{"id":1253,"date":"2018-01-02T16:13:29","date_gmt":"2018-01-02T14:13:29","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=1253"},"modified":"2025-02-24T08:42:39","modified_gmt":"2025-02-24T06:42:39","slug":"vx-futures-volatility-spread-i","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=1253","title":{"rendered":"VX Futures – Volatility Spread – I."},"content":{"rendered":"

\u00a0 \u201e\u2026Spread your little wings and fly away\u2026\u201c zp\u00edval nesmrteln\u00fd Freddie Mercury v\u00a0legend\u00e1rn\u00edm songu a netu\u0161il, \u017ee by jeho pokyn mohl b\u00fdt inspiruj\u00edc\u00ed nejen pro zamindr\u00e1kovan\u00e9 nemehlo, ale tak\u00e9 pro obchodn\u00edky s futures kontrakty. Obchodov\u00e1n\u00ed jak\u00fdchkoliv spread\u016f je obrovsk\u00e9 obchodn\u00ed t\u00e9ma, ve kter\u00e9m si ka\u017ed\u00fd m\u016f\u017ee naj\u00edt tu svou spr\u00e1vnou polohu a doslova se v\u00a0n\u00ed vy\u0159\u00e1dit. Rozd\u00edl mezi Ask a Bid je Spread, rozd\u00edl mezi cenou akcie AAPL a MSFT je tak\u00e9 Spread, rozd\u00edl mezi cenou zlat\u00e9ho kontraktu v\u00a0Lond\u00fdn\u011b a New Yorku je Spread tak\u00e9, dva op\u010dn\u00ed kontrakty na r\u016fzn\u00fdch strike jsou tak\u00e9 Spread a rozd\u00edl mezi cenou brambor v\u00a0Lidlu a Bille je mo\u017en\u00e9 nazvat Spreadem tak\u00e9. Spread, ve smyslu tohoto t\u00e9matu, je pak zjednodu\u0161en\u011b rozd\u00edl pom\u011b\u0159iteln\u00fdch hodnot materi\u00e1ln\u00edch nebo nemateri\u00e1ln\u00edch entit, kter\u00e9 je mo\u017en\u00e9 smyslupln\u011b ocenit pen\u011bzi a n\u00e1sledn\u011b tak\u00e9 obchodovat.<\/span><\/p>\n

\u00a0\u00a0 T\u011bsn\u011b p\u0159ed leto\u0161n\u00edmi V\u00e1noci jsem obdr\u017eel e-mail od jednoho z\u00a0m\u00fdch \u010dten\u00e1\u0159\u016f, kter\u00fd si m\u00edrn\u011b st\u011b\u017eoval, \u017ee n\u011bkter\u00e9 \u010dl\u00e1nky nem\u016f\u017ee hned napoprv\u00e9 pochopit a \u017ee mu p\u0159ipad\u00e1, jako bych v\u017edy za\u010d\u00ednal \u201en\u011bkde uprost\u0159ed\u201c nebo p\u0159edpokl\u00e1dal, \u017ee u\u017e ch\u00e1pe alespo\u0148 jednoduch\u00e9 z\u00e1klady a poznatky, na kter\u00fdch automaticky stav\u00edm a ze kter\u00fdch vych\u00e1z\u00edm. P\u0159izn\u00e1m se, \u017ee m\u011b to dost p\u0159ekvapilo a s\u00a0jistou d\u00e1vkou sebereflexe jsem nakonec musel uznat, \u017ee to je tro\u0161ku pravda. Proto\u017ee se v\u00a0nadch\u00e1zej\u00edc\u00ed minis\u00e9rii \u010dl\u00e1nk\u016f o obchodov\u00e1n\u00ed \u201erozd\u00edl\u016f\u201c budu zab\u00fdvat zejm\u00e9na deriv\u00e1ty volatility, tak se mus\u00edm, ve smyslu t\u00e9to st\u00ed\u017enosti, pokusit nejd\u0159\u00edve vypo\u0159\u00e1dat s\u00a0obecn\u00fdm pohledem a z\u00e1kladn\u00edmi principy takov\u00fdch obchod\u016f.<\/span><\/p>\n

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Logika spreadov\u00e9ho obchodu<\/span><\/strong><\/h1>\n

\u00a0\u00a0 Je dost obt\u00ed\u017en\u00e9 naj\u00edt spr\u00e1vn\u00fd jednoduch\u00fd p\u0159\u00edm\u011br k\u00a0vysv\u011btlen\u00ed obchodov\u00e1n\u00ed rozd\u00edl\u016f hodnot ur\u010dit\u00fdch v\u011bc\u00ed tak, aby bylo patrn\u00e9, o co vlastn\u011b v\u00a0takov\u00fdch obchodech jde. Mohu si nap\u0159\u00edklad p\u0159edstavit, \u017ee existuj\u00ed dv\u011b rodiny, jedna bydl\u00ed v\u00a0Most\u011b a druh\u00e1 v\u00a0Plzni a ob\u011b rodiny se rozhodly, \u017ee pojedou o v\u00e1no\u010dn\u00edch sv\u00e1tc\u00edch nav\u0161t\u00edvit sv\u00e9 p\u0159\u00edbuzn\u00e9 na Moravu. Rodina Proch\u00e1zkov\u00fdch z\u00a0Mostu m\u00e1 p\u0159\u00edbuzn\u00e9 v\u00a0P\u0159erov\u011b a Novotn\u00ed z\u00a0Plzn\u011b si to nam\u00ed\u0159\u00ed do Uhersk\u00e9ho Hradi\u0161t\u011b, toto bude m\u00e9 z\u00e1kladn\u00ed fundament\u00e1ln\u00ed zji\u0161t\u011bn\u00ed, ze kter\u00e9ho budu vych\u00e1zet. Pro svou n\u00e1v\u0161t\u011bvu si vybraly prvn\u00ed sv\u00e1tek v\u00e1no\u010dn\u00ed s\u00a0t\u00edm, \u017ee ob\u011b rodiny vyraz\u00ed na cestu sou\u010dasn\u011b v\u00a010:00 dopoledne. Obchodov\u00e1n\u00ed rozd\u00edlu (spreadu) by pak p\u0159edstavovalo hypotetickou mo\u017enost, \u017ee bych si mohl n\u011bjak\u00fdm zp\u016fsobem vsadit na aktu\u00e1ln\u00ed vzd\u00e1lenost mezi auty obou rodin, kter\u00e9 se pohybuj\u00ed zhruba stejnou rychlost\u00ed. Abych mohl vzd\u00e1lenost p\u0159ev\u00e9st na pen\u00edze, tak si mohu modelov\u011b p\u0159edstavit, \u017ee startovac\u00ed pozice obou v\u00fdletn\u00edk\u016f je 100 km (vzd\u00e1lenost Most \u2013 Plze\u0148) a ka\u017ed\u00fd kilometr m\u00e1 hodnotu deset dolar\u016f. Po\u010d\u00e1te\u010dn\u00ed vzd\u00e1lenost je tak 1.000 USD. Situace by pak vypadalo jako na obr\u00e1zku.<\/span><\/p>\n

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\u00a0 Ve zjednodu\u0161en\u00e9 p\u0159edstav\u011b pak opravdu p\u0159edpokl\u00e1d\u00e1m, \u017ee ob\u011b auta se pohybuj\u00ed t\u00e9m\u011b\u0159 stejn\u011b rychle a tak\u00e9 si mohu p\u0159edstavit, \u017ee mohu zn\u00e1t jejich p\u0159ibli\u017enou trasu, jako na v\u00fd\u0161e uveden\u00e9m obr\u00e1zku. Ka\u017ed\u00fd spr\u00e1vn\u00fd obchodn\u00edk by pak postupoval tak, \u017ee by se sna\u017eil koupit za co nejm\u00e9n\u011b a n\u00e1sledn\u011b za co nejv\u00edce prodat (vstoupit Long) nebo prodat za co nejv\u00edce a pot\u00e9 co nejlevn\u011bji koupit zp\u011bt (vstoupit Short). Kdyby v\u0161echno \u0161lo ide\u00e1ln\u011b a podle p\u0159edstav, tak bych mohl jednodu\u0161e oba typy obchod\u016f se s\u00e1zkou na vzd\u00e1lenost obou aut \u0159\u00edt\u00edc\u00edch se na Moravu realizovat nap\u0159\u00edklad v\u00a0okam\u017eic\u00edch, kter\u00e9 vid\u00edm na obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0 Oba \u0159idi\u010di se rozhodli jet na Moravu sm\u011brem na Prahu. Ve chv\u00edli<\/strong>, kterou jsem ozna\u010dil p\u00edsmenem \u201eA\u201c<\/strong>, tedy v\u00a0okam\u017eiku, kdy byly automobily od sebe vzd\u00e1leny 20 km, bych do t\u00e9to vzd\u00e1lenosti investoval<\/strong> a zaplatil za ni -200 USD<\/strong> (20 km*-10 USD = -200 USD), takovou „vzd\u00e1lenost bych koupil<\/strong>„. Pot\u00e9 bych sledoval, jak se vyv\u00edj\u00ed pohyb obou v\u00fdletn\u00edk\u016f, abych v\u00a0okam\u017eiku \u201eB\u201c<\/strong>, kdy se vzd\u00e1lenost obou vozidel ji\u017e zna\u010dn\u011b roz\u0161\u00ed\u0159ila a \u010din\u00ed 110 km, tuto svou \u201einvestici do vzd\u00e1lenosti\u201c prodal.<\/strong> Realizoval bych tr\u017ebu 110 km*10 USD = +1.100 USD. M\u00e1 p\u016fvodn\u00ed investice byla -200 USD, vyd\u011blal bych tak +900 USD<\/strong>. Naopak bych mohl se svou investic\u00ed ot\u00e1let a \u010dekat, kudy se po pr\u016fjezdu Prahou ob\u011b vozidla vydaj\u00ed a vybrat si pro svou investici<\/strong> vzd\u00e1lenost \u201eB\u201c<\/strong>, kdy by se mi zd\u00e1la vzd\u00e1lenost opravdu obrovsk\u00e1 a tuto \u201evzd\u00e1lenost bych prodal<\/strong>\u201c za 110 km*+10 USD = +1.100 USD<\/strong>. N\u00e1sledn\u011b bych pozoroval, jak se cesta bude vyv\u00edjet d\u00e1le, abych se v\u00a0bod\u011b \u201eC\u201c<\/strong> p\u0159ed Olomouc\u00ed rozhodl, \u017ee svou investici zlikviduji a koup\u00edm ji zp\u011bt<\/strong> za 50 km*-10 USD = -500 USD. Proto\u017ee jsem za p\u016fvodn\u00ed \u201eprodej vzd\u00e1lenosti utr\u017eil +1.100 USD, tak nyn\u00ed po likvidaci investice za -500 USD mi z\u016fstalo +600 USD<\/strong> \u010dist\u00e9ho zisku.<\/span><\/p>\n

\u00a0\u00a0 To je ov\u0161em grafick\u00e9 zn\u00e1zorn\u011bn\u00ed \u00fapln\u011b trivi\u00e1ln\u00ed a nejjednodu\u0161\u0161\u00ed situace, kdy se ob\u011b auta pohybuj\u00ed stejnou rychlost\u00ed, trasa je stejn\u011b dlouh\u00e1 a j\u00e1 mohu odez\u00edrat na kolmo vyzna\u010den\u00fdch \u0161ipk\u00e1ch takov\u00e9 ide\u00e1ln\u00ed vzd\u00e1lenosti. To samoz\u0159ejm\u011b neodpov\u00edd\u00e1 realit\u011b a tak\u00e9 nezobrazuje tu pravou s\u00edlu a v\u00fdhodu obchodov\u00e1n\u00ed takov\u00fdch rozd\u00edl\u016f hodnot. Obchodov\u00e1n\u00ed spreadu mezi vzd\u00e1lenostmi obou aut toti\u017e v\u00fdznamn\u011b roz\u0161i\u0159uje pravd\u011bpodobnost, \u017ee m\u00e1 investice bude nakonec \u00fasp\u011b\u0161n\u00e1 oproti klasick\u00e9 investici nap\u0159\u00edklad do Long akcie, jej\u00ed\u017e cena bu\u010f roste a j\u00e1 vyd\u011bl\u00e1v\u00e1m, nebo kles\u00e1 a j\u00e1 prod\u011bl\u00e1v\u00e1m. Jak si mohu takov\u00e9 roz\u0161\u00ed\u0159en\u00e9 mo\u017enosti p\u0159edstavit je patrn\u00e9 z\u00a0n\u00ed\u017ee uveden\u00e9ho obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0 Pohledem z\u00a0letadla, kter\u00e9 monitoruje pohyb obou aut, \u010derven\u00e9ho rodiny Proch\u00e1zk\u016f a modr\u00e9ho Novotn\u00fdch, se po pr\u016fjezdu obou vozidel Prahou, kdy se vzd\u00e1lenost dostane na n\u011bjakou kriticky n\u00edzkou hodnotu (okam\u017eik \u201eA\u201c<\/strong>), op\u011bt vstupuji do takov\u00e9 investice<\/strong>, podobn\u00e9 jako v\u00a0p\u0159ech\u00e1zej\u00edc\u00ed uk\u00e1zce a utr\u00e1c\u00edm -200 USD<\/strong> za investici do \u201e20 km vzd\u00e1lenosti\u201c. Ihned po m\u00e9 investici se ale Novotn\u00ed v\u00a0modr\u00e9m Hyundaii rozhodnou, \u017ee se zastav\u00ed na kafe v motorestu a naopak Proch\u00e1zkovi v\u00a0\u010derven\u00e9 okt\u00e1vce dost\u00e1vaj\u00ed telefon od p\u0159\u00edbuzn\u00fdch, \u017ee kachna se zel\u00edm se ji\u017e dop\u00e9k\u00e1, aby tedy v\u00fdrazn\u011b \u0161l\u00e1pli na plyn. Rychlosti obou aut se zm\u011bn\u00ed a modr\u00e9 auto ve sv\u00e9 rychlosti v\u00fdrazn\u011b zaost\u00e1v\u00e1 za autem \u010derven\u00fdm. Nezaost\u00e1v\u00e1 ale m\u00e1 investice, ba naopak (situace \u201eB\u201c<\/strong>) jde ji to nesm\u00edrn\u011b k\u00a0duhu a vzd\u00e1lenost se<\/strong> p\u0159\u00edjemn\u011b roztahuje<\/strong> na 80 km, co\u017e p\u0159edstavuje +600 USD zisk<\/strong>. Mohla by ale nastat tak\u00e9 opa\u010dn\u00e1 situace, kdy se rodinka v\u00a0\u010derven\u00e9m aut\u011b rozhodne, \u017ee prozkoum\u00e1 pam\u011btihodnosti Vysok\u00e9ho M\u00fdta, zat\u00edmco \u201emodr\u00e1\u201c rodina si to uh\u00e1n\u00ed po \u201eD\u00e9 jedni\u010dce\u201c ne\u00faprosn\u011b ke sv\u00e9mu c\u00edli (okam\u017eik \u201eC\u201c<\/strong>). Tak\u00e9 v\u00a0tomto p\u0159\u00edpad\u011b by takov\u00fd nesoulad v\u00a0pohybu byl pro mou investici skv\u011bl\u00fd, proto\u017ee by vygeneroval rozd\u00edl ve vzd\u00e1lenosti 150 km a odpov\u00eddaj\u00edc\u00ed +1.300 USD profit<\/strong>. Nic ale nen\u00ed naprosto dokonal\u00e9, proto jedin\u00fdm p\u0159\u00edpadem, kdy by takov\u00e1 investice vyk\u00e1zala ztr\u00e1tu<\/strong> by pak byla situace, kdyby se p\u016fvodn\u00ed 20 km investice d\u00e1le zmen\u0161ovala, nap\u0159\u00edklad, kdyby se ob\u011b rodiny rozhodly, \u017ee se p\u016fjdou pod\u00edvat na pra\u017esk\u00e9 Starom\u011bstsk\u00e9 n\u00e1m\u011bst\u00ed na v\u00e1no\u010dn\u00ed strome\u010dek, v\u00a0extr\u00e9mn\u00edm p\u0159\u00edpad\u011b by pak mohla prod\u011ble\u010dn\u00e1 situace vypadat jako ozna\u010den\u00fd okam\u017eik \u201eD\u201c<\/strong>, kdyby se vzd\u00e1lenost zmen\u0161ila tak, \u017ee by byla z\u00e1porn\u00e1, toto by pak nastalo v\u00a0p\u0159\u00edpad\u011b, kdyby modr\u00e9 auto pro\u0165alo trasu auta \u010derven\u00e9ho a zam\u00ed\u0159ilo na sever nebo trasa auta \u010derven\u00e9ho pro\u0165ala trasu auta modr\u00e9ho a zam\u00ed\u0159ila na jih. V\u00a0jednoduch\u00e9m shrnut\u00ed bych pak mohl konstatovat, \u017ee p\u0159i investici v\u00a0okam\u017eiku mnou vypozorovan\u00e9 nejkrat\u0161\u00ed vzd\u00e1lenosti by bylo okam\u017eit\u00fdm \u00fasp\u011bchem, pokud bych se ob\u011b auta po po\u0159\u00edzen\u00ed t\u00e9to investice okam\u017eit\u011b vydaly opa\u010dn\u00fdm sm\u011brem, \u010derven\u00e9 jelo na sever do Var\u0161avy a modr\u00e9 na jih do Budape\u0161ti a ne\u00fasp\u011bchem, kdyby ob\u011b auta provedly prav\u00fd opak a jejich vzd\u00e1lenost by se nad\u00e1le zkracovala a mohla by b\u00fdt tak\u00e9 z\u00e1porn\u00e1 (kdyby se jejich trasy pro\u0165aly). Pokud bych m\u011bl \u201efundament\u00e1ln\u011b pravdu\u201c a ob\u011b auta jela stejn\u00fdm sm\u011brem, tak by pouze sta\u010dilo, aby modr\u00e9 jelo rychleji ne\u017e \u010derven\u00e9 a byl by to \u00fasp\u011bch a tak\u00e9 by \u00fasp\u011bchem byl opa\u010dn\u00fd p\u0159\u00edpad, kdyby \u010derven\u00e9 auto jelo po sv\u00e9 trase rychleji ne\u017e modr\u00e9. Jedin\u00fdm ne\u00fasp\u011bchem by pak z\u016fstalo, \u017ee se cesty obou aut budou k\u00a0sob\u011b bl\u00ed\u017eit, p\u0159esto\u017ee jsem zachytil jejich pohyb v\u00a0domn\u011bl\u00e9 nejkrat\u0161\u00ed mo\u017en\u00e9 vzd\u00e1lenosti.\u00a0 \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Stejn\u011b by to pak dopadlo s opa\u010dnou\u00a0investic\u00ed, kdybych si mohl vsadit na nejv\u011bt\u0161\u00ed mo\u017enou vzd\u00e1lenost<\/strong>, ale ob\u011b auta by se op\u011bt pohybovala r\u016fznou rychlost\u00ed nebo m\u011bla krom\u011b cestov\u00e1n\u00ed tak\u00e9 jin\u00e9 aktivity, kter\u00e9 by jejich rychlost upravovaly. Potom by situace mohly vypadat jako na obr\u00e1zku.<\/span><\/p>\n

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\u00a0 Mod\u0159\u00ed se ob\u010derstvuj\u00ed v\u00a0motorestu za Prahou a obsluha nen\u00ed nejrychlej\u0161\u00ed, zat\u00edmco \u010cerven\u00ed vytahuj\u00ed nachystan\u00e9 sva\u010diny a konzumuj\u00ed za j\u00edzdy (situace \u201eA\u201c<\/strong>). Velikost vzd\u00e1lenosti se nat\u00e1hne na \u00factyhodn\u00fdch 170 km a j\u00e1 investuji do t\u00e9to vzd\u00e1lenosti<\/strong> tak, \u017ee si mysl\u00edm, \u017ee ji\u017e v\u011bt\u0161\u00ed b\u00fdt nem\u016f\u017ee a prod\u00e1v\u00e1m ji<\/strong> za vyzna\u010den\u00fdch 170*+10 USD = +1.700 USD. Sta\u010d\u00ed pak p\u0159edpokl\u00e1dat, \u017ee ani jedna z\u00a0pos\u00e1dek nezm\u011bn\u00ed dramaticky sv\u00e9 pl\u00e1ny, nap\u0159\u00edklad Proch\u00e1zkovi v\u00a0\u010derven\u00e9m aut\u011b si c\u00edl sv\u00e9 cesty rozmysl\u00ed a m\u00edsto do P\u0159erova pojedou do Var\u0161avy nebo Novotn\u00ed zm\u011bn\u00ed sv\u016fj c\u00edl na Budape\u0161\u0165, to by byl jedin\u00fd p\u0159\u00edpad, kdyby m\u00e1 investice prod\u011blala (situace \u201eD\u201c<\/strong>). Ve zbyl\u00fdch p\u0159\u00edpadech, ozna\u010den\u00fdch jako mo\u017enosti \u201eB\u201c<\/strong> a \u201eC\u201c<\/strong> bych v\u017edy svou investici zlikvidoval za men\u0161\u00ed pen\u00edze, ne\u017e jsem za ni obdr\u017eel a vyk\u00e1zala bych profit, rychlost obou automobil\u016f by pak mohla b\u00fdt r\u016fzn\u00e1.<\/span><\/p>\n

\u00a0\u00a0\u00a0 Zobrazen\u00e9 zobecn\u011bn\u00ed na pohybech aut a m\u011b\u0159en\u00ed jejich vzd\u00e1lenosti pak v\u00a0obchodn\u00ed praxi znamen\u00e1 investov\u00e1n\u00ed do rozd\u00edl\u016f cen sledovan\u00fdch investi\u010dn\u00edch n\u00e1stroj\u016f, kter\u00e9 maj\u00ed co nejv\u00edce spole\u010dn\u00e9ho a jejich\u017e chov\u00e1n\u00ed bych mohl dob\u0159e predikovat. Budu m\u00edt tedy z\u00e1kladn\u00ed pov\u011bdom\u00ed o typech automobil\u016f, jejich konstrukci a mo\u017en\u00e9 rychlosti, nam\u00edsto mapy mo\u017en\u00fdch pohyb\u016f se pak budu sna\u017eit pochopit fundamenty, kter\u00e9 mohou na konstrukci a rychlost p\u016fsobit. Pozorov\u00e1n\u00edm mo\u017en\u00fdch minul\u00fdch pohyb\u016f za sou\u010dasn\u00e9ho pochopen\u00ed konstrukce n\u00e1stroj\u016f a souvisej\u00edc\u00edch fundament\u016f by mohlo vytvo\u0159it dobr\u00fd znalostn\u00ed investi\u010dn\u00ed mix, kter\u00fd by mohl v\u00a0praxi obstojn\u011b fungovat.\u00a0 \u00a0\u00a0<\/span><\/p>\n

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VX Futures Spread<\/span><\/strong><\/h1>\n

\u00a0 P\u0159eveden\u00ed obecn\u00e9ho p\u0159\u00edkladu do praxe by m\u011blo ji\u017e prakticky nazna\u010dit ur\u010dit\u00e9 obchodn\u00ed mo\u017enosti. Proto\u017ee lze spreadem, tedy vzd\u00e1lenost\u00ed mezi ur\u010dit\u00fdmi hodnotami m\u011b\u0159it nekone\u010dn\u00e9 mno\u017estv\u00ed investi\u010dn\u00edch n\u00e1stroj\u016f a j\u00e1 jsem se rozhodl toto demonstrovat na deriv\u00e1tech volatility \u2013 VX futures<\/strong>, tak potom hodnota spreadu t\u011bchto VX futures bude jednodu\u0161e znamenat rozd\u00edl cen dvou vybran\u00fdch VX futures kontrakt\u016f<\/strong> v\u00a0ur\u010dit\u00e9m \u010dasov\u00e9m okam\u017eiku<\/strong>. Pokud tedy hodnota \u00fanorov\u00e9ho kontraktu VX futures je dnes 12.25 bodu a sou\u010dasn\u011b hodnota b\u0159eznov\u00e9ho kontraktu je 11.33 bodu, tak jejich rozd\u00edl (spread) je v absolutn\u00ed hodnot\u011b 0.92 bodu. Takto mohu hodnotu spreadu na obou VX futures kontraktech kontinu\u00e1ln\u011b pozorovat a sledovat nap\u0159\u00edklad v\u00a0obchodn\u00ed platform\u011b a z\u00a0t\u011bchto vypozorovan\u00fdch hodnot pak usuzovat na ur\u010dit\u00e9 souvislosti a zejm\u00e9na vyb\u00edrat mo\u017en\u00e9 vhodn\u00e9 obchodn\u00ed okam\u017eiky. Pokud bych si vytvo\u0159il takov\u00e9 rozd\u00edly na historick\u00fdch datech, tedy prost\u00e9 ode\u010dten\u00ed nap\u0159\u00edklad ka\u017edodenn\u00edch Close hodnot t\u011bchto dvou sledovan\u00fdch VX futures, mohl bych pak tyto hodnoty graficky zn\u00e1zornit a mohly by vypadat jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

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\u00a0 \u00a0Na obr\u00e1zku je vyobrazen nikoliv<\/strong> cenov\u00fd pohyb n\u011bjak\u00e9ho jednotliv\u00e9ho VX futures<\/strong> kontraktu, ale vypo\u010dten\u00fd cenov\u00fd rozd\u00edl dvou VX futures<\/strong>. Zat\u00edmco jednotliv\u00e9 VX futures si \u017eij\u00ed sv\u016fj vlastn\u00ed \u201ecenov\u00fd \u017eivot\u201c, v\u00fdvoj rozd\u00edlu jejich cen m\u00e1 sv\u016fj vlastn\u00ed p\u0159\u00edb\u011bh. Nezaj\u00edm\u00e1 m\u011b nyn\u00ed vlastn\u00ed pohyb ka\u017ed\u00e9ho z obou automobil\u016f, kter\u00e9 se \u0159\u00edt\u00ed na Moravu, ale zaj\u00edm\u00e1 m\u011b nyn\u00ed pouze jejich okam\u017eit\u00e1 vzd\u00e1lenost. Co na grafu mohu vlastn\u011b zcela jednodu\u0161e vypozorovat? Pr\u016fb\u011bh jejich vzd\u00e1lenost\u00ed<\/strong> (cenov\u00fdch rozd\u00edl\u016f), ve vztahu k\u00a0mo\u017en\u00e9 investici do takov\u00e9 vzd\u00e1lenosti. Na grafu dvoulet\u00e9ho pr\u016fb\u011bhu pak mohu pozorovat dv\u011b extr\u00e9mn\u00ed hodnoty ozna\u010den\u00e9 barevn\u00fdmi krou\u017eky. \u010cerven\u00fd krou\u017eek na hodnot\u011b -0.80 ozna\u010duje nejmen\u0161\u00ed vzd\u00e1lenost obou cen za sledovan\u00e9 obdob\u00ed a \u00a0zelen\u00fd krou\u017eek na hodnot\u011b +1.95 zobrazuje nejv\u011bt\u0161\u00ed cenovou vzd\u00e1lenost za sledovan\u00e9 obdob\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Pokud bych vid\u011bl takov\u00fd cenov\u00fd graf u b\u011b\u017en\u00e9ho investi\u010dn\u00edho n\u00e1stroje, nap\u0159\u00edklad akcie, patrn\u011b by bylo moudr\u00e9 na hodnot\u011b ozna\u010den\u00e9 \u010derven\u00fdm krou\u017ekem<\/strong> do pozice vstoupit Long<\/strong> a o\u010dek\u00e1vat cenov\u00fd vzestup nebo za situace ozna\u010den\u00e9 zelen\u00fdm krou\u017ekem<\/strong>\u00a0do pozice vstupovat Short<\/strong> a o\u010dek\u00e1vat naopak cenov\u00fd pokles. M\u00e1 to svou logiku a pro jej\u00ed jednoduchost se bude dobr\u00e9 j\u00ed dr\u017eet. Abych mohl takovou logiku dodr\u017eovat, mus\u00edm si p\u0159i p\u0159\u00edstupu k\u00a0mo\u017en\u00e9mu obchodov\u00e1n\u00ed VX spread\u016f vytvo\u0159it soubor jednoduch\u00fdch metodick\u00fdch pravidel<\/strong>, abych mohl takov\u00e9 chov\u00e1n\u00ed cenov\u00fdch rozd\u00edl\u016f nejenom analyzovat v\u00a0minulosti, ale zejm\u00e9na je jednotn\u011b pozorovat v\u00a0obchodn\u00ed platform\u011b a tak\u00e9 n\u00e1sledn\u011b obchodovat.<\/span><\/p>\n

\u00a0\u00a0 Proto\u017ee je mi vlastn\u00ed kupovat Long co je levn\u00e9 a \u010dekat na vzestup ceny nebo prod\u00e1vat Short co je drah\u00e9 a n\u00e1sledn\u011b kupovat levn\u011bji zp\u011bt, prvn\u00edm metodick\u00fdm pravidlem bude sledovanou vzd\u00e1lenost obou VX futures zachycovat tak, \u017ee VX futures s\u00a0bli\u017e\u0161\u00ed expirac\u00ed<\/strong> budu p\u0159edpokl\u00e1dat \u017ee po\u0159izuji\u00a0v\u017edy Short<\/strong> a vzd\u00e1len\u011bj\u0161\u00ed VX futures<\/strong> budu p\u0159edpokl\u00e1dat, \u017ee po\u0159izuji v\u017edy Long<\/strong>. Budu tak moci jednotn\u011b sledovat chov\u00e1n\u00ed cenov\u00fdch rozd\u00edl\u016f mezi r\u016fzn\u00fdmi kontrakty a tak\u00e9 l\u00e9pe porozum\u011bt jejich pr\u016fb\u011bh\u016fm a tak\u00e9 vstupovat do mo\u017en\u00fdch obchod\u016f. Pro\u010d zrovna takto?<\/span><\/p>\n

\u00a0\u00a0 Proto\u017ee jsou v p\u0159ev\u00e1\u017en\u00e9 \u010d\u00e1sti \u010dasu<\/strong> jednotliv\u00e9 VX futures v\u00a0konstelaci Contango<\/strong>, tedy vzd\u00e1len\u011bj\u0161\u00ed futures<\/strong> jsou v\u017edy dra\u017e\u0161\u00ed<\/strong> ne\u017e bli\u017e\u0161\u00ed futures<\/strong>, bude p\u0159i sledov\u00e1n\u00ed pr\u016fb\u011bhu Short bli\u017e\u0161\u00ed\/Long vzd\u00e1len\u011bj\u0161\u00ed jejich sledovan\u00e1 cena v\u017edy vyjad\u0159ovat mnou po\u017eadovan\u00fd a obl\u00edben\u00fd p\u0159\u00edstup kupovat za co nejm\u00e9n\u011b a prod\u00e1vat co nejdr\u00e1\u017e. Pokud bude rozd\u00edl cen mezi sledovan\u00fdmi futures velmi mal\u00fd nebo dokonce z\u00e1porn\u00fd, budu takov\u00fd spread kupovat p\u0159\u00edkazem BUY a o\u010dek\u00e1vat, \u017ee se jeho cena zv\u00fd\u0161\u00ed, stejn\u011b jako nap\u0159\u00edklad u po\u0159\u00edzen\u00ed oby\u010dejn\u00e9 akcie a naopak, pokud bude hodnota takov\u00e9ho spreadu velk\u00e1 a kladn\u00e1, budu takov\u00fd spread prod\u00e1vat p\u0159\u00edkazem SELL a o\u010dek\u00e1vat, \u017ee jeho cena klesne. Situaci pak mohu zobrazit jako na obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0 P\u0159esto\u017ee to vypad\u00e1 podivn\u011b, p\u0159esn\u011b takto to podle m\u00e9ho funguje nejl\u00e9pe. Pro v\u011bt\u0161\u00ed n\u00e1zornost rozeberu oba typy obchod\u016f.<\/span><\/p>\n

Buy VX Spread<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Pokud bych si rozebral vyzna\u010denou situaci BUY<\/strong>, tak to znamen\u00e1, \u017ee dokonce \u201enakupuji za m\u00ednus\u201c, co\u017e se zd\u00e1 jako velmi nelogick\u00e9 a p\u0159irovnal bych to k\u00a0situaci, kdy si kupuji ta tr\u017enici kilo jablek a nejenom\u017ee za n\u011b nezaplat\u00edm ani korunu, ale dokonce dost\u00e1v\u00e1m za takov\u00fd n\u00e1kup zaplaceno. U m\u00e9ho \u201en\u00e1kupu za m\u00ednus\u201c to toti\u017e znamen\u00e1, \u017ee p\u0159i logice p\u0159ijat\u00e9 metodiky – bli\u017e\u0161\u00ed VX futures Short a z\u00e1rove\u0148 druh\u00e9 VX futures Long, je bli\u017e\u0161\u00ed VX futures dra\u017e\u0161\u00ed ne\u017e vzd\u00e1len\u011bj\u0161\u00ed VX futures. Nap\u0159\u00edklad VX \u00fanorov\u00e9 futures bude st\u00e1t 12.50 bodu a VX b\u0159eznov\u00e9 futures bude st\u00e1t 11.70 bodu. Short \u00fanorov\u00fdm VX futures<\/strong> za 12.50 bodu obdr\u017e\u00edm +12.500 USD, abych n\u00e1sledn\u011b utratil -11.700 USD za n\u00e1kup vzd\u00e1len\u011bj\u0161\u00edho b\u0159eznov\u00e9ho Long VX futures<\/strong> za 11.70 bodu. Obdr\u017e\u00edm po\u017eadovanou spreadovou pozici a na \u00fa\u010dtu mi p\u0159ibylo +800 USD<\/strong>, za po\u0159\u00edzen\u00ed pozice BUY VX Spread tak dost\u00e1v\u00e1m zaplaceno.<\/span><\/p>\n

\u00a0\u00a0 S\u00a0odstupem n\u011bjak\u00e9ho \u010dasu, na hodnot\u011b m\u00e9ho nakoupen\u00e9ho VX spreadu<\/strong>\u00a0nach\u00e1zej\u00edc\u00edho se na \u00farovni +0.50 bodu, se rozhoduji ze spreadov\u00e9 pozice vystoupit<\/strong>. Cenov\u00fd rozd\u00edl po\u0159\u00edzen\u00fd na n\u00edzk\u00e9 hodnot\u011b (dokonce z\u00e1porn\u00e9 -0.80 bodu) se \u201erozt\u00e1hl\u201c<\/strong> na kladn\u00fd ve v\u00fd\u0161i +0.50 bodu. Prakticky to znamenalo, \u017ee Short VX \u00fanorov\u00e9 futures z\u00a0m\u00e9 spreadov\u00e9 pozice ztratilo na sv\u00e9 cen\u011b a Long VX b\u0159eznov\u00e9 futures naopak pos\u00edlilo. M\u00e9 Short VX \u00fanorov\u00e9 futures<\/strong> bude na hodnot\u011b 11.90 a mus\u00edm jej za tuto hodnotu vykoupit zp\u011bt<\/strong>, vynakl\u00e1d\u00e1m tak -11.900 USD na tuto likvidaci. Long VX b\u0159eznov\u00e9 VX futures<\/strong> stoj\u00ed 12.40 a za tuto hodnotu se tohoto VX futures prodejem zbavuji<\/strong> a inkasuji +12.400 USD. Celkov\u011b si za tuto likvidaci p\u0159ipisuji +500 USD. Proto\u017ee jsem ji\u017e p\u0159i po\u0159\u00edzen\u00ed obdr\u017eel +800 USD a nyn\u00ed p\u0159id\u00e1v\u00e1m dal\u0161\u00edch +500 USD, je m\u016fj celkov\u00fd profit +1.300 USD<\/strong>.<\/span><\/p>\n

Sell VX Spread<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Situace SELL<\/strong> pak znamen\u00e1 zcela opa\u010dn\u00fd p\u0159\u00edstup. Prod\u00e1v\u00e1m \u201eza co nejv\u00edce\u201c, abych posl\u00e9ze snad levn\u011bji vykoupil zp\u011bt. Pokud jsem prov\u00e1d\u011bl BUY prodejem bli\u017e\u0161\u00edho VX futures a n\u00e1kupem vzd\u00e1len\u011bj\u0161\u00edho VX futures, tak p\u0159\u00edkaz SELL bude zcela opa\u010dn\u00fd, bli\u017e\u0161\u00ed VX futures budu kupovat a vzd\u00e1len\u011bj\u0161\u00ed VX futures budu prod\u00e1vat. V\u00a0m\u00e9 situaci z\u00a0obr\u00e1zku pak vypl\u00fdv\u00e1, \u017ee jsem vstoupil do Short VX spreadu za +1.95, tedy \u017ee m\u00e9 bli\u017e\u0161\u00ed VX \u00fanorov\u00e9 futures je levn\u011bj\u0161\u00ed ne\u017e sou\u010dasn\u011b po\u0159izovan\u00e9 VX b\u0159eznov\u00e9 vzd\u00e1len\u011bj\u0161\u00ed futures. Podle m\u00e9 metodiky n\u00e1kupem Long VX \u00fanorov\u00e9ho futures<\/strong> na cen\u011b 12.80 bodu jsem vynalo\u017eil -12.800 USD, ale prodejem Short VX b\u0159eznov\u00e9ho futures<\/strong> s\u00a0cenou 14.75 bodu m\u011b p\u0159ineslo tr\u017ebu +14.750 USD, p\u0159ijal jsem tak +1.950 USD<\/strong>.<\/span><\/p>\n

\u00a0\u00a0\u00a0 Uplynut\u00edm n\u011bjak\u00e9 doby se prodan\u00fd cenov\u00fd rozd\u00edl<\/strong> mezi ob\u011bma VX futures \u201esmrskl\u201c<\/strong> a je nyn\u00ed ji\u017e na hodnot\u011b +1.00 bodu. Rozhodl jsem se, \u017ee z\u00a0pozice vystoup\u00edm<\/strong>. Nezaj\u00edm\u00e1 m\u011b nyn\u00ed mnoho, na jak\u00e9 konkr\u00e9tn\u00ed hodnot\u011b se jednotliv\u00e9 VX futures nach\u00e1zej\u00ed, nap\u0159\u00edklad mohu p\u0159edpokl\u00e1dat, \u017ee se vlivem tr\u017en\u00edch neklid\u016f ceny obou VX futures zv\u00fd\u0161ily a jsou na hodnot\u00e1ch – VX \u00fanorov\u00e9 futures na cen\u011b 16.30 a VX b\u0159eznov\u00e9 futures na cen\u011b 17.30. Long \u00danorov\u00e9 VX futures<\/strong> ze spreadov\u00e9 pozice prod\u00e1v\u00e1m<\/strong> za 16.30 a z\u00edsk\u00e1v\u00e1m +16.300 USD a naopak b\u0159eznov\u00e9 Short VX futures<\/strong>\u00a0p\u0159i uzav\u0159en\u00ed kupuji zp\u011bt<\/strong> za -17.300 USD, vynakl\u00e1d\u00e1m tak na uzav\u0159en\u00ed spreadov\u00e9 pozice -1.000 USD. Proto\u017ee jsem ale utr\u017eil p\u0159i po\u0159\u00edzen\u00ed +1.950 USD, je m\u016fj celkov\u00fd profit +950 USD<\/strong>.<\/span><\/p>\n

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

\u00a0\u00a0 Ka\u017ed\u00e9mu promy\u0161len\u00e9mu a seri\u00f3zn\u00edmu obchodov\u00e1n\u00ed by m\u011bly p\u0159edch\u00e1zet testy a anal\u00fdzy historick\u00fdch dat<\/strong> k\u00a0osvojen\u00ed z\u00e1kladn\u00edch vzorc\u016f chov\u00e1n\u00ed p\u0159\u00edpadn\u00fdch budouc\u00edch obchod\u016f a k z\u00edsk\u00e1n\u00ed celkov\u00e9ho citu zam\u00fd\u0161len\u00fdch vstup\u016f a v\u00fdstup\u016f. Ne\u017e p\u0159ikro\u010d\u00edm k\u00a0jednoduch\u00e9mu porozum\u011bn\u00ed jednotliv\u00fdch p\u0159\u00edstup\u016f a tak\u00e9 k\u00a0uk\u00e1zk\u00e1m, jak je mo\u017en\u00e9 takov\u00e9 obchody realizovat prost\u0159ednictv\u00edm m\u00e9ho brokera (Interactive Brokers) a jeho platformy TWS (v dal\u0161\u00edm z\u00a0\u010dl\u00e1nk\u016f), uk\u00e1\u017eu jednoduchou metodu z\u00edsk\u00e1n\u00ed historick\u00fdch dat k experimentov\u00e1n\u00ed a n\u00e1stin pr\u00e1ce s\u00a0nimi. Mo\u017en\u00e1 je podivn\u00e9, \u017ee popisu z\u00edsk\u00e1v\u00e1n\u00ed dat v\u011bnuji takovou pozornost, ale s p\u0159ekvapen\u00edm mus\u00edm v\u017edy konstatovat, kdy\u017e ob\u010das \u010del\u00edm i naprosto trivi\u00e1ln\u00edm dotaz\u016fm, z jakou nezodpov\u011bdnost\u00ed a neznalost\u00ed se n\u011bkte\u0159\u00ed obchodn\u00edci pou\u0161t\u011bj\u00ed do obchodov\u00e1n\u00ed, ani\u017e by m\u011bli alespo\u0148 z\u00e1kladn\u00ed postupy a mo\u017en\u00e9 situace natr\u00e9nov\u00e1ny na n\u011bjak\u00fdch vzorc\u00edch dat nebo vypozorov\u00e1ny na historick\u00e9m chov\u00e1n\u00ed sv\u00fdch prov\u00e1d\u011bn\u00fdch obchod\u016f. Je docela mo\u017en\u00e9, \u017ee vyu\u017e\u00edv\u00e1te jin\u00e9 a kvalitn\u011bj\u0161\u00ed datov\u00e9 zdroje, pop\u00ed\u0161u nejjednodu\u0161\u0161\u00ed metody pro z\u00e1kladn\u00ed pou\u017eit\u00ed\u00a0<\/span><\/p>\n

\u00a0\u00a0\u00a0 Z\u00e1kladn\u00edm zdrojem historick\u00fdch dat VX futures<\/strong> je webov\u00e1 str\u00e1nka CFE (Chicago Futures Exchange)<\/strong> nebo datab\u00e1zov\u00fd server Quandl.com<\/strong>, nejjednodu\u0161\u0161\u00edm analyz\u00e1torem t\u011bchto dat je pak Excel.<\/strong> Zpracov\u00e1n\u00ed t\u011bchto dat v\u00a0Excelu by pak m\u011blo sta\u010dit, bez pokro\u010dilej\u0161\u00edch znalost\u00ed datab\u00e1zov\u00fdch aplikac\u00ed a programov\u00e1n\u00ed, k\u00a0nejjednodu\u0161\u0161\u00ed orientaci a anal\u00fdze z\u00edskan\u00fdch dat. Oba datov\u00e9 zdroje poskytuj\u00ed (prozat\u00edm) z\u00e1kladn\u00ed data zdarma<\/strong> a ka\u017ed\u00fd zdroj nab\u00edz\u00ed m\u00edrn\u011b n\u011bco jin\u00e9ho.<\/span><\/p>\n

CFE data<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Na str\u00e1nk\u00e1ch CFE – Chicago Futures Exchange (sou\u010d\u00e1st CBOE) lze historick\u00e1 data jednotliv\u00fdch VX futures kontrakt\u016f zobrazit zde<\/a>.<\/span> <\/strong>Po otev\u0159en\u00ed t\u011bchto str\u00e1nek s\u00a0daty m\u016f\u017eeme vid\u011bt n\u00e1sleduj\u00edc\u00ed obr\u00e1zek.<\/span><\/p>\n

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\u00a0\u00a0 Str\u00e1nka nab\u00edz\u00ed jednotliv\u00e1 data ke sta\u017een\u00ed zp\u011btn\u011b a\u017e do roku 2004 pro jednotliv\u00e1 VX futures. Za l\u00e9ta 2004 \u2013 2014 jsou k dispozici jednotliv\u00e1 data pro m\u011bs\u00ed\u010dn\u00ed VX futures<\/strong> kontrakty, od roku 2015, kdy se za\u010dalo obchodovat tak\u00e9 z\u00a0weeklys kontrakty, jsou ke sta\u017een\u00ed tak\u00e9 data t\u011bchto t\u00fddenn\u00edch VX futures<\/strong>. P\u0159ehled je strukturov\u00e1n tak, \u017ee jsou nejd\u0159\u00edve zobrazeny jednotliv\u00e9 \u201evelk\u00e9\u201c m\u011bs\u00ed\u010dn\u00ed VX futures kontrakty (\u010derven\u00fd obd\u00e9ln\u00edk) s\u00a0expirac\u00ed zpravidla ve t\u0159et\u00ed st\u0159edu v\u00a0kalend\u00e1\u0159n\u00edm m\u011bs\u00edci a pot\u00e9 jednotliv\u00e9 t\u00fddenn\u00ed VX futures (hn\u011bd\u00fd obd\u00e9ln\u00edk), kter\u00e9 vypl\u0148uj\u00ed obdob\u00ed mezi t\u011bmito m\u011bs\u00ed\u010dn\u00edmi kontrakty. Jak takov\u00e9 data na\u010d\u00edst do sv\u00e9ho Excelu?<\/span><\/p>\n

\u00a0\u00a0 Po kliknut\u00ed na p\u0159\u00edslu\u0161n\u00fd kontrakt se mi st\u00e1hne do po\u010d\u00edta\u010de datov\u00fd soubor ve form\u00e1tu .CSV (comma-separated value), tedy jak\u00e1si zm\u011b\u0165 hodnot, \u201eodd\u011blen\u00fdch od sebe \u010d\u00e1rkou\u201c.<\/span><\/p>\n

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\u00a0\u00a0 Abych mohl takov\u00fd soubor do m\u00e9ho excelovsk\u00e9ho se\u0161itu na\u010d\u00edst a pracovat s\u00a0n\u00edm, mus\u00edm na otev\u0159en\u00e9m pr\u00e1zdn\u00e9m listu vybrat z\u00a0p\u00e1su karet nab\u00eddku \u201eData<\/strong>\u201c<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0n\u00e1sledn\u00e9 nab\u00eddky polo\u017eky Data vyberu mo\u017enost \u201eZ textu\/CSV<\/strong>\u201c a ve vysko\u010den\u00e9m okn\u011b vyhled\u00e1m na sv\u00e9m po\u010d\u00edta\u010di sta\u017een\u00fd datov\u00fd soubor .csv s\u00a0VX futures, kter\u00fd ozna\u010d\u00edm kliknut\u00edm<\/strong> a n\u00e1sledn\u011b potvrd\u00edm instrukci \u201eImportovat<\/strong>\u201c<\/span><\/p>\n

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\u00a0\u00a0 N\u00e1sledn\u011b se otev\u0159ou mo\u017enosti a volby pro import t\u011bchto dat. Podle verze Excelu jste postupn\u011b vyzv\u00e1ni k\u00a0potvrzen\u00ed, zda se jedn\u00e1 o soubor dat odd\u011blen\u00fd \u010d\u00e1rkou<\/strong> (\u201eAno\u201c) a m\u00edsto, kam chcete v\u00a0se\u0161itu um\u00edstit prvn\u00ed stahovanou bu\u0148ku s\u00a0daty. P\u0159esv\u011bd\u010d\u00edm se, zda jsem vybral za odd\u011blova\u010d \u010d\u00e1rku a potvrd\u00edm \u201eNa\u010d\u00edst do\u2026<\/strong>\u201c<\/span><\/p>\n

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\u00a0 Zobraz\u00ed se posledn\u00ed volba, kterou potvrd\u00edm, \u017ee chci vytvo\u0159it \u201etabulku<\/strong>\u201c, chci jej\u00ed prvn\u00ed bu\u0148ku na\u010d\u00edst do aktu\u00e1ln\u00edho listu a bu\u0148ky \u201eB3<\/strong>\u201c a celou volbu potvrd\u00edm \u201eOK<\/strong>\u201c\u00a0<\/span><\/p>\n

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\u00a0\u00a0 V\u00fdsledkem importu je tabulka s\u00a0pot\u0159ebn\u00fdmi daty pro dal\u0161\u00ed pr\u00e1ci.<\/span><\/p>\n

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\u00a0\u00a0\u00a0 Pokud pracujete s\u00a0\u010deskou lokalizac\u00ed sv\u00e9ho Excelu, naraz\u00edte na praktick\u00fd probl\u00e9m, kdy nep\u016fjde s\u00a0daty pracovat, proto\u017ee jsou v \u201eamerick\u00e9m tvaru<\/strong>\u201c, tedy desetinn\u00e9 \u010d\u00edslo je odd\u011bleno te\u010dkou a nikoliv \u010d\u00e1rkou. Jednoduch\u00e9 matematick\u00e9 operace pak nep\u016fjdou prov\u00e1d\u011bt. \u0158e\u0161en\u00edm jsou dv\u011b mo\u017enosti.<\/strong> P\u0159epnut\u00ed po\u010d\u00edta\u010de na americk\u00fd form\u00e1t \u010d\u00edsel nebo prov\u00e9st hromadnou z\u00e1m\u011bnu \u201ete\u010dky za \u010d\u00e1rku\u201c. Preferuji v\u00a0tomto p\u0159\u00edpad\u011b hromadnou z\u00e1m\u011bnu<\/strong>, proto\u017ee p\u0159epnut\u00ed form\u00e1tu na americk\u00fd se dotkne nastaven\u00ed cel\u00e9ho po\u010d\u00edta\u010de a je nutn\u00e9 jej po proveden\u00e9 pr\u00e1ci op\u011bt \u201ep\u0159ehodit na \u010de\u0161tinu\u201c. Jak takovou hromadnou z\u00e1m\u011bnu prov\u00e9st?<\/span><\/p>\n

\u00a0\u00a0 Vyberu v\u00a0tabulce ta\u017een\u00edm my\u0161\u00ed oblast, ve kter\u00e9 budu cht\u00edt prov\u00e9st v\u00fdm\u011bnu te\u010dky za \u010d\u00e1rku.<\/span><\/p>\n

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\u00a0\u00a0 Na p\u00e1su karet vyberu z\u00e1lo\u017eku \u201eDom\u016f<\/strong>\u201c a na t\u00e9to z\u00e1lo\u017ece zcela vpravo vyberu mo\u017enost \u201eNaj\u00edt a vybrat<\/strong>\u201c<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0nab\u00edzen\u00e9ho menu pak vyberu \u201eNahradit\u2026\u201c<\/strong>, aby se mi otev\u0159elo dialogov\u00e9 okno k\u00a0dopln\u011bn\u00ed po\u017eadavku. V\u00a0mo\u017enosti \u201eNaj\u00edt\u201c<\/strong> uvedu znak te\u010dky a v\u00a0mo\u017enosti \u201eNahradit\u201c<\/strong> uvedu znak \u010d\u00e1rky. Po v\u00fdb\u011bru mo\u017enosti \u201eNahradit v\u0161e\u201c<\/strong> se takov\u00fd \u00fakon provede.<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0tabulce m\u00e1m pak v\u0161echna data v\u00a0\u010d\u00edseln\u00e9m \u201e\u010desk\u00e9m tvaru\u201c a m\u00e1m je p\u0159izp\u016fsobena pro dal\u0161\u00ed po\u010detn\u00ed operace.<\/span><\/p>\n

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\u00a0\u00a0 Pokud jsem si tedy ji\u017e data st\u00e1hl do sv\u00e9ho po\u010d\u00edta\u010de a m\u00e1m je v\u00a0po\u010de\u0161t\u011bn\u00e9 verzi p\u0159ipraven\u00e9 k\u00a0anal\u00fdze, mus\u00edm si nejd\u0159\u00edve uv\u011bdomit, jak je tabulka strukturovan\u00e1, aby m\u00e9 v\u00fdpo\u010dty byly co nejp\u0159esn\u011bj\u0161\u00ed. K\u00a0uk\u00e1zce jsem si vybral dat t\u00fddenn\u00ed VX futures<\/strong> s\u00a0expirac\u00ed<\/strong> ve st\u0159edu 7. \u010dervna 2017<\/strong>, tato st\u0159eda n\u00e1le\u017eela do 23. t\u00fddne roku 2017. Upraven\u00e1 tabulka historick\u00fdch dat, pro toto konkr\u00e9tn\u00ed VX t\u00fddenn\u00ed futures, by pak mohla vypadat jako na obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0poskytnut\u00fdch dat vypl\u00fdv\u00e1, \u017ee toto VX futures se za\u010dalo<\/strong> obchodovat 27.4.2017<\/strong> a expirovalo<\/strong> dne 7. \u010dervna 2017 <\/strong>(st\u0159eda). V\u00a0jednotliv\u00fdch sloupc\u00edch m\u00e1m uvedeny hodnoty Open, High, Low a Close, kter\u00e9 jsou pochopiteln\u00e9 a zobrazuj\u00ed \u00fadaje o cenov\u00fdch pohybech v\u00a0pr\u016fb\u011bhu ka\u017ed\u00e9ho jednotliv\u00e9ho dne. Hodnota Settle<\/strong> je vypo\u0159\u00e1dac\u00ed hodnotou, vypo\u010dtenou procedurou pro ticker VRO na ka\u017edodenn\u00ed b\u00e1zi<\/strong>, jak jsem o tuto hodnotu popisoval v\u00a0\u010dl\u00e1nc\u00edch o VX futures<\/a><\/span><\/strong>. CFE tuto hodnotu pro v\u0161echna aktu\u00e1ln\u011b obchodovan\u00e1 VX futures takto ka\u017edodenn\u011b vypo\u010d\u00edt\u00e1v\u00e1 a jejich hodnotu m\u016f\u017eete nal\u00e9zt pro aktu\u00e1ln\u00ed den zde<\/a><\/span><\/strong>. D\u016fle\u017eit\u00e9 je zji\u0161t\u011bn\u00ed, \u017ee v\u0161echny kompletn\u00ed \u00fadaje o Open, High, Low a Close jsou vypln\u011bny v\u00a0tabulce pouze do 6.6.2017<\/strong>, tedy do \u00fater\u00fd p\u0159edch\u00e1zej\u00edc\u00edho expiraci<\/strong>. V\u00a0expira\u010dn\u00ed st\u0159edu pak chyb\u00ed<\/strong> \u00fadaje o Open<\/strong> a Close<\/strong>, jednodu\u0161e proto, \u017ee v\u00a0tento den se ji\u017e VX futures Open a pota\u017emo Close nedo\u017eije, jeho obchodov\u00e1n\u00ed toti\u017e kon\u010d\u00ed t\u011bsn\u011b p\u0159ed st\u0159ede\u010dn\u00edm Open, aby bylo n\u00e1sledn\u011b za st\u0159ede\u010dn\u00ed Settlement hodnotu (VRO) vypo\u0159\u00e1d\u00e1no. Pozor tedy na v\u00fdb\u011br dat k historick\u00e9 anal\u00fdze v expira\u010dn\u00ed st\u0159edu, ceny Open a Close se tam ji\u017e nenach\u00e1zej\u00ed.\u00a0\u00a0<\/span><\/p>\n

Quandl.com data<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Druh\u00fdm datov\u00fdm zdrojem jsou datab\u00e1ze na Quandl.com<\/a>.<\/span><\/strong> Historick\u00e1 data VX futures z\u00a0Quandl.com poskytuj\u00ed k v\u00fdb\u011bru z\u00e1kladn\u00ed dva typy t\u011bchto dat a m\u016f\u017eu je z\u00edskat dvoj\u00edm zp\u016fsobem. Na Quandl.com jsou zdarma k\u00a0dispozici data pouze<\/strong> pro VX futures s\u00a0m\u011bs\u00ed\u010dn\u00ed expirac\u00ed<\/strong> (chyb\u00ed data weeklys VX futures) a tak\u00e9 data kontinu\u00e1ln\u00edch VX futures kontrakt\u016f<\/strong>.<\/span><\/p>\n

\u00a0\u00a0 Jak na\u010d\u00edst takov\u00e1 data do Excelu jsem popisoval v\u00a0tomto \u010dl\u00e1nku<\/a>.<\/strong><\/span> Pro pot\u0159ebu stahov\u00e1n\u00ed dat jednotliv\u00fdch m\u011bs\u00ed\u010dn\u00edch VX futures kontrakt\u016f, jako alternativa ke sta\u017een\u00ed t\u011bchto dat ze str\u00e1nky CFE v\u00a0p\u0159edchoz\u00edm odstavci, lze vyu\u017e\u00edt nainstalovan\u00fd excelovsk\u00fd dopln\u011bk a jeho pomoc\u00ed pak prov\u00e9st kroky k\u00a0v\u00fdb\u011bru po\u017eadovan\u00fdch dat. Pokud bych nap\u0159\u00edklad pot\u0159eboval data v\u0161ech kv\u011btnov\u00fdch m\u011bs\u00ed\u010dn\u00edch VX futures, bylo by hled\u00e1n\u00ed takov\u00fdch dat pomoc\u00ed dopl\u0148ku n\u00e1sleduj\u00edc\u00ed parametry.<\/span><\/p>\n

\u00a0\u00a0 V\u0161echny data t\u011bchto historick\u00fdch m\u011bs\u00ed\u010dn\u00edch VX futures<\/strong> se nach\u00e1zej\u00ed v\u00a0datab\u00e1zi<\/strong> s\u00a0n\u00e1zvem CBOE<\/strong>. Pokud bych ji cht\u011bl vyhledat, po otev\u0159en\u00ed p\u00e1su karet v\u00a0Excelu a kliknut\u00ed na z\u00e1lo\u017eku Quandl,<\/strong> vyberu mo\u017enost \u201eGet Data<\/strong>\u201c by se otev\u0159elo okno pro v\u00fdb\u011br datab\u00e1z\u00ed<\/span><\/p>\n

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\u00a0 \u00a0 \u00a0 1\/ Vyberu z\u00e1lo\u017eku \u201eFree\u201c<\/strong><\/span><\/p>\n

\u00a0 \u00a0 \u00a0 2\/ Do n\u00e1zvu datab\u00e1ze zad\u00e1m \u201eCBOE\u201c<\/strong><\/span><\/p>\n

\u00a0 \u00a0 \u00a0 3\/ Potvrd\u00edm \u201eNext\u201c<\/strong><\/span><\/p>\n

\u00a0\u00a0 Zobraz\u00ed se okno s\u00a0celou datab\u00e1z\u00ed CBOE, mus\u00edm tedy z\u00a0jej\u00ed nab\u00eddky vybrat pouze data t\u00fdkaj\u00edc\u00ed se m\u011bs\u00ed\u010dn\u00edch kv\u011btnov\u00fdch VX futures, pokud bych cht\u011b\u016f z\u00edskat data nap\u0159\u00edklad n\u011bjak\u00e9ho historick\u00e9ho kv\u011btnov\u00e9ho kontraktu.<\/span>\u00a0<\/span>\u00a0 \u00a0<\/span><\/p>\n

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\u00a0 \u00a0 \u00a0 1\/ V\u00a0okn\u011b v\u00fdb\u011bru zad\u00e1m \u201eCBOE\/VXK<\/strong>\u201c (K\u2026ozna\u010den\u00ed kv\u011btnov\u00fdch kontrakt\u016f)<\/span><\/p>\n

\u00a0 \u00a0 \u00a0 2\/ Ze zobrazen\u00fdch datov\u00fdch \u0159ad vyberu<\/strong> nap\u0159\u00edklad po\u017eadovan\u00e1 data pro VX futures s\u00a0expirac\u00ed v\u00a0kv\u011btnu 2016<\/span><\/p>\n

\u00a0 \u00a0 \u00a0 3\/ Vid\u00edm vybran\u00fd Quandl k\u00f3d<\/strong> pro p\u0159\u00edslu\u0161nou datovou \u0159adu \u2013 kv\u011bten 2016<\/span><\/p>\n

\u00a0 \u00a0 \u00a0 4\/ M\u00e1m mo\u017enost vid\u011bt vzorec<\/strong>, kter\u00fd se na\u010dte do bu\u0148ky v\u00a0Excelu pro p\u0159\u00edslu\u0161nou datovou \u0159adu<\/span><\/p>\n

\u00a0 \u00a0 \u00a0 5\/ Kliknut\u00edm na \u201eNext\u201c<\/strong> dokon\u010d\u00edm na\u010dten\u00ed dat<\/span><\/p>\n

\u00a0 \u00a0\u00a0V\u00fdhodou na\u010dten\u00ed t\u011bchto dat do \u010desk\u00e9ho Excelu je pak jejich okam\u017eit\u00e1 transformace na \u201e\u010desk\u00fd tvar\u201c \u010d\u00edsla, tak\u017ee s\u00a0nimi m\u016f\u017eu okam\u017eit\u011b za\u010d\u00edt pracovat.<\/span><\/p>\n

\u00a0\u00a0\u00a0 Krom\u011b t\u011bchto m\u011bs\u00ed\u010dn\u00edch VX futures nab\u00edz\u00ed Quandl tak\u00e9 mo\u017enost zobrazen\u00ed tzv. kontinu\u00e1ln\u00edho VX futures kontraktu<\/strong>. Tento kontinu\u00e1ln\u00ed kontrakt vznikl pospojov\u00e1n\u00edm<\/strong> jednotliv\u00fdch VX futures tak, aby vznikla ucelen\u00e1 \u0159ada kontrakt\u016f podle jejich po\u0159ad\u00ed<\/strong>. Jak\u00e1 je jejich konstrukce a co mi mohou zobrazovat?<\/span><\/p>\n

\u00a0\u00a0 Kontinu\u00e1ln\u00ed VX futures kontrakt, ozna\u010den\u00fd jako VX1<\/strong>, zobrazuje v\u017edy data prvn\u00edho VX futures v\u00a0po\u0159ad\u00ed. Pokud budu konkr\u00e9tn\u00ed, tak od 15.11.2017<\/strong> (st\u0159eda) do 19.12.2017<\/strong> (\u00fater\u00fd) jsou data tohoto kontinu\u00e1ln\u00edho kontraktu tvo\u0159ena daty prosincov\u00e9ho VX futures<\/strong>, toto v\u0161ak ve st\u0159edu 20.12.2017 expiruje a miz\u00ed<\/strong>, proto jsou jeho data vyu\u017eita jenom do p\u0159edexpira\u010dn\u00edho \u00fater\u00fd a v\u00a0expira\u010dn\u00ed st\u0159edu 20.12.2017 jsou ji\u017e data prosincov\u00e9ho VX futures nahrazena<\/strong> daty lednov\u00e9ho VX futures<\/strong>, kter\u00e9 se v\u00a0tuto st\u0159edu \u201eprodralo na prvn\u00ed m\u00edsto\u201c. Takto jsou data pospojov\u00e1na pro v\u0161echny kontrakty ve sv\u00e9m po\u0159ad\u00ed. M\u016f\u017eu tak sledovat nap\u0159\u00edklad chov\u00e1n\u00ed pouze spojen\u00e9ho t\u0159et\u00edho nebo sedm\u00e9ho kontinu\u00e1ln\u00edho futures. \u00a0<\/span><\/p>\n

\u00a0\u00a0 Tato data mohu tak\u00e9 z\u00edskat z\u00a0Quandl.com, a to nap\u0159\u00edklad p\u0159\u00edm\u00fdm sta\u017een\u00edm z\u00a0webov\u00e9 str\u00e1nky. Data nap\u0159\u00edklad pro kontinu\u00e1ln\u00ed VX futures druh\u00e9 v\u00a0po\u0159ad\u00ed mohu zobrazit zde.<\/a><\/span><\/strong><\/span><\/p>\n

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\u00a0\u00a0 Po zobrazen\u00ed p\u0159\u00edslu\u0161n\u00e9 str\u00e1nky mohu data jednodu\u0161e st\u00e1hnout kliknut\u00edm na volbu \u201eExcel\u201c<\/strong> a data se mi st\u00e1hnou do po\u010d\u00edta\u010de.\u00a0\u00a0<\/span><\/p>\n

\u00a0\u00a0 Elegantn\u011bj\u0161\u00ed je ale op\u011bt vyu\u017e\u00edt dopln\u011bk Quandlu v m\u00e9ho Excelu, kde mohu jednotliv\u00e9 kontinu\u00e1ln\u00ed VX futures kontrakty p\u0159\u00edmo<\/strong> nejen stahovat<\/strong>, ale nap\u0159\u00edklad pro budouc\u00ed pou\u017eit\u00ed neust\u00e1le jednodu\u0161e aktualizovat<\/strong>. Kontinu\u00e1ln\u00ed kontrakty jsou k\u00a0nalezen\u00ed v\u00a0datab\u00e1z\u00ed \u201eCHRIS<\/strong>\u201c. Pokud bych vyu\u017eil hled\u00e1n\u00ed jako v\u00a0p\u0159edchoz\u00edm p\u0159\u00edpad\u011b, bylo by hled\u00e1n\u00ed n\u00e1sleduj\u00edc\u00ed.<\/span><\/p>\n

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\u00a0 Po zad\u00e1n\u00ed t\u00e9to datab\u00e1ze CHRIS<\/strong> ve vyhled\u00e1vac\u00edm okn\u011b po zad\u00e1n\u00ed „Get Data“<\/strong> v panelu n\u00e1stroj\u016f „Quandl<\/strong>“ se mi op\u011bt otev\u0159e nab\u00eddka v\u0161ech datov\u00fdch \u0159ad, ze kter\u00fdch budu m\u00edt z\u00e1jem pouze o datab\u00e1ze VX kontinu\u00e1ln\u00edch kontrakt\u016f.<\/span><\/p>\n

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\u00a0\u00a0 Do horn\u00edho zad\u00e1vac\u00edho pole<\/strong> vep\u00ed\u0161u ozna\u010den\u00ed \u201eVX\u201c<\/strong> a z\u00a0nab\u00eddky v\u0161ech kontinu\u00e1ln\u00edch VX futures kontrakt\u016f vyberu p\u0159\u00edslu\u0161n\u00fd (nap\u0159\u00edklad) \u201edruh\u00fd\u201c kontrakt ke sta\u017een\u00ed. Op\u011bt mohu pozorovat k\u00f3d datov\u00e9 \u0159ady a tak\u00e9 vzorec, kter\u00fd se pro tuto datovou \u0159adu vep\u00ed\u0161e do bu\u0148ky v\u00a0m\u00e9m Excelu. Sta\u017een\u00e1 data pak maj\u00ed \u201e\u010desk\u00fd tvar\u201c<\/strong> a mohu s\u00a0nimi op\u011bt okam\u017eit\u011b pracovat.<\/span><\/p>\n

\u00a0\u00a0 Kontinu\u00e1ln\u00ed VX futures jsou vynikaj\u00edc\u00ed pom\u016fcka pro hled\u00e1n\u00ed mo\u017en\u00fdch obchodn\u00edch situac\u00ed pro v\u0161emo\u017en\u00e9 kombinace jednotliv\u00fdch cenov\u00fdch rozd\u00edl\u016f VX futures a pro jejich historickou anal\u00fdzu. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je nap\u0159\u00edklad zobrazen jednoro\u010dn\u00ed (2017) pr\u016fb\u011bh spreadu<\/strong> kontinu\u00e1ln\u00edch VX futures kontrakt\u016f, a to druh\u00e9ho<\/strong> a p\u00e1t\u00e9ho<\/strong> v\u00a0po\u0159ad\u00ed.<\/span><\/p>\n

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\u00a0\u00a0 Krom\u011b toho, \u017ee vid\u00edm pr\u016fb\u011bh jednotliv\u00fdch rozd\u00edl\u016f <\/strong>(spread\u016f), mus\u00edm si b\u00fdt v\u011bdom jedn\u00e9 z\u00e1sadn\u00ed skute\u010dnosti, kterou je pr\u00e1v\u011b spojitost a z\u00a0n\u00ed vypl\u00fdvaj\u00edc\u00ed souvislosti. Na obr\u00e1zku bych mohl pozorovat zaj\u00edmavou \u00farove\u0148 n\u00edzk\u00e9 hodnoty spreadu druh\u00e9ho a p\u00e1t\u00e9ho kontinu\u00e1ln\u00edho VX futures kontraktu ozna\u010denou zelen\u00fdm krou\u017ekem. Tato \u00farove\u0148 se objevila dne 10.8.2017<\/strong>. V\u00a0danou chv\u00edli byla tato \u00farove\u0148 vytvo\u0159ena na druh\u00e9m<\/strong> v\u00a0po\u0159ad\u00ed (z\u00e1\u0159\u00edjov\u00e9m) a p\u00e1t\u00e9m<\/strong> (prosincov\u00e9m) VX futures<\/strong>, prvn\u00edm v\u00a0po\u0159ad\u00ed pak bylo v dan\u00fd okam\u017eik srpnov\u00e9 VX futures. Pokud bych takovou situaci analyzoval, tak mus\u00edm m\u00edt na pam\u011bti, \u017ee p\u0159esto\u017ee mi graf ukazuje skv\u011blou v\u00fdstupn\u00ed pozici zhruba po m\u011bs\u00edci dne 18.9.2017<\/strong> (ozna\u010denou \u010derven\u00fdm krou\u017ekem), tak tuto v\u00fdstupn\u00ed pozici mi na tomto grafu kontinu\u00e1ln\u00edch VX futures zobrazuje op\u011bt<\/strong> spread druh\u00e9ho a p\u00e1t\u00e9ho VX futures v\u00a0danou chv\u00edli!!!<\/strong> Nikoliv tedy p\u016fvodn\u00ed z\u00e1\u0159\u00ed\/prosinec VX spreadov\u00e1 pozice, ale nyn\u00ed ji\u017e VX \u0159\u00edjen\/leden spread<\/strong>. Pro vyhodnocen\u00ed p\u016fvodn\u00edho spreadu bych musel sledovat jeho pr\u016fb\u011bh bez pou\u017eit\u00ed dan\u00fdch hodnot kontinu\u00e1ln\u00edch VX futures kontrakt\u016f, ale pou\u017e\u00edt pouze data p\u0159\u00edslu\u0161n\u00fdch VX futures, do kter\u00fdch bych p\u0159\u00edpadn\u011b na tomto minimu mohl vstoupit.\u00a0\u00a0<\/span><\/p>\n

\n

\u00a0\u00a0 \u00davodn\u00ed objasn\u011bn\u00ed logiky spreadov\u00fdch obchod\u016f s\u00a0VX futures a z\u00e1klady pr\u00e1ce s\u00a0daty, kde je z\u00edskat a jak je p\u0159izp\u016fsobit m\u00e9 pot\u0159eb\u011b by mohlo b\u00fdt dobr\u00fdm odrazov\u00fdm m\u016fstkem, jak p\u0159istupovat k\u00a0obchodov\u00e1n\u00ed mo\u017en\u00fdch cenov\u00fdch rozd\u00edl\u016f jednotliv\u00fdch VX futures kontrakt\u016f. Pr\u00e1ce s daty je z\u00e1kladn\u00edm kamenem \u00fasp\u011bchu, proto jsem z\u00edsk\u00e1n\u00ed nejjednodu\u0161\u0161\u00ed formy t\u011bchto dat v\u011bnoval takov\u00fd prostor, nav\u00edc se zdroj\u016f, kde m\u016f\u017eu takov\u00e1 data z\u00edskat zdarma. Jak d\u00e1le obchodovateln\u00e9 cenov\u00e9 rozd\u00edly vyhledat, co je zejm\u00e9na zp\u016fsobuje a jak tyto obchody sledovat a tak\u00e9 prakticky prov\u00e1d\u011bt u m\u00e9ho brokera (Interactive Brokers) pop\u00ed\u0161u v\u00a0dal\u0161\u00edm \u010dl\u00e1nku :c)<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0 \u201e\u2026Spread your little wings and fly away\u2026\u201c zp\u00edval nesmrteln\u00fd Freddie Mercury v\u00a0legend\u00e1rn\u00edm songu a netu\u0161il, \u017ee by jeho pokyn mohl b\u00fdt inspiruj\u00edc\u00ed nejen pro zamindr\u00e1kovan\u00e9 nemehlo, ale tak\u00e9 pro obchodn\u00edky s futures kontrakty. Obchodov\u00e1n\u00ed jak\u00fdchkoliv spread\u016f je obrovsk\u00e9 obchodn\u00ed t\u00e9ma, ve kter\u00e9m si ka\u017ed\u00fd m\u016f\u017ee naj\u00edt tu svou spr\u00e1vnou Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":1280,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_feature_clip_id":0,"_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},"jetpack_post_was_ever_published":false},"categories":[37],"tags":[40,42],"class_list":["post-1253","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-volatilita-a-jeji-derivaty","tag-vx-futures","tag-vx-spread"],"jetpack_publicize_connections":[],"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-kd","jetpack-related-posts":[{"id":1435,"url":"https:\/\/dobretrejdy.com\/?p=1435","url_meta":{"origin":1253,"position":0},"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":[]},{"id":1345,"url":"https:\/\/dobretrejdy.com\/?p=1345","url_meta":{"origin":1253,"position":1},"title":"VX Futures – Volatility Spread – III.","author":"dobretrejdy :c)","date":"24.1.2018","format":false,"excerpt":"\u00a0\u00a0 Podstatou minul\u00e9ho \u010dl\u00e1nku bylo prezentovat, jakou m\u00e1m mo\u017enost obchodov\u00e1n\u00ed poruchy \u010dasov\u00e9 struktury VX futures. Poruchou tak bylo my\u0161lena zm\u011bna \u010dasov\u00e9 struktury Contango, kdy jednotliv\u00e9 vzd\u00e1len\u011bj\u0161\u00ed VX futures jsou dra\u017e\u0161\u00ed ne\u017e bli\u017e\u0161\u00ed VX futures, do konstelace Backwardation, kdy bli\u017e\u0161\u00ed VX futures jsou dra\u017e\u0161\u00ed ne\u017e VX futures vzd\u00e1len\u011bj\u0161\u00ed. Takov\u00e1 zm\u011bna struktury\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\/01\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1119,"url":"https:\/\/dobretrejdy.com\/?p=1119","url_meta":{"origin":1253,"position":2},"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":1470,"url":"https:\/\/dobretrejdy.com\/?p=1470","url_meta":{"origin":1253,"position":3},"title":"VX Futures – Volatility Spread \u2013 V.","author":"dobretrejdy :c)","date":"13.2.2018","format":false,"excerpt":"\u00a0 \u00a0P\u0159\u00edb\u011bh tohoto \u010dl\u00e1nku za\u010d\u00edn\u00e1 dopoledne 19. prosince 2017, je lehce p\u0159edv\u00e1no\u010dn\u00ed atmosf\u00e9ra a pozoruji, jak se vyv\u00edj\u00ed trhy s\u00a0deriv\u00e1ty volatility, jednotliv\u00fdmi futures na r\u016fzn\u00fdch trz\u00edch, abych mohl vyu\u017e\u00edt n\u011bjakou ze sledovan\u00fdch p\u0159\u00edle\u017eitost\u00ed k\u00a0dobr\u00e9mu obchodu. Takovou p\u0159\u00edle\u017eitost vid\u00edm na n\u00e1stroji s\u00a0ozna\u010den\u00edm V2TX JAN18, proto p\u0159ed des\u00e1tou dopoledn\u00ed tohoto prosincov\u00e9ho r\u00e1na\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-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/02\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":1253,"position":4},"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":1301,"url":"https:\/\/dobretrejdy.com\/?p=1301","url_meta":{"origin":1253,"position":5},"title":"VX Futures \u2013 Volatility Spread \u2013 II.","author":"dobretrejdy :c)","date":"8.1.2018","format":false,"excerpt":"\u00a0 \u00a0V\u00edm, co jsou VX futures a v\u00edm, \u010demu se \u0159\u00edk\u00e1 jejich Spread, nav\u00edc m\u00e1m mo\u017enost z\u00edskat zdarma vhodn\u00e1 data. To by mohl b\u00fdt dobr\u00fd za\u010d\u00e1tek pro bli\u017e\u0161\u00ed n\u00e1hled na mo\u017en\u00e9 spreadov\u00e9 obchodov\u00e1n\u00ed. V\u00a0minul\u00e9m \u010dl\u00e1nku jsem tak\u00e9 popisoval p\u0159ijatou metodu, kterou budu cht\u00edt spreadov\u00e9 pozice pozorovat, abych mohl vyhodnotit p\u0159\u00edpadn\u00e9\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\/01\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main.jpg","_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1253","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=1253"}],"version-history":[{"count":17,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1253\/revisions"}],"predecessor-version":[{"id":5419,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/1253\/revisions\/5419"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/1280"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1253"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1253"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1253"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}