\u011b tak\u00e9 \u201ev pen\u011bz\u00edch\u201c a bude m\u00edt vypo\u0159\u00e1dac\u00ed cenu ur\u010denou hodnotou VRO m\u00ednus hodnota strike, tedy 11.00 \u2013 12.00 = -100 USD. P\u0159i n\u00e1kladech -105 USD pak p\u0159i takov\u00e9m poklesu bude celkov\u00e1 ztr\u00e1ta -105 (n\u00e1klady) +150 USD \u00a0(vypo\u0159\u00e1d\u00e1n\u00ed Long Put) \u2013 100 USD (vypo\u0159\u00e1d\u00e1n\u00ed Short Put) = ztr\u00e1ta -55 USD<\/strong>, toto je ale\u00a0maxim\u00e1ln\u00ed mo\u017en\u00e1 ztr\u00e1ta<\/strong> jakou mohu utrp\u011bt.<\/span><\/p>\n

\u00a0 \u00a02\/ VX JAN 18 potvrd\u00ed uptrend<\/strong>, ale VRO \u2013 Settlement Value po expiraci tohoto futures (a tak\u00e9 po expirac\u00ed opc\u00ed) bude mezi strike ochrann\u00e9 Long Put 12.50 a vylep\u0161uj\u00edc\u00ed Short Call 14<\/strong>, nap\u0159\u00edklad na hodnot\u011b VRO = 13.20. Long Call 12 ze syntetick\u00e9 pozice bude „v pen\u011bz\u00edch“ a bude vypo\u0159\u00e1d\u00e1na za VRO m\u00ednus strike, tedy za 13.20 – 12.00 = +120 USD. Short Put 12 ze syntetick\u00e9ho pozice vypr\u0161\u00ed jako bezcenn\u00e1, stejn\u011b tak jako zaji\u0161\u0165ovac\u00ed Long Put 12.50, bezcenn\u00e1 rovn\u011b\u017e vypr\u0161\u00ed vylep\u0161ovac\u00ed Short Call 14. P\u0159i n\u00e1kladech -105 USD \u010din\u00ed p\u0159i vypo\u0159\u00e1dac\u00edm p\u0159\u00edjmu +120 USD kone\u010dn\u00fd profit +15 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 3\/ VX JAN18 potvrd\u00ed uptrend<\/strong> a p\u0159i sv\u00e9 expiraci bude hodnota VRO vypo\u010dtena na 15.60<\/strong>. Ob\u011b Put opce Long Put na strike 12.50 a Short Put na strike 12 vypr\u0161\u00ed jako bezcenn\u00e9. Long Call 12 ze syntetick\u00e9 pozice bude \u201ev pen\u011bz\u00edch\u201c\u00a0 a bude vypo\u0159\u00e1d\u00e1na hodnotou VRO m\u00ednus hodnota strike, tedy 15.60 \u2013 12.00 = +360 USD. \u00a0Vypsan\u00e1 Short Call 14 bude tak\u00e9 \u201ev pen\u011bz\u00edch\u201c a j\u00e1 budu muset odevzdat hodnotu, kter\u00e1 je rozd\u00edlem VRO a strike t\u00e9to Short Call 14, tedy 14.00 -15.60 = -160 USD. P\u0159i celkov\u00fdch n\u00e1kladech -105 USD, pak bude celkov\u00fd v\u00fdsledek -105 (n\u00e1klady) + 360 (vypo\u0159\u00e1d\u00e1n\u00ed Long Call ze syntetiky) -160 USD (vypo\u0159\u00e1d\u00e1n\u00ed vylep\u0161uj\u00edc\u00ed Short Call) = +95 USD profit<\/strong> a tento profit bude d\u00edky vypsan\u00e9 Short Call na strike 14 maxim\u00e1ln\u00edm mo\u017en\u00fdm profitem.<\/span><\/p>\n

\u00a0\u00a0 Takov\u00e1 konstrukce by pak p\u0159i maxim\u00e1ln\u00ed mo\u017en\u00e9 ztr\u00e1t\u011b <\/strong>ve v\u00fd\u0161i -55 USD<\/strong> mohla p\u0159in\u00e9st maxim\u00e1ln\u00ed profit <\/strong>ve v\u00fd\u0161i +95 USD<\/strong>, co\u017e je pom\u011br risku a ztr\u00e1ty t\u00e9m\u011b\u0159 1:2<\/strong>. Podot\u00fdk\u00e1m, \u017ee p\u0159i t\u00e9to konstrukci (vlastn\u011b dva debetn\u00ed spready) nen\u00ed blokov\u00e1n \u017e\u00e1dn\u00fd margin<\/strong>, p\u0159esto\u017ee spekulujeme na r\u016fst VX futures a sna\u017e\u00edme se o tot\u00e9\u017e, jako v uk\u00e1zce s op\u010dn\u00edm zaji\u0161t\u011bn\u00edm VX futures v\u00fd\u0161e.<\/span>\u00a0<\/span><\/p>\n

\n

\u00a0\u00a0 Porozum\u011bn\u00ed alespo\u0148 z\u00e1kladn\u00edch vlastnost\u00ed VIX op\u010dn\u00edch kontrakt\u016f by mohlo a m\u011blo pat\u0159it do v\u00fdbavy ka\u017ed\u00e9ho op\u010dn\u00edho obchodn\u00edka nebo obchodn\u00edka, kter\u00fd by se cht\u011bl pokou\u0161et n\u011bjak\u00fdm zp\u016fsobem obchodovat VX futures kontrakty. P\u0159esto\u017ee b\u00fdv\u00e1 zach\u00e1zen\u00ed s\u00a0VX futures doprov\u00e1zeno v\u00fdrazn\u00fdmi varov\u00e1n\u00edmi o jejich nebezpe\u010dnosti a nevyzpytatelnosti, p\u0159i rozumn\u00e9m p\u0159\u00edstupu by se ale mohlo takov\u00e9 obchodov\u00e1n\u00ed ub\u00edrat velmi kvalitn\u00edm sm\u011brem a ve sv\u00e9 rizikovosti by se pak dalo p\u0159irovnat k\u00a0obchodov\u00e1n\u00ed jak\u00e9hokoliv jin\u00e9ho futures kontraktu :c) <\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\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 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":1183,"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":[41,40],"class_list":["post-1173","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita-a-jeji-derivaty","tag-vix-opce","tag-vx-futures"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main-1.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-iV","jetpack-related-posts":[{"id":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":1173,"position":0},"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":1119,"url":"https:\/\/dobretrejdy.com\/?p=1119","url_meta":{"origin":1173,"position":1},"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":2853,"url":"https:\/\/dobretrejdy.com\/?p=2853","url_meta":{"origin":1173,"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":1215,"url":"https:\/\/dobretrejdy.com\/?p=1215","url_meta":{"origin":1173,"position":3},"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":1173,"position":4},"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":1148,"url":"https:\/\/dobretrejdy.com\/?p=1148","url_meta":{"origin":1173,"position":5},"title":"VX Futures – \u010dasov\u00e1 struktura","author":"dobretrejdy :c)","date":"5.12.2017","format":false,"excerpt":"\u00a0\u00a0 Porozum\u011bn\u00ed obchodov\u00e1n\u00ed s\u00a0VX futures (...a obecn\u011b s\u00a0deriv\u00e1ty volatility od t\u011bchto futures odvozen\u00fdch) vy\u017eaduje vypozorov\u00e1n\u00ed z\u00e1kladn\u00edch vlastnost\u00ed tzv. \u201eterm structure\u201c, tedy \u010dasov\u00e9 struktury ceny t\u011bchto VX futures kontrakt\u016f. Nazna\u010doval jsem ji\u017e v\u00a0\u010dl\u00e1nku o VX Futures , \u017ee \u010dasov\u00e1 struktura jednotliv\u00fdch VX futures kontrakt\u016f je p\u0159\u00edmo z\u00e1visl\u00e1 na m\u00ed\u0159e nejistoty na\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.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/12\/main.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1173","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=1173"}],"version-history":[{"count":12,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1173\/revisions"}],"predecessor-version":[{"id":1196,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1173\/revisions\/1196"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/1183"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1173"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1173"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1173"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}