{"id":1301,"date":"2018-01-08T14:20:07","date_gmt":"2018-01-08T12:20:07","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=1301"},"modified":"2025-02-24T08:52:20","modified_gmt":"2025-02-24T06:52:20","slug":"vx-futures-volatility-spread-ii","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=1301","title":{"rendered":"VX Futures \u2013 Volatility Spread \u2013 II."},"content":{"rendered":"

\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<\/a><\/strong><\/span> jsem tak\u00e9 popisoval p\u0159ijatou metodu, kterou budu cht\u00edt spreadov\u00e9 pozice pozorovat, abych mohl vyhodnotit p\u0159\u00edpadn\u00e9 obchodn\u00ed p\u0159\u00edle\u017eitosti. Spo\u010d\u00edvala v\u00a0tom, \u017ee pokud si budu hodnotu spreadu na VX futures n\u011bjak vyhodnocovat, v\u017edy to bude pohledem Short bli\u017e\u0161\u00ed VX futures<\/strong> a Long vzd\u00e1len\u011bj\u0161\u00ed VX futures<\/strong>.<\/span><\/p>\n

\u00a0 Pokud bych si zobrazil \u010dasovou strukturu<\/strong> moment\u00e1ln\u011b obchodovan\u00fdch VX futures, zobrazila by se mi p\u0159edpisov\u00e1 k\u0159ivka voln\u011b stoupaj\u00edc\u00ed a vyjad\u0159uj\u00edc\u00ed, \u017ee v\u0161echny kontrakty jsou t\u00edm dra\u017e\u0161\u00ed,<\/strong> \u010d\u00edm je jejich vzd\u00e1lenost do jejich expirace del\u0161\u00ed<\/strong>.<\/span><\/p>\n

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\u00a0\u00a0 P\u0159edpisov\u00e1 k\u0159ivka s\u00a0vyzna\u010den\u00fdmi hodnotami jednotliv\u00fdch m\u011bs\u00ed\u010dn\u00edch VX futures pak tak\u00e9 zobrazuje situaci, \u017ee hodnoty v\u0161ech VX futures jsou vy\u0161\u0161\u00ed<\/strong> ne\u017e spotov\u00e1 cena volatility \u2013 hodnota VIX Indexu<\/strong>, kdy\u017e nejbl\u00ed\u017ee k jej\u00ed hodnot\u011b se nach\u00e1z\u00ed cena nejbli\u017e\u0161\u00edho VX futures. Popisovan\u00e1 situace se jmenuje Contango<\/strong> a v\u00a0t\u00e9to konstelaci se VX futures nach\u00e1zej\u00ed v\u00a0p\u0159ev\u00e1\u017en\u00e9 \u010d\u00e1sti \u010dasu<\/strong>. Hodnota Contango na trz\u00edch s\u00a0VX futures pak vyjad\u0159uje obdob\u00ed klidu na trz\u00edch (zejm\u00e9na akciov\u00fdch, m\u011b\u0159en\u00fdch indexem S&P 500), to je moment\u00e1ln\u011b ten nejz\u00e1kladn\u011bj\u0161\u00ed poznatek. Pokud by byl klid na trz\u00edch zachov\u00e1n a vych\u00e1zel bych z\u00a0p\u0159edpokladu, \u017ee hodnota VIX Indexu bude neust\u00e1le zhruba na stejn\u00e9 \u00farovni, pak by v\u00a0trhu p\u0159\u00edzna\u010dn\u00e9m pro Contango p\u016fsoben\u00edm b\u011bhu \u010dasu jednotliv\u00e1 VX futures vytrvale ztr\u00e1cela na sv\u00e9 cen\u011b a postupn\u011b by p\u0159i sv\u00fdch poklesech a n\u00e1sledn\u00fdch expirac\u00edch spl\u00fdvala s\u00a0hodnotu VIX Indexu. Zd\u00e1lo by se pak, \u017ee by sta\u010dilo pouze shortovat jak\u00e9koliv VX futures a \u00fasp\u011bch by m\u011bl b\u00fdt zaru\u010den. To je f\u00e9rov\u00e1 \u00favaha, kter\u00e1 v\u0161ak mus\u00ed b\u00fdt zalo\u017eena na varov\u00e1n\u00ed, \u017ee trhy VX futures (trhy s\u00a0deriv\u00e1ty volatility obecn\u011b) maj\u00ed dv\u011b z\u00e1kladn\u00ed vlastnosti<\/strong>, kter\u00e9 si mus\u00ed b\u00fdt obchodn\u00edk v\u011bdom.<\/span><\/p>\n

\u00a0\u00a0 1\/<\/strong> Tendence dlouhotrvaj\u00edc\u00edho Contango<\/strong> m\u016f\u017ee b\u00fdt vyst\u0159\u00edd\u00e1no konstelac\u00ed Backwardation<\/strong> b\u011bhem velice kr\u00e1tk\u00fdch okam\u017eik\u016f<\/strong>. Naru\u0161en\u00ed \u010dasov\u00e9 struktury, kdy jsou naopak nejdra\u017e\u0161\u00ed nejbli\u017e\u0161\u00ed VX futures kontrakty je ot\u00e1zka opravdu kr\u00e1tk\u00e9 doby, v\u00a0extr\u00e9mn\u00edch situac\u00edch se tak m\u016f\u017ee st\u00e1t v\u00a0pr\u016fb\u011bhu i n\u011bkolika hodin. Na obr\u00e1zku je patrn\u00e9 \u010dasov\u00e1 struktura p\u0159\u00edzna\u010dn\u00e1 pro Backwardation, kterou bylo mo\u017en\u00e9 pozorovat 15.2.2016<\/strong><\/span><\/p>\n

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\u00a0\u00a0 Za pozornost stoj\u00ed pozorovat chov\u00e1n\u00ed nap\u0159\u00edklad druh\u00e9ho a t\u0159et\u00edho VX futures kontraktu (\u010derven\u00e1 a zelen\u00e1 \u0161ipka), kter\u00e1 ozna\u010duje b\u0159eznov\u00fd a dubnov\u00fd kontrakt. Prvn\u00ed kontrakt je t\u011bsn\u011b p\u0159ed expirac\u00ed a je to \u00fanorov\u00e9 VX futures.<\/span><\/p>\n

\u00a0 2\/<\/strong> Volatilta <\/strong>je\u00a0<\/strong>tzv. \u201emean reverting\u201c<\/strong>. Znamen\u00e1 to, \u017ee a\u010dkoliv jsou obraty z\u00a0konstelace Contango do Backwardation velmi rychl\u00e9, tak je tak\u00e9 znateln\u00e1 velmi viditeln\u00e1 snaha trh\u016f s\u00a0VX futures v\u00a0takov\u00e9 neobvykl\u00e9 situace tak\u00e9 nez\u016fst\u00e1vat v\u00a0extr\u00e9mn\u00ed \u010d\u00e1sti \u010dasu s\u00a0jasnou tendenc\u00ed n\u00e1vratu do p\u016fvodn\u00ed \u010dasov\u00e9 struktury Contango. Pokud byla na v\u00fd\u0161e uveden\u00e9m obr\u00e1zku zn\u00e1zorn\u011bno Bacwardation ze dne 15.2.2016, tak na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je situace s\u00a0cenami VX futures a \u010dasovou strukturou o pouh\u00e9 dva dny pozd\u011bji<\/strong>, tedy ze dne 17.2.2016<\/strong>.<\/span><\/p>\n

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\u00a0 \u0160ipkami jsem op\u011bt vyzna\u010dil ob\u011b VX futures z p\u0159edch\u00e1zej\u00edc\u00edho obr\u00e1zku, nyn\u00ed se v\u0161ak ji\u017e b\u0159eznov\u00fd kontrakt stal prvn\u00edm v\u00a0po\u0159ad\u00ed a dubnov\u00fd kontrakt druh\u00fdm v\u00a0po\u0159ad\u00ed. Patrn\u00e9 formov\u00e1n\u00ed \u010dasov\u00e9 struktury do Contango tak p\u0159ineslo, oproti p\u0159edchoz\u00edmu obr\u00e1zku, pokles b\u0159eznov\u00e9ho VX futures<\/strong> z\u00a0ceny 25.125 na cenu 22.925 (pokles o -2.200 bodu) a tak\u00e9 pokles dubnov\u00e9ho VX futures<\/strong> z\u00a0ceny 24.850 na cenu 23.075 (pokles o -1.775 bodu)<\/span><\/p>\n

\u00a0\u00a0 Oba zn\u00e1zorn\u011bn\u00e9 obr\u00e1zky s\u00a0\u010dasovou strukturou pak vych\u00e1zej\u00ed z\u00a0logiky p\u0159ijat\u00e9 metodiky, kdy pozoruji spread jako hodnotu Short bli\u017e\u0161\u00ed VX futures a Long vzd\u00e1len\u011bj\u0161\u00ed VX futures. Ji\u017e z\u00a0t\u00e9to uk\u00e1zky by m\u011bla b\u00fdt patrn\u00e1 prvn\u00ed obchodn\u00ed p\u0159\u00edle\u017eitost, a to takov\u00e1, \u017ee kdybych opravdu 15.2.206 po\u0159\u00eddil Short b\u0159eznov\u00e9 VX futures a Long dubnov\u00e9 VX futures, tak za tyto pouh\u00e9 dva dny mi Short VX b\u0159eznov\u00e9 futures nad\u011bl\u00ed +2.200 USD profit<\/strong> a Long dubnov\u00e9 VX futures p\u0159ivod\u00ed -1.775 USD ztr\u00e1tu<\/strong>, aby cel\u00fd spread vytvo\u0159il +425 USD profit<\/strong>. Pokud bych tedy do pozice vstoupil a vystoupil na zobrazovan\u00fdch hodnot\u00e1ch a dr\u017eel se m\u00e9 metodiky, tak bych 15.2.2016 nakoupil sledovan\u00fd VX spread za +25.125 USD -24.850 USD (Short b\u0159ezen\/Long duben) za +275 USD, byl by to tak p\u0159\u00edpad, kter\u00fd jsem popisoval v\u00a0minul\u00e9m \u010dl\u00e1nku, kdy za n\u00e1kup spreadu je\u0161t\u011b dostanu zaplaceno a tak\u00e9 by to korespondovalo s\u00a0uk\u00e1zkou s auty z\u00a0minul\u00e9ho p\u0159\u00edsp\u011bvku, kdy vzd\u00e1lenost mezi t\u011bmito sledovan\u00fdmi auty je velmi mal\u00e1 (dokonce z\u00e1porn\u00e1 -2.75 bodu (viz d\u00e1le v textu), proto budu investovat do rozta\u017een\u00ed vzd\u00e1lenosti<\/strong> a investice by pak \u010dinila +275 USD<\/strong> (za investici bych je\u0161t\u011b dostal zaplaceno). Za dva dny, 17.2.2016 bych pak spread prodal (proto\u017ee jsem jej p\u0159edt\u00edm nakoupil) za -22.925 USD +23.075 (Long b\u0159ezen\/Short duben) za +150 USD<\/strong>. Vzd\u00e1lenost mezi auty tak narostla na +1.50 bodu. Celkov\u011b bych pak profitoval za tyto dva dny +425 USD<\/strong>. \u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0 Co by to vlastn\u011b mohlo znamenat? Nic jin\u00e9ho, ne\u017e \u017ee obchodov\u00e1n\u00ed spreadu VX futures s\u00a0r\u016fznou expirac\u00ed bude v\u00a0prvn\u00edm p\u0159\u00edpad\u011b obchodov\u00e1n\u00ed \u201eporuch \u010dasov\u00e9 struktury\u201c<\/strong> nebo alespo\u0148 jejich v\u00fdrazn\u00fdch diskrepanc\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Pro m\u00e9 pot\u0159eby si takov\u00e9 poruchy vyhled\u00e1vat je zapot\u0159eb\u00ed si uv\u011bdomit, jak se mi budou vlastn\u011b zobrazovat v\u00a0\u010d\u00edslech a jak takov\u00e1 \u010d\u00edsla interpretovat. Pokud bych tedy vyu\u017eil hodnot kontinu\u00e1ln\u00edch pospojovan\u00fdch kontrakt\u016f z\u00a0datov\u00e9ho zdroje popsan\u00e9ho v\u00a0minul\u00e9m \u010dl\u00e1nku<\/a><\/span><\/strong>, tak bych si mohl takov\u00e9 nesrovnalosti v\u00a0\u010dasov\u00e9 struktu\u0159e VX futures zobrazit v\u00a0grafu. Pokud bych pak z\u00a0t\u011bchto datov\u00fdch \u0159ad provedl v\u00fdpo\u010det spreadu tak, \u017ee budu od ceny vzd\u00e1len\u011bj\u0161\u00edho<\/strong> VX futures ode\u010d\u00edtat ceny bli\u017e\u0161\u00edho<\/strong> VX futures, mohu si zobrazit pro prvn\u00ed t\u0159i VX futures za obdob\u00ed let 2015 -2017 jejich vz\u00e1jemn\u00e9 spready tak, jak je patrn\u00e9 n\u00ed\u017ee uveden\u00e9m obr\u00e1zku\u00a0 \u00a0<\/span><\/p>\n

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\u00a0\u00a0 Vypo\u010dten\u00e9 spready na kontinu\u00e1ln\u00edch kontraktech by vytvo\u0159ily velmi pilovit\u00e9 k\u0159ivky. K\u0159ivky se pak pohybuj\u00ed v\u00a0grafu nad<\/strong> a pod<\/strong> hranic\u00ed nula<\/strong> (na ose x). Z\u00e1sadn\u00ed logika v\u00fdpo\u010dtu jednotliv\u00fdch hodnot k\u0159ivek, kdy ode\u010d\u00edt\u00e1m vzd\u00e1len\u011bj\u0161\u00ed cenu od bli\u017e\u0161\u00ed mi pak sd\u011bluje, \u017ee v\u00a0p\u0159\u00edpad\u011b, \u017ee je hodnota z\u00e1porn\u00e1 (v\u00a0grafu pod nulovou osou) je stav, kdy jsou hodnoty bli\u017e\u0161\u00edho VX futures<\/strong> v\u017edy dra\u017e\u0161\u00ed<\/strong> ne\u017e hodnoty VX futures vzd\u00e1len\u011bj\u0161\u00edho<\/strong> a trhy se tak nach\u00e1z\u00ed v\u00a0Backwardation<\/strong>. V\u00a0opa\u010dn\u00e9m p\u0159\u00edpad\u011b, kdy se hodnoty k\u0159ivky nach\u00e1z\u00ed v kladn\u00fdch \u010d\u00edslech<\/strong> (nad nulovou osou), jsou hodnoty bli\u017e\u0161\u00edch VX futures<\/strong> v\u017edy ni\u017e\u0161\u00ed<\/strong> ne\u017e hodnoty VX futures vzd\u00e1len\u011bj\u0161\u00edch<\/strong>, a to je charakteristick\u00e9 pro Contango<\/strong> na trz\u00edch VX futures. Jednoduch\u00e9 zobrazen\u00ed pak graficky charakterizuje m\u00edru, jakou je \u010dasov\u00e1 struktura VX futures naru\u0161ena.<\/span><\/p>\n

\u00a0\u00a0 Dal\u0161\u00ed v\u00fdrazn\u011b odez\u00edratelnou vlastnost\u00ed k\u0159ivek je jejich \u0161pi\u010datost a zejm\u00e9na tendence se ze z\u00e1porn\u00fdch hodnot ost\u0159e vracet<\/strong> do hodnot kladn\u00fdch, a to s\u00a0t\u00e9m\u011b\u0159 stejnou rychlost\u00ed, jako do t\u011bchto z\u00e1porn\u00fdch hodnot zab\u0159edla. Potvrzuje to vlastnost \u201en\u00e1vratu k\u00a0norm\u00e1lu\u201c, tedy to, \u017ee se trhy v\u00a0situaci Backwardation nec\u00edt\u00ed komfortn\u011b a cht\u011bj\u00ed se vr\u00e1tit do situace, kdy v\u0161echny VX futures budou v\u00a0konstelaci Contango.<\/span><\/p>\n

\u00a0\u00a0 V\u00a0grafu mohu pozorovat \u010dervenou k\u0159ivku spreadu prvn\u00edho a druh\u00e9ho VX futures, kter\u00e1 je agresivn\u011bj\u0161\u00ed ne\u017e k\u0159ivka modr\u00e1, kter\u00e1 zobrazuje spread druh\u00e9ho a t\u0159et\u00edho VX futures. V\u011bt\u0161\u00ed agresivita prvn\u00edch dvou VX futures kontrakt\u016f pak potvrzuje, \u017ee na tr\u017en\u00ed v\u00fdkyvy reaguj\u00ed bli\u017e\u0161\u00ed VX futures daleko citliv\u011bji, ne\u017e VX futures vzd\u00e1len\u011bj\u0161\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Pro dokreslen\u00ed p\u0159edstavy, jak\u00fd v\u00fdvoj prod\u011blaly hodnoty jednotliv\u00fdch spread\u016f v\u00a0desetilet\u00e9 historii a potvrzen\u00ed, \u017ee nejagresivn\u011bji se choval spread nejbli\u017e\u0161\u00edch VX futures, je patrn\u00e9 z\u00a0grafu desetilet\u00e9ho<\/strong> chov\u00e1n\u00ed spread\u016f prvn\u00edch p\u011bti VX futures. Aby graf nep\u016fsobil \u201eslit\u00fdm dojmem\u201c z\u00a0velk\u00e9ho mno\u017estv\u00ed zpracovan\u00fdch dat, jsou v\u00a0grafu vyneseny pouze t\u00fddenn\u00ed data za posledn\u00edch deset let<\/span><\/p>\n

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\u00a0\u00a0 \u010cerven\u00e9 reakce spreadu nejbli\u017e\u0161\u00edch dvou VX futures zcela jasn\u011b vyzna\u010duj\u00ed obdob\u00ed v\u0161ech v\u00fdznamn\u011bj\u0161\u00edch kriz\u00ed na finan\u010dn\u00edch trz\u00edch za posledn\u00edch deset let zcela p\u0159esn\u011b a tak\u00e9 podle o\u010dek\u00e1v\u00e1n\u00ed.<\/span><\/p>\n

\u00a0\u00a0 Ve shrnut\u00ed se pak nab\u00edz\u00ed velmi jednoduch\u00e1 odpov\u011b\u010f na z\u00e1kladn\u00ed ot\u00e1zku \u201ePro\u010d bych m\u011bl v\u016fbec takov\u00e9 spready obchodovat?<\/strong>\u201c. Obchodov\u00e1n\u00ed spread\u016f, nap\u0159\u00edklad u klasick\u00fdch komodit, jako jsou futures kontrakty na zem\u011bd\u011blsk\u00e9 plodiny, masa, energie, drah\u00e9 kovy apod. vy\u017eaduj\u00ed zejm\u00e9na komplexn\u00ed fundament\u00e1ln\u00ed znalosti o p\u0159\u00edslu\u0161n\u00fdch podkladech. Struktura nab\u00eddky a popt\u00e1vky, skladov\u00e9 z\u00e1soby, v\u00fdvoj oset\u00fdch ploch, pr\u016fb\u011bhy sklizn\u00ed, \u0161\u00ed\u0159\u00edc\u00ed se infekce, z\u00e1plavy, sucha, st\u00e1vky, v\u00fdvoj po\u010das\u00ed a v\u0161emo\u017en\u00e9 jin\u00e9 znalosti dopom\u00e1haj\u00ed obchodn\u00edk\u016fm z\u00a0takov\u00fdmi komoditami a jejich spready se alespo\u0148 v\u00a0z\u00e1kladech orientovat a umo\u017enit z\u00e1kladn\u00ed predikci n\u011bjak\u00e9ho trendu a z\u00a0n\u011bj odvozen\u00e9 obchodn\u00ed rozhodnut\u00ed. To vy\u017eaduje komplexn\u00ed p\u0159ehled, studium a neust\u00e1l\u00e9 sledov\u00e1n\u00ed t\u011bchto fundament\u016f ovliv\u0148uj\u00edc\u00edch mo\u017en\u00fd budouc\u00ed pohyb. Pohyby VX futures naopak takov\u00e9 ucelen\u00e9 znalosti jakoby nevy\u017eadovaly. Ka\u017ed\u00fd obchodn\u00edk pozn\u00e1, \u017ee trhy, nap\u0159\u00edklad m\u011b\u0159en\u00e9 indexem S&P 500, padaj\u00ed, proto\u017ee jednodu\u0161e tento index je v\u00a0\u010derven\u00fdch \u010d\u00edslech. Nap\u011bt\u00ed na trz\u00edch je pak jednodu\u0161e poznateln\u00e9 z\u00a0\u201e\u010derven\u00e9 z\u00e1plavy\u201c hodnot drtiv\u00e9 v\u011bt\u0161iny akciov\u00fdch index\u016f, obchodovan\u00fdch akciov\u00fdch titul\u016f, \u00e9t\u00e9efek a v\u0161emo\u017en\u00fdch investi\u010dn\u00edch n\u00e1stroj\u016f, ale tak\u00e9 z\u00a0b\u011b\u017en\u00fdch novinov\u00fdch titulk\u016f, hlavn\u00edch televizn\u00edch zpr\u00e1v a rozv\u00e1\u0161n\u011bn\u00fdch internetov\u00fdch m\u00e9di\u00ed a diskuz\u00ed. Nap\u011bt\u00ed na trz\u00edch, kter\u00e9 by se pak mo\u017en\u00e1 u\u017e dalo i kr\u00e1jet, pak pozn\u00e1 ka\u017ed\u00fd (i m\u00e9n\u011b zku\u0161en\u00fd) obchodn\u00edk a nemus\u00ed pro takov\u00e9mu zji\u0161t\u011bn\u00ed vynalo\u017eit n\u011bjakou speci\u00e1ln\u00ed n\u00e1mahu. Sta\u010d\u00ed pak jen velmi jednoduch\u00e9 porozum\u011bn\u00ed fungov\u00e1n\u00ed trh\u016f s\u00a0volatilitou a obchodov\u00e1n\u00ed deriv\u00e1t\u016f volatility by pak nemuselo b\u00fdt nep\u0159ekonatelnou z\u00e1le\u017eitost\u00ed\u00a0 \u00a0\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

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\u00a0\u00a0\u00a0 Pomoc\u00ed kombinace kontinu\u00e1ln\u00edch kontrakt\u016f a pomoc\u00ed nich vytvo\u0159en\u00fdch spread\u016f podle metodiky Short bli\u017e\u0161\u00ed a Long vzd\u00e1len\u011bj\u0161\u00ed, pak mohu na takov\u00fdch datov\u00fdch \u0159ad\u00e1ch odez\u00edrat obchodn\u00ed p\u0159\u00edle\u017eitosti a tyto potom p\u0159en\u00e1\u0161et do konkr\u00e9tn\u00edch cen jednotliv\u00fdch spread\u016f pro p\u0159\u00edslu\u0161n\u00e9 VX futures. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je vid\u011bt rok 2016 vyj\u00e1d\u0159en\u00fd v\u00a0pr\u016fb\u011bz\u00edch jednotliv\u00fdch spread\u016f samotn\u00fdch VX futures (tenk\u00e9 r\u016fznobarevn\u00e9 k\u0159ivky) a kuli\u010dkovou k\u0159ivkou<\/strong> zn\u00e1zorn\u011bn pr\u016fb\u011bh spreadu vyj\u00e1d\u0159en\u00fd pomoc\u00ed prvn\u00edch dvou kontinu\u00e1ln\u00edch kontrakt\u016f<\/strong>.<\/span><\/p>\n

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\u00a0\u00a0 Je evidentn\u00ed, \u017ee spread\u00a0prvn\u00edch dvou VX futures<\/strong> vykresluje v grafu nejextr\u00e9mn\u011bj\u0161\u00ed pr\u016fb\u011bhy <\/strong>(tento spread je vt\u011blen do hodnot kuli\u010dkov\u00e9 k\u0159ivky). Pokud se graf ocit\u00e1 v\u00a0Backwardation a kles\u00e1 pod nulu, jsou v\u0161echny VX spready na jin\u00fdch kombinac\u00edch ne\u017e prvn\u00ed\/druh\u00fd v\u017edy se slab\u0161\u00edm pr\u016fb\u011bhem a jsou nad kuli\u010dkovou k\u0159ivkou. Naopak, pokud kuli\u010dkov\u00e1 k\u0159ivka vykresluje maxima, jsou v\u0161echny ostatn\u00ed kombinace (jin\u00e9 ne\u017e prvn\u00ed\/druh\u00fd) v\u017edy tak\u00e9 slab\u0161\u00ed a jsou pod hodnotou kuli\u010dkov\u00e9 k\u0159ivky. Op\u011bt potvrzen\u00ed \u201ePodivuhodn\u00e9ho p\u0159\u00edb\u011bhu Benjamina Buttona\u201c, kdy Brad Pitt, \u010d\u00edm v\u00edce st\u00e1rnul, t\u00edm byl v\u011bt\u0161\u00ed nevycv\u00e1lan\u00e9 d\u011bcko. Tak\u00e9 VX futures, \u010d\u00edm m\u00e9n\u011b m\u00e1 do sv\u00e9 expirace a bl\u00ed\u017e\u00ed se sklonek jeho \u017eivota, chov\u00e1 se nejvolatiln\u011bji ve sv\u00fdch reakc\u00edch na tr\u017en\u00ed turbulence.<\/span><\/p>\n

\u00a0\u00a0 Pokud bych si ve stejn\u00e9m grafu za rok 2016 zobrazil jednotliv\u00e9 spready VX futures a p\u0159idal k\u00a0nim k\u0159ivku spreadu jin\u00fdch kontinu\u00e1ln\u00edch VX futures, nap\u0159\u00edklad\u00a0druh\u00e9ho a t\u0159et\u00edho v\u00a0po\u0159ad\u00ed<\/strong>, mohl by obr\u00e1zek vypadat takto<\/span><\/p>\n

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\u00a0\u00a0\u00a0 \u010cern\u00e1 kuli\u010dkov\u00e1 k\u0159ivka (zobrazuje spread „druh\u00fd\/t\u0159et\u00ed“ sestaven\u00fd z kontinu\u00e1ln\u00edch kontrakt\u016f) ji\u017e nen\u00ed tak dramatick\u00e1, jako \u010derven\u00e1 v\u00a0p\u0159edch\u00e1zej\u00edc\u00edm obr\u00e1zku a m\u00e1 plynulej\u0161\u00ed pr\u016fb\u011bh. P\u0159i vyhled\u00e1v\u00e1n\u00ed p\u0159\u00edle\u017eitost\u00ed pak mus\u00edm m\u00edt na pam\u011bti upozorn\u011bn\u00ed z\u00a0minul\u00e9ho \u010dl\u00e1nku, \u017ee pospojov\u00e1n\u00edm cen do kontinu\u00e1ln\u00edho kontraktu mus\u00edm ka\u017edou viditelnou p\u0159\u00edle\u017eitost na t\u011bchto kontinu\u00e1ln\u00edch kontraktech podrobit testu na p\u0159\u00edslu\u0161n\u00fdch VX futures z\u00a0d\u016fvod\u016f \u201est\u0159\u00edd\u00e1n\u00ed po\u0159ad\u00ed\u201c na druh\u00e9m a t\u0159et\u00edm m\u00edst\u011b plynut\u00edm \u010dasu. V\u00a0grafu je pak takov\u00e9 st\u0159\u00edd\u00e1n\u00ed ozna\u010deno \u010dervenou \u0161ipkou, kdy kuli\u010dkov\u00e1 k\u0159ivka opou\u0161t\u00ed tenkou modrou k\u0159ivku p\u0159\u00edslu\u0161n\u00fdch VX futures, kter\u00e9 byly v\u00a0danou chv\u00edli druh\u00e9 a t\u0159et\u00ed v\u00a0po\u0159ad\u00ed, aby se v\u00a0okam\u017eiku \u0161ipky tyto dva kontrakty staly prvn\u00edm a druh\u00fdm v\u00a0po\u0159ad\u00ed a \u017eily si do expirace sv\u016fj vlastn\u00ed \u017eivot mimo \u010dernou kuli\u010dkovou k\u0159ivku kontinu\u00e1ln\u00edho spreadov\u00e9ho kontraktu.<\/span><\/p>\n

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Historick\u00e1 v\u00fdkonnost<\/span><\/strong><\/h1>\n

\u00a0 M\u011b\u0159en\u00ed historick\u00e9 v\u00fdkonnosti na z\u00e1klad\u011b anal\u00fdzy historick\u00fdch dat obecn\u011b prezentuji nerad, proto\u017ee v\u00a0n\u011bm vid\u00edm snahu podsouvat jin\u00fdm n\u011bjak\u00fd vlastn\u00ed mo\u017en\u00fd obchodn\u00ed p\u0159\u00edstup, kter\u00fd nemus\u00ed b\u00fdt ka\u017ed\u00e9mu vlastn\u00ed, proto se budu sna\u017eit takovou historickou v\u00fdkonnost jenom n\u011bjak\u00fdm zp\u016fsobem nazna\u010dit a ponechat p\u0159\u00edpadn\u011b na ka\u017ed\u00e9m, aby si na sv\u00fdch datech vyzkou\u0161el pouze to, co by mu mohlo sed\u011bt.<\/span><\/p>\n

Short VX1\/Long VX2<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Z\u00a0textu ji\u017e vyplynulo, \u017ee nejv\u011bt\u0161\u00ed pohyby vykon\u00e1vaj\u00ed nejbli\u017e\u0161\u00ed VX futures. K\u00a0vyhodnocen\u00ed historick\u00e9ho v\u00fdkonu se tak spread prvn\u00edch dvou VX futures p\u0159\u00edmo nab\u00edz\u00ed. Pokud bych si takov\u00fd spread zobrazil na desetilet\u00e9 historii, tak bych mohl jeho grafick\u00fd v\u00fdsledek pozorovat jako na obr\u00e1zku n\u00ed\u017ee<\/span><\/p>\n

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\u00a0\u00a0 Proto\u017ee se jedn\u00e1 o spread sestaven\u00fd z kontinu\u00e1ln\u00edch VX futures kontrakt\u016f, mohu jeho hodnoty pova\u017eovat \u201eza kone\u010dn\u00e9\u201c proto\u017ee prvn\u00ed VX futures v\u00a0po\u0159ad\u00ed, kter\u00e9 tvo\u0159\u00ed tento spread kon\u010d\u00ed svou \u00fa\u010dast v\u00a0tomto spreadu svou expirac\u00ed a z\u00e1nikem, proto p\u0159\u00edpadn\u00e9 obchodn\u00ed sign\u00e1ly (vstupy a v\u00fdstupy) mohu p\u0159\u00edmo z\u00a0takov\u00e9ho pr\u016fb\u011bhu zji\u0161\u0165ovat. Z\u00a0obr\u00e1zku pak mohu pouh\u00fdm okem vypozorovat nejni\u017e\u0161\u00ed<\/strong>\u00a0maxim\u00e1ln\u00ed hodnotu<\/strong> takov\u00e9ho spreadu, kter\u00e1 se p\u0159ihodila dne 16.10.2008 a byla na hodnot\u011b -21.10 bodu<\/strong>. Takov\u00fd pokles spread p\u0159edvedl v\u00a0obdob\u00ed vrchol\u00edc\u00ed finan\u010dn\u00ed krize a mohl by p\u0159edstavovat jak\u00fdsi pomysln\u00fd maxim\u00e1ln\u00ed risk. Nikdy jindy v\u00a0historii nemohu takov\u00fd pokles pozorovat. Jak si tedy takovou v\u00fdkonnost mohu p\u0159edstavit, zejm\u00e9na s\u00a0ohledem na drastick\u00fd pokles v\u00a0obdob\u00ed finan\u010dn\u00ed krize v\u00a0letech 2008-2009?<\/span><\/p>\n

\u00a0\u00a0\u00a0 Pokus\u00edm se otestovat za desetilet\u00e9<\/strong> vyobrazen\u00e9 obdob\u00ed postup, kdy budu vstupovat do spreadov\u00e9 pozice pouze v\u00a0p\u0159\u00edpad\u011b<\/strong>, \u017ee budou trhy prvn\u00edch dvou VX futures v\u00a0konstelaci Backwardation<\/strong>, to znamen\u00e1, jeho\u00a0hodnota bude z\u00e1porn\u00e1<\/strong>. Budou to tak jen ty vyobrazen\u00e9 vstupy, kter\u00e9 by se na k\u0159ivce grafu nach\u00e1zely pod nulovou osou. Budu jednodu\u0161e, ve sv\u011btle p\u0159\u00edkladu z\u00a0p\u0159edch\u00e1zej\u00edc\u00edho \u010dl\u00e1nku, investovat pouze za situace vyhrocen\u00e9 nejkrat\u0161\u00ed vzd\u00e1lenosti mezi auty a spol\u00e9hat se, \u017ee se jejich \u201evzd\u00e1lenost rozt\u00e1hne\u201c. Proto\u017ee je situace Backwardation na trz\u00edch VX futures doprov\u00e1zena propady trh\u016f, kter\u00e9 zp\u016fsobuj\u00ed dramatick\u00fd r\u016fst cen VX futures, a to nejv\u00edce nejbli\u017e\u0161\u00edho, m\u00edrn\u011b m\u00e9n\u011b druh\u00e9ho nejbli\u017e\u0161\u00edho a n\u00e1sledn\u011b m\u00edrn\u011bji t\u0159et\u00edho nejbli\u017e\u0161\u00edho\u2026budu se tedy spol\u00e9hat, \u017ee v\u0161echny VX spready za\u010dnou s\u00a0vyhl\u00eddkou uklidn\u011bn\u00ed trh\u016f klesat a tento pokles bude op\u011bt nejrychlej\u0161\u00ed na nejbli\u017e\u0161\u00edm VX futures, m\u00e9n\u011b rychl\u00fd bude na druh\u00e9m VX futures v\u00a0po\u0159ad\u00ed. M\u00e1 investice do nejkrat\u0161\u00ed vzd\u00e1lenosti mezi auty pak bude t\u011b\u017eit z \u201erozd\u00edlu rychlosti\u201c obou aut, kdy jedno z\u00a0nich pojede rychleji ne\u017e druh\u00e9 i kdy\u017e ob\u011b auta budou m\u00edt stejn\u00fd sm\u011br j\u00edzdy.<\/span><\/p>\n

\u00a0\u00a0 Pro takov\u00e9 vstupy si naformuluji zcela jednoduch\u00e1 pravidla<\/strong> a mohl by to tak b\u00fdt jak\u00fdsi velmi primitivn\u00ed obchodn\u00ed pl\u00e1n<\/strong>:<\/span><\/p>\n

\u00a0\u00a0 1\/<\/strong> Do spreadu budu vstupovat, pokud na Close p\u0159\u00edslu\u0161n\u00e9ho dne bude hodnota m\u00e9ho spreadu prvn\u00edch dvou VX futures ni\u017e\u0161\u00ed ne\u017e -1.00 bodu<\/strong>. Budu se p\u0159itom spol\u00e9hat na vypozorovanou vlastnost, \u017ee trhy maj\u00ed tendenci se rychle vracet do Contango, tedy t\u00e1hnout a vracet hodnotu m\u00e9ho spreadu do kladn\u00fdch hodnot. Do pozice nevstoup\u00edm v\u00a0t\u00fddnu, kdy expiruje prvn\u00ed VX futures m\u00e9ho spreadu, spread by tak m\u011bl velmi m\u00e1lo \u010dasu k\u00a0projevu v\u00fd\u0161e popsan\u00e9ho efektu. Nevstoup\u00edm tak v\u00a0pond\u011bl\u00ed a \u00fater\u00fd expira\u010dn\u00edho t\u00fddne.<\/span><\/p>\n

\u00a0\u00a0 2\/<\/strong> Z\u00a0pozice budu vystupovat na Stop-Lossu<\/strong> ve v\u00fd\u0161i -2.000 USD<\/strong>. Chci se chr\u00e1nit p\u0159ed nep\u0159\u00edjemn\u00fdmi a neo\u010dek\u00e1van\u00fdmi propady. Pokud na Close dne, kdy budu v\u00a0pozici, bude hodnota dr\u017een\u00e9ho spreadu ni\u017e\u0161\u00ed o tuto hodnotu, z\u00a0pozice vystoup\u00edm.<\/span><\/p>\n

\u00a0\u00a0 3\/<\/strong> Z\u00a0pozice budu vystupovat na Profit Targetu<\/strong>\u00a0ve v\u00fd\u0161i +2.000 USD<\/strong>. \u00a0Pokud na Close dne, kdy budu v\u00a0pozici, bude hodnota dr\u017een\u00e9ho spreadu o tuto hodnotu vy\u0161\u0161\u00ed, z\u00a0pozice vystoup\u00edm.<\/span><\/p>\n

\u00a0\u00a0 4\/<\/strong> V\u00a0pozici budu v\u017edy pouze s\u00a0jedn\u00edm spreadem<\/strong>, pokud dr\u017een\u00fd spread nezas\u00e1hne Profit Target nebo Stop-Loss, pozici zlikviduji v \u00fater\u00fd na Close<\/strong> p\u0159ed st\u0159ede\u010dn\u00ed expirac\u00ed<\/strong> prvn\u00edho VX futures ze spreadu.<\/span><\/p>\n

\u00a0\u00a0 P\u0159i respektov\u00e1n\u00ed t\u011bchto velmi jednoduch\u00fdch pravidel, s\u00a0p\u0159ijet\u00edm risk\/reward ve v\u00fd\u0161i 1:1 (Stop-Loss -2.000\/Profit Target +2.000), bych mohl za analyzovan\u00e9 desetilet\u00ed vypozorovat v\u00fdkonnost vyobrazenou na obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0\u00a0 P\u0159ijat\u00fd jednoduch\u00fd obchodn\u00ed pl\u00e1n by provedl celou velmi jednoduchou strategii p\u0159es finan\u010dn\u00ed krizi v\u00a0letech 2008-2009 s\u00a0nev\u00fdraznou ztr\u00e1tou, aby zaznamenal ve zbyl\u00e9m obdob\u00ed v\u00edce ne\u017e +20.000 USD profit p\u0159i jednokontraktn\u00ed pozici.<\/span><\/p>\n

\u00a0\u00a0 \u00a0\u00a0\u00a0Nen\u00ed to nic dokonal\u00e9ho, jedn\u00e1 se ale pro n\u00e1zornost o velmi jednoduch\u00fd obchodn\u00ed p\u0159\u00edstup. Jeho lad\u011bn\u00ed a zkoum\u00e1n\u00ed ur\u010dit\u011b zcela jist\u011b p\u0159in\u00e1\u0161\u00ed spoustu mo\u017enost\u00ed k vylep\u0161en\u00ed a tak\u00e9 zv\u00fd\u0161en\u00ed v\u00fdkonnosti. Zjevnou nev\u00fdhodou je kr\u00e1tk\u00e1 doba trv\u00e1n\u00ed obchodu pro mo\u017en\u00e9 projeven\u00ed \u201emean reverting\u201c vlastnost\u00ed obchodovan\u00e9ho spreadu prvn\u00edch dvou VX futures (pota\u017emo volatility obecn\u011b), proto\u017ee p\u0159\u00edle\u017eitost dr\u017eet tento obchod je maxim\u00e1ln\u011b jeden m\u011bs\u00edc, ne\u017e prvn\u00ed VX futures ze spreadu expiruje. Nech\u00e1m pak na ka\u017ed\u00e9m k\u00a0vyzkou\u0161en\u00ed, jak by dopadlo nap\u0159\u00edklad p\u0159\u00edpadn\u00e9 rolov\u00e1n\u00ed dr\u017een\u00e9ho spreadu do dal\u0161\u00edho m\u011bs\u00edce a vytvo\u0159en\u00ed dal\u0161\u00edho prostoru pro mo\u017en\u00fd pozitivn\u00ed v\u00fdvoj dr\u017een\u00e9 pozice.<\/span><\/p>\n

Short VX2\/Long VX3<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Velmi zaj\u00edmav\u00e9 je pak prov\u011b\u0159en\u00ed v\u00fdkonnosti druh\u00e9 nab\u00edzen\u00e9 kombinace, a to spreadu \u201edruh\u00e9ho\/t\u0159et\u00edho<\/strong>\u201c VX futures, kdy zejm\u00e9na prostor pro dr\u017een\u00ed spreadu se oproti uk\u00e1zce na prvn\u00edch dvou VX futures zdvojn\u00e1sobuje. Proto\u017ee druh\u00e9 a t\u0159et\u00ed VX futures v\u00a0po\u0159ad\u00ed reaguje na ot\u0159esy na trz\u00edch vla\u017en\u011bji ne\u017e prvn\u00ed VX futures, bude obr\u00e1zek s\u00a0pr\u016fb\u011bhem takov\u00e9ho spreadu patrn\u011b m\u00e9n\u011b dramatick\u00fd a jeho desetilet\u00fd pr\u016fb\u011bh na grafu sestaven\u00e9ho z\u00a0vypo\u010d\u00edtan\u00e9ho spreadu pomoc\u00ed kontinu\u00e1ln\u00edch VX futures kontrakt\u016f je vid\u011bt na obr\u00e1zku.<\/span><\/p>\n

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\u00a0\u00a0\u00a0 Proto\u017ee je celkov\u00fd pr\u016fb\u011bh klidn\u011bj\u0161\u00ed a tak\u00e9 v\u00a0obdob\u00ed finan\u010dn\u00ed krize tento spread vyk\u00e1zal za dobu co byl v\u00a0postaven\u00ed \u201edruh\u00fd\/t\u0159et\u00ed\u201c maxim\u00e1ln\u00ed nejni\u017e\u0161\u00ed hodnotu t\u00e9m\u011b\u0159 polovi\u010dn\u00ed ne\u017e v\u00a0p\u0159edch\u00e1zej\u00edc\u00edm p\u0159\u00edpad\u011b s\u00a0nejagresivn\u011bj\u0161\u00ed kombinac\u00ed \u201eprvn\u00ed\/druh\u00fd\u201c, upravil jsem pro prozkoum\u00e1n\u00ed v\u00fdkonnosti m\u016fj obchodn\u00ed p\u0159\u00edstup. Oproti p\u0159edch\u00e1zej\u00edc\u00edmu p\u0159\u00edpadu jsem do historick\u00e9 anal\u00fdzy nezapojil Stop-Loss<\/strong>, Profit Target<\/strong> jsem stanovil na +500 USD<\/strong> a do obchodu jsem vstupoval v\u017edy<\/strong> p\u0159i p\u0159ekro\u010den\u00ed nulov\u00e9 hranice<\/strong>, znamen\u00e1 to tedy, \u017ee jsem vstupoval p\u0159i jak\u00e9mkoliv sebemen\u0161\u00edm n\u00e1znaku konstelace Backwardation na t\u011bchto VX futures a pro mo\u017en\u00e9 dvoum\u011bs\u00ed\u010dn\u00ed dr\u017een\u00ed jsem v\u011b\u0159il, \u017ee n\u00e1vrat do Contango bude potvrzen a obchod bude \u00fasp\u011b\u0161n\u00fd d\u00edky „mean reverting“ vlastnosti chov\u00e1n\u00ed VX futures. Pro n\u00e1zornost jsem otestoval pouze obdob\u00ed 2015-2018 a v\u00fdsledek equity k\u0159ivky historick\u00e9 anal\u00fdzy je zobrazen na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.\u00a0 \u00a0<\/span><\/p>\n

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\u00a0\u00a0 P\u0159i nemnoho obchodn\u00edch p\u0159\u00edle\u017eitostech pouze v\u00a0jednom p\u0159\u00edpad\u011b byla zaznamen\u00e1n ztr\u00e1ta, zbyl\u00e9 obchody byly \u00fasp\u011b\u0161n\u00e9. Celkov\u011b je toto analyzovan\u00e9 obdob\u00ed (posledn\u00edch t\u0159ech let) charakterizov\u00e1no dlouhotrvaj\u00edc\u00edmi obdob\u00edmi odr\u00e1\u017eej\u00edc\u00edmi se Contango na trz\u00edch t\u011bchto VX futures, obchodn\u00edch p\u0159\u00edle\u017eitost\u00ed tak bylo poskrovnu.<\/span><\/p>\n

\u00a0K\u00a0prozkoum\u00e1n\u00ed je samoz\u0159ejm\u011b mnoho jin\u00fdch kombinac\u00ed \u201et\u0159et\u00ed\/sedm\u00fd\u201c, \u201e\u010dtvrt\u00fd\/osm\u00fd\u201c…, na zv\u00e1\u017eenou je samoz\u0159ejm\u011b tak\u00e9 zapojen\u00ed weeklys VX futures kontrakt\u016f\u2026. Zkoum\u00e1n\u00ed t\u011bchto potenci\u00e1ln\u00edch obchod\u016f a modifikace obchodn\u00edch pl\u00e1n\u016f by pak mohlo b\u00fdt n\u00e1pln\u00ed \u201eneviditeln\u00e9\u201c pr\u00e1ce ka\u017ed\u00e9ho obchodn\u00edka, kter\u00fd by se cht\u011bl do seri\u00f3zn\u00edho zkoum\u00e1n\u00ed chov\u00e1n\u00ed VX futures pustit.\u00a0\u00a0<\/span><\/p>\n

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Obchodov\u00e1n\u00ed VX spreadu v TWS<\/span><\/strong><\/h1>\n

\u00a0\u00a0 P\u0159esto\u017ee se zdaj\u00ed obchodn\u00ed p\u0159\u00edkazy se vstupy a v\u00fdstupy do jednotliv\u00fdch spreadov\u00fdch pozic s\u00a0VX futures nep\u0159ehledn\u00e9, m\u016fj broker (Interactive Brokers) takov\u00e9 obchodov\u00e1n\u00ed v\u00fdrazn\u011b zjednodu\u0161uje. Nejenom\u017ee umo\u017e\u0148uje takov\u00fd spread jedn\u00edm p\u0159\u00edkazem koupit nebo prodat, ale tak\u00e9 je mo\u017en\u00e9 u n\u011bj pr\u016fb\u011b\u017en\u011b takovou pozici monitorovat k\u00a0p\u0159\u00edpadn\u00e9mu obchodu. Proto\u017ee je mezi \u010dten\u00e1\u0159i mnoho t\u011bch, kte\u0159\u00ed jsou vybaveni obchodn\u00ed platformou TWS, uk\u00e1\u017eu, jak jednodu\u0161e s takovou VX futures spreadovou pozic\u00ed v\u00a0t\u00e9to platform\u011b zach\u00e1zet.<\/span><\/p>\n

\u00a0\u00a0\u00a0 V\u00a0jednoduch\u00e9m p\u0159\u00edkladu budu cht\u00edt nejd\u0159\u00edve monitorovat a pot\u00e9 obchodovat VX Futures spread mezi \u00fanorov\u00fdm a b\u0159eznov\u00fdm<\/strong> VX futures kontraktem, tedy spread mezi moment\u00e1ln\u011b druh\u00fdm a t\u0159et\u00edm m\u011bs\u00ed\u010dn\u00edm VX futures v po\u0159ad\u00ed. Do p\u0159\u00edslu\u0161n\u00e9 z\u00e1lo\u017eky<\/strong> v\u00a0TWS si navol\u00edm jednotliv\u00e9 VX futures kontrakty, abych m\u011bl n\u00e1sledn\u011b z\u00a0\u010deho vyb\u00edrat.\u00a0 \u00a0<\/span><\/p>\n

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\u00a0\u00a0 Pot\u00e9 kliknu na pr\u00e1zdn\u00fd \u0159\u00e1dek<\/strong>, kde chci m\u00edt um\u00edst\u011bn sv\u016fj zam\u00fd\u0161len\u00fd spread prav\u00fdm tla\u010d\u00edtkem my\u0161i. Po tomto kliknut\u00ed (1) vyberu z\u00a0nab\u00eddky \u201eGeneric Combo<\/strong>\u201c (2)<\/span><\/p>\n

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\u00a0\u00a0 Po potvrzen\u00ed t\u00e9to volby dojde k\u00a0otev\u0159en\u00ed okna, ve kter\u00e9m si kliknu na z\u00e1lo\u017eku \u201ePair or Leg-by-leg<\/strong>\u201c (1) a do pr\u00e1zdn\u00e9 plochy tohoto okna ta\u017een\u00edm my\u0161\u00ed<\/strong> (2) p\u0159et\u00e1hnu po\u017eadovan\u00e9 VX futures kontrakty. Tyto se mi p\u0159enesou, zb\u00fdv\u00e1 mi pouze definovat jejich \u201eobchodn\u00ed polohu\u201c, podle m\u00e9 metodiky chci bli\u017e\u0161\u00ed VX futures pozorovat jako mo\u017enou pozici Short a vzd\u00e1len\u011bj\u0161\u00ed VX futures jako mo\u017enou pozici Long, proto toto zobrazen\u00ed potvrd\u00edm v\u00fdb\u011brem \u201eSell<\/strong>\u201c nebo \u201eBuy<\/strong>\u201c (3) u p\u0159\u00edslu\u0161n\u00fdch kontrakt\u016f. Okno zav\u0159u kliknut\u00edm na \u201eOK<\/strong>\u201c (4) \u00a0<\/span><\/p>\n

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\u00a0 Po potvrzen\u00ed p\u0159edch\u00e1zej\u00edc\u00ed p\u0159edvolby se mi do p\u0159\u00edslu\u0161n\u00e9ho \u0159\u00e1dku p\u0159enese zadan\u00e1 kombinace zam\u00fd\u0161len\u00e9ho spreadu druh\u00e9ho a t\u0159et\u00edho VX futures sou\u010dasn\u011b s\u00a0aktu\u00e1ln\u00edmi hodnotami Ask a Bid. Je vid\u011bt, \u017ee tento spread m\u00e1 moment\u00e1ln\u011b hodnotu +0.84 (Ask) a +0.83 (Bid). Cena je kladn\u00e1 a oznamuje mi, \u017ee se trhy VX futures moment\u00e1ln\u011b nach\u00e1zej\u00ed v\u00a0Contango. V\u00a0tomto tvaru tak mohu vytvo\u0159it \u0159\u00e1dky s\u00a0jednotliv\u00fdmi libovoln\u00fdmi kombinacemi spread\u016f VX futures a pohodln\u011b pozorovat jejich aktu\u00e1ln\u00ed ceny pro mo\u017en\u00e9 obchodov\u00e1n\u00ed v anal\u00fdzou vyhodnocen\u00fdch okam\u017eic\u00edch.<\/span><\/p>\n

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\u00a0\u00a0\u00a0 Pokud bych se cht\u011bl dozv\u011bd\u011bt bli\u017e\u0161\u00ed informace o zobrazovan\u00e9 pozici, sta\u010d\u00ed op\u011bt kliknout prav\u00fdm tla\u010d\u00edtkem<\/strong> my\u0161i na \u0159\u00e1dek vytvo\u0159en\u00e9ho spreadu (1) a z\u00a0nab\u00eddky vybrat \u201eFinancial Instrument Info<\/strong>\u201c (2) a potvrdit volbu \u201eDescription<\/strong>\u201c (3)<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0informa\u010dn\u00edm okn\u011b se pak m\u00e1m mo\u017enost p\u0159esv\u011bd\u010dit, \u017ee m\u00e1 pozice je kalend\u00e1\u0159n\u00ed spread<\/strong>, hodnota bodu<\/strong> je 1.000 USD<\/strong> a instrukce, jakou budou prov\u00e1d\u011bny jednotliv\u00e9 transakce<\/strong>, pokud budu cht\u00edt spreadovou pozici kupovat (BUY Calendar Spread) nebo prod\u00e1vat (SELL Calendar Spread)<\/span><\/p>\n

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\u00a0\u00a0 V\u00a0p\u0159\u00edpad\u011b, \u017ee bych se rozhodoval, \u017ee bych cht\u011bl spread zakoupit, proto\u017ee si budu myslet, \u017ee jeho hodnota poroste, nemus\u00edm p\u0159em\u00fd\u0161let o jednotliv\u00fdch p\u0159\u00edkazech pro ka\u017ed\u00e9 VX futures tvo\u0159\u00edc\u00ed spreadovou pozici, ale koup\u00edm jej cel\u00fd najednou. V\u00a0\u0159\u00e1dku spreadov\u00e9 pozice kliknu prav\u00fdm tla\u010d\u00edtkem my\u0161i ve \u201esloupci Ask<\/strong>\u201c (1) a vytvo\u0159\u00edm automaticky \u201en\u00e1kupn\u00ed p\u0159\u00edkaz\u201c<\/strong> (2).\u00a0 Ve sloupci Type vyberu polo\u017eku \u201eLimit<\/strong>\u201c (3) a uprav\u00edm cenu, kterou chci dos\u00e1hnout (0.84), ve sloupci Destination ponech\u00e1m \u201eSmart<\/strong>\u201c (4) a ve sloupci TIF vyberu \u201eDay<\/strong>\u201c (5). Cel\u00fd tento p\u0159\u00edkaz ode\u0161lu kliknut\u00edm na \u201eTransmit<\/strong>\u201c (6).<\/span><\/p>\n

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\u00a0 Vzhledem ke zna\u010dn\u00e9 likvidit\u011b je p\u0159\u00edkaz vypln\u011bn t\u00e9m\u011b\u0159 okam\u017eit\u011b za po\u017eadovanou cenu. Pokud bych cht\u011bl prozkoumat slo\u017een\u00ed pozice, kliknut\u00edm na rozev\u00edrac\u00ed tla\u010d\u00edtko se zobraz\u00ed ob\u011b \u010d\u00e1sti spreadu pro kontrolu typu pozice jednotliv\u00fdch \u010d\u00e1st\u00ed spreadu. Mohu pak pozorovat, \u017ee jsem opravdu prodal bli\u017e\u0161\u00ed VX futures a nakoupil vzd\u00e1len\u011bj\u0161\u00ed VX futures<\/span><\/p>\n

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\u00a0\u00a0 Pokud bych se cht\u011bl pozice zbavit<\/strong> a op\u011bt z n\u00ed vystoupit najednou, vytvo\u0159\u00edm opa\u010dn\u00fd p\u0159\u00edkaz zalo\u017een\u00fd na stejn\u00e9 logice. V\u00a0\u0159\u00e1dku spreadov\u00e9 pozice kliknu prav\u00fdm tla\u010d\u00edtkem my\u0161i ve \u201esloupci Bid<\/strong>\u201c (1) a vytvo\u0159\u00edm automaticky \u201eprodejn\u00ed p\u0159\u00edkaz\u201c<\/strong> (2).\u00a0 Ve sloupci Type vyberu polo\u017eku \u201eLimit<\/strong>\u201c (3) a uprav\u00edm cenu, kterou chci dos\u00e1hnout (0.83), ve sloupci Destination ponech\u00e1m \u201eSmart<\/strong>\u201c (4) a ve sloupci TIF vyberu \u201eDay<\/strong>\u201c (5). Cel\u00fd tento p\u0159\u00edkaz ode\u0161lu kliknut\u00edm na \u201eTransmit<\/strong>\u201c (6)<\/span><\/p>\n

\u00a0\"\"\u00a0<\/span><\/p>\n

\u00a0\u00a0 P\u0159\u00edkaz je op\u011bt, d\u00edky zna\u010dn\u00e9 likvidit\u011b, okam\u017eit\u011b vypln\u011bn a cel\u00e1 pozice mi zmiz\u00ed<\/strong>. Mohu pak vypo\u010d\u00edtat, \u017ee jsem pozici koupil za 0.84 bodu (-840 USD) a prodal ji za 0.83 bodu (+830 USD), prod\u011blek je -10 USD a nav\u00edc poplatky za proveden\u00e9 transakce s\u00a0jednotliv\u00fdmi VX futures. Proto\u017ee m\u011b ka\u017ed\u00e1 transakce s\u00a0VX futures st\u00e1la -2.31 USD poplatek, za \u010dty\u0159i transakce to \u010din\u00ed -9.24 USD. Celkov\u011b by pak m\u016fj \u00fa\u010det byl ochuzen touto „uk\u00e1zkovou transakc\u00ed“ o -19.24 USD<\/span><\/p>\n

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\u00a0\u00a0<\/span>\u00a0\u00a0 Margin<\/span><\/strong><\/h2>\n

\u00a0\u00a0 Nezanedbatelnou obchodn\u00ed polo\u017ekou je marginov\u00fd po\u017eadavek na spreadov\u00e9 pozice s\u00a0VX fututres. Tento je zve\u0159ejn\u011bn na CFE (Chicago Futures Exchange)<\/a><\/span> zde<\/a><\/span><\/strong> (kliknut\u00edm na odkaz Read more…v odstavci Current CFE Margins) a vypl\u00fdv\u00e1 z\u00a0n\u011bj, \u017ee margin na spreadovou pozici kalend\u00e1\u0159n\u00edho spreadu s\u00a0VX futures je ni\u017e\u0161\u00ed ne\u017e pro obchodov\u00e1n\u00ed samotn\u00e9ho VX futures kontraktu, a to dosti v\u00fdrazn\u011b. Jeho po\u017eadavek se m\u011bn\u00ed v\u00a0souvislosti s\u00a0obchodovanou kombinac\u00ed VX futures.<\/span><\/p>\n

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\u00a0\u00a0 Z\u00a0obr\u00e1zku vypl\u00fdv\u00e1, \u017ee nap\u0159\u00edklad kalend\u00e1\u0159n\u00ed spread slo\u017een\u00fd z\u00a0prvn\u00edho a druh\u00e9ho VX futures kontraktu je zat\u00ed\u017een po\u017eadavkem na Maintenance Margin ve v\u00fd\u0161i 2.000 USD.<\/span><\/p>\n

\u00a0\u00a0 Dlu\u017eno p\u0159ipomenout, \u017ee v\u00a0sou\u010dasn\u00e9 dob\u011b se m\u016fj broker kryje v\u00fdrazn\u00fdm nav\u00fd\u0161en\u00edm takov\u00e9ho marginu z\u00a0obavy o mo\u017en\u00e9 nep\u0159edv\u00eddateln\u00e9 chov\u00e1n\u00ed VX futures v\u00a0souvislost\u00ed z\u00a0jejich dlouhodob\u011b n\u00edzk\u00fdmi cenami a vyhodnocenou mo\u017enosti nenad\u00e1l\u00fdch prudk\u00fdch nav\u00fd\u0161en\u00ed t\u011bchto cen p\u0159i hroz\u00edc\u00edm propadu trh\u016f. Snad to nebude trvat v\u011b\u010dn\u011b :c)<\/span><\/p>\n

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\u00a0\u00a0 \u010cl\u00e1nek by mohl poslou\u017eit jako z\u00e1kladn\u00ed n\u00e1hled na nejjednodu\u0161\u0161\u00ed pozorov\u00e1n\u00ed a mo\u017enost obchodov\u00e1n\u00ed kalend\u00e1\u0159n\u00edch spread\u016f vytvo\u0159en\u00fdch s\u00a0VX futures na b\u00e1zi poru\u0161en\u00ed \u010dasov\u00e9 struktury jednotliv\u00fdch VX futures ze stavu Contango do Backwardation a n\u00e1vratu do \u201enorm\u00e1ln\u00edho stavu\u201c. Nechci vytv\u00e1\u0159et dojem, \u017ee toto jsou nejskv\u011blej\u0161\u00ed obchody ze v\u0161ech, stoj\u00ed ale ur\u010dit\u011b za zaznamen\u00e1n\u00ed a podroben\u00ed n\u011bjak\u00e9 z\u00e1kladn\u00ed anal\u00fdze. V\u00a0ur\u010dit\u00fdch tr\u017en\u00edch situac\u00edch pak m\u016f\u017eou b\u00fdt velmi dobr\u00fdm obchodn\u00edm n\u00e1strojem s\u00a0vhodnou a p\u0159edv\u00eddatelnou v\u00fdkonnost\u00ed.<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\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 Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":1326,"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-1301","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_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main-1.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-kZ","jetpack-related-posts":[{"id":1345,"url":"https:\/\/dobretrejdy.com\/?p=1345","url_meta":{"origin":1301,"position":0},"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":1253,"url":"https:\/\/dobretrejdy.com\/?p=1253","url_meta":{"origin":1301,"position":1},"title":"VX Futures – Volatility Spread – I.","author":"dobretrejdy :c)","date":"2.1.2018","format":false,"excerpt":"\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\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.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/01\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":1435,"url":"https:\/\/dobretrejdy.com\/?p=1435","url_meta":{"origin":1301,"position":2},"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":1522,"url":"https:\/\/dobretrejdy.com\/?p=1522","url_meta":{"origin":1301,"position":3},"title":"VX Futures \u2013 Volatility Spread \u2013 VI.","author":"dobretrejdy :c)","date":"4.3.2018","format":false,"excerpt":"\u00a0 \u00a0Trading je p\u0159esn\u011b takov\u00fd, jak\u00fd si jej ud\u011bl\u00e1m. V\u0161echno je v\u00a0n\u011bm z\u00e1visl\u00e9 na m\u00e9 volb\u011b a m\u00fdch preferenc\u00edch. Pokud s\u00e1m p\u0159ij\u00edm\u00e1m rozhodnut\u00ed pro vstupov\u00e1n\u00ed do obchod\u016f, tak tak\u00e9 s\u00e1m sob\u011b odpov\u00edd\u00e1m za v\u00fdsledky t\u011bchto rozhodnut\u00ed v\u00a0podob\u011b zisk\u016f a ztr\u00e1t. Obchoduje se pro pen\u00edze, proto m\u016f\u017ee zn\u00edt kuri\u00f3zn\u011b proklamace, \u017ee\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/03\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/03\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/03\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2018\/03\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4086,"url":"https:\/\/dobretrejdy.com\/?p=4086","url_meta":{"origin":1301,"position":4},"title":"VXZ – Volatility ETN – II.","author":"dobretrejdy :c)","date":"25.1.2020","format":false,"excerpt":"\u00a0 \u00a0V minul\u00e9m \u010dl\u00e1nku jsem \u00a0jsem popisoval, jak je mo\u017en\u00e9 b\u00fdt pomoc\u00ed tickeru VXX exponov\u00e1n v prvn\u00edch dvou VX futures kontraktech. Tento ticker toti\u017e kop\u00edruje index S&P 500 VIX Short-Term Futures Index Total Return (SPVIXSTR), kdy\u017e tento Index je odrazem v\u00fdkonnosti t\u011bchto nejbli\u017e\u0161\u00edch dvou VX futures kontrakt\u016f. Tv\u016frci Indexu vytvo\u0159ili\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/01\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4232,"url":"https:\/\/dobretrejdy.com\/?p=4232","url_meta":{"origin":1301,"position":5},"title":"VX Futures \u2013 \u201eThe Big Short\u201c","author":"dobretrejdy :c)","date":"20.3.2020","format":false,"excerpt":"\u00a0\u00a0 \u201ePro\u010d \u010dlov\u011bk nem\u00e1 chobot?\u201c byla jednoduch\u00e1 ot\u00e1zka, kterou polo\u017eil \u010desk\u00e9mu komikovi jeden z r\u00e1dobyvtipn\u00fdch \u010dten\u00e1\u0159\u016f v jist\u00e9m obl\u00edben\u00e9m \u010dasopise. 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